Mgr. Lukáš Vácha, Ph.D.

Vzdělání

1996 bakalář FJFI ČVUT
2001 magistr ekonomie IES FSV UK
2008 PhD ekonomie IES FSV UK

Odborná praxe

ZS 2001-2006 Business cycle theory
LS 2001-2006 Economic Dynamics II
ZS, LS 2007 - 2009 Quantitative Finance I, II
UTIA, ČSAV oddělení ekonometrie

Monografie

Kapitoly v monografiích

• BARUNÍK, Jozef - KOČENDA, Evžen - VÁCHA, Lukáš. Wavelet-Based Correlation Analysis of the Key Traded Assets. In: GALLEGATI, Marco - SEMMLER, Willi. Wavelet Applications in Economics and Finance. 1st ed vyd. Cham: Springer, 2014, s. 157-183. ISBN 978-3-319-07060-5.

Články

• VÁCHA, Lukáš - BARUNÍK, Jozef - VOŠVRDA, Miloslav. How do skilled traders change the structure of the market. International Review of Financial Analysis. 2012, 23(June), 66-71. ISSN 1057-5219. UT-WOS link
• VÁCHA, Lukáš - VOŠVRDA, Miloslav. Heterogeneous agents model with the worst out algorithm. Acta Universitatis Carolinae. Oeconomica, Czech Economic Review. 2007, 1(1), 54-66. ISSN 1802-4696.
• VÁCHA, Lukáš - BARUNÍK, Jozef - VOŠVRDA, Miloslav. Smart agents and sentiment in the heterogeneous agent model. ERCIM News. 2010, Neuveden(81), 39-40. ISSN 0926-4981.
• VÁCHA, Lukáš - VOŠVRDA, Miloslav. Heterogeneous agent model with the worst out algorithm. Prague social science studies. Economics series. 2005, 2005(EC-008), 1;16. ISSN 1801-5999.
• VÁCHA, Lukáš - BARUNÍK, Jozef - VOŠVRDA, Miloslav. Smart agents and sentiment in the heterogeneous agent model. Prague Economic Papers. 2009, 18(3), 209-219. ISSN 1210-0455. UT-WOS link
• VÁCHA, Lukáš - JANDA, Karel - KRIŠTOUFEK, Ladislav - ZILBERMAN, David. Time-frequency dynamics of biofuel-fuel-food system. Energy Economics. 2013, 40(November), 233-241. ISSN 0140-9883. UT-WOS link
• VÁCHA, Lukáš - BARUNÍK, Jozef. Co-movement of energy commodities revisited: evidence from wavelet coherence analysis. Energy Economics. 2012, 34(1), 241-247. ISSN 0140-9883. UT-WOS link
• VÁCHA, Lukáš - ŠMOLÍK, Filip - BAXA, Jaromír. Comovement and disintegration of EU sovereign bond markets during the crisis. International Review of Economics and Finance. 2019, 64(November), 541-556. ISSN 1059-0560. UT-WOS link
• VÁCHA, Lukáš - VOŠVRDA, Miloslav. Dynamical agents' strategies and the fractal market hypothesis. Prague Economic Papers. 2005, 14(2), 172-179. ISSN 1210-0455.
• HANUS, Luboš - VÁCHA, Lukáš. Growth cycle synchronization of the Visegrad Four and the European Union. Empirical Economics. 2020, 58(4), 1779-1795. ISSN 0377-7332. UT-WOS link
• BARUNÍK, Jozef - VÁCHA, Lukáš. Do co-jumps impact correlations in currency markets?. Journal of Financial Markets. 2018, 37(January), 97-119. ISSN 1386-4181. UT-WOS link
• VOŠVRDA, Miloslav - VÁCHA, Lukáš. Wavelet decomposition of the financial market. Prague Economic Papers. 2007, 16(1), 38-54. ISSN 1210-0455.
• VOŠVRDA, Miloslav - VÁCHA, Lukáš. Wavelets and sentiment in the heterogeneous agent model. Bulletin of the Czech Econometric Society. 2008, 15(25), 41-56. ISSN 1212-074X.
• BARUNÍK, Jozef - VÁCHA, Lukáš. Monte Carlo-based tail exponent estimator. Physica A: Statistical Mechanics and its Applications. 2010, 389(21), 4863-4874. ISSN 0378-4371. UT-WOS link
• BARUNÍK, Jozef - VÁCHA, Lukáš - VOŠVRDA, Miloslav. Tail behavior of the Central European stock markets during the financial crisis. Acta Universitatis Carolinae. Oeconomica, Czech Economic Review. 2010, 4(3), 281-294. ISSN 1802-4696.
• BARUNÍK, Jozef - VÁCHA, Lukáš - VOŠVRDA, Miloslav. Smart predictors in the heterogeneous agent model. Journal of Economic Interaction and Coordination. 2009, 4(2), 163-172. ISSN 1860-711X. UT-WOS link
• BARUNÍK, Jozef - VÁCHA, Lukáš. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. Quantitative Finance. 2015, 15(8), 1347-1364. ISSN 1469-7688. UT-WOS link
• BARUNÍK, Jozef - VÁCHA, Lukáš. Contagion among Central and Eastern European Stock Markets during the Financial Crisis. Finance a úvěr. 2013, 63(5), 443-453. ISSN 0015-1920. UT-WOS link
• VOŠVRDA, Miloslav - VÁCHA, Lukáš. Heterogeneous Agent Model with Memory and Asset Price Behaviour. Prague Economic Papers. 2003, 12(2), 155-168. ISSN 1210-0455.
• VOŠVRDA, Miloslav - VÁCHA, Lukáš. Heterogeneous Agent Model and Numerical Analysis of Learning. Bulletin of the Czech Econometric Society. 2002, 9(17), 15-22. ISSN 1212-074X.
• BARUNÍK, Jozef - KOČENDA, Evžen - VÁCHA, Lukáš. Volatility Spillovers Across Petroleum Markets. Energy Journal. 2015, 36(3), 309-329. ISSN 0195-6574. UT-WOS link
• BARUNÍK, Jozef - KOČENDA, Evžen - VÁCHA, Lukáš. Asymmetric volatility connectedness on the forex market. Journal of International Money and Finance. 2017, 77(October), 39-56. ISSN 0261-5606. UT-WOS link
• BARUNÍK, Jozef - KŘEHLÍK, Tomáš - VÁCHA, Lukáš. Modeling and forecasting exchange rate volatility in time-frequency domain. European Journal of Operational Research. 2016, 251(1), 329-340. ISSN 0377-2217. UT-WOS link
• BARUNÍK, Jozef - KOČENDA, Evžen - VÁCHA, Lukáš. Gold, oil, and stocks: Dynamic correlations. International Review of Economics and Finance. 2016, 42(March 01), 186-201. ISSN 1059-0560. UT-WOS link
• BARUNÍK, Jozef - KOČENDA, Evžen - VÁCHA, Lukáš. Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers. Journal of Financial Markets. 2016, 27(January), 55-78. ISSN 1386-4181. UT-WOS link

Příspěvky v konferenčních sbornících

• VÁCHA, Lukáš - BARUNÍK, Jozef. Wavelet neural networks prediction of Central European stock markets. In: REIFF, Marian. Quantitative methods in economics : multiple criteria decision making XIV 1st ed vyd. Bratislava: University of Economics, 2008, s. 291-297. ISBN 978-80-8078-217-7.
• VÁCHA, Lukáš - BARUNÍK, Jozef. What does the wavelet analysis tell us about the Central European stock markets behavior during the crisis?. In: BROŽOVÁ, Helena - KVASNIČKA, Roman. Mathematical methods in economics 2009 1st ed vyd. Praha: Česká zemědělská univerzita, 2009, s. 163-172. ISBN 978-80-213-1963-9.
• VÁCHA, Lukáš - VOŠVRDA, Miloslav. Moods modelling on the financial markets. In: HANČLOVÁ, Jana. Proceedings of abstracts academic international conference : Increasing Competitiveness or Regional, National and International Markets Development - New Challenges : [September 4-6, 2007] 1st ed vyd. Ostrava: VŠB - Technical University, Faculty of Economics, 2007, s. 1-7. ISBN 978-80-248-1458-2.
• BARUNÍK, Jozef - VÁCHA, Lukáš. Modeling multivariate volatility using wavelet-based realized covariance estimator. In: DLOUHÝ, Martin - SKOČDOPOLOVÁ, Veronika. Mathematical methods in economics 2011 : 29th International conference : proceedings : September 6-9 2011, Janská Dolina, Slovakia 29th ed vyd. Praha: Professional Publishing, 2011, s. 29-34. ISBN 978-80-7431-059-1. UT-WOS link
• BARUNÍK, Jozef - VÁCHA, Lukáš. Neural networks with Wavelet based denoising layer : application to Central European stock market forecasting. In: ŘEHOŘOVÁ, Pavla - MARŠÍKOVÁ, Kateřina - HUBÍNKA, Zbyněk. Mathematical Methods in Economics 2008 : proceedings of 26th international conference, September 17-19, 2008 1st ed vyd. Liberec: Technical University of Liberec, 2008, s. 1-1. ISBN 978-80-7372-387-3.
• BARUNÍK, Jozef - VÁCHA, Lukáš - KRIŠTOUFEK, Ladislav. Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data. In: HOUDA, Michal - FRIEBELOVÁ, Jana. Mathematical Methods in Economics 1st ed vyd. České Budějovice: University of South Bohemia, Faculty of Economics, 2010, s. 12-17. ISBN 978-80-7394-218-2.
• VOŠVRDA, Miloslav - VÁCHA, Lukáš. Heterogeneous Agent Model with Memory and Asset Price Behaviour. In: RAMÍK, Jaroslav - PRUSENOVSKÁ, Ivana. Mathematical methods in economics 2002 : proceedings of the 20th international conference 1st ed vyd. Ostrava: Technical University, 2002, s. 273-281. ISBN 80-248-0153-1.
• VOŠVRDA, Miloslav - VÁCHA, Lukáš. Learning in heterogeneous agent model with the WOA. Application of Mathematics and Statistics in Economy 1st ed vyd. Banská Bystrica: Univerzita Mateja Bela v Banskej Bystrici, 2003, s. 199-204. ISBN 80-8055-874-4.
• VOŠVRDA, Miloslav - VÁCHA, Lukáš. Heterogeneous Agent Model with Memory and Asset Price Behaviour. In: RAMÍK, Jaroslav. Proceedings of the 20th International Conference Mathematical Methods in Economics 2002 1st ed vyd. Ostrava: 2002, s. 273-281. ISBN 80-248-0153-1.
• BARUNÍK, Jozef - KOČENDA, Evžen - VÁCHA, Lukáš. Asymmetric connectedness of markets: How does the good and bad volatility spills over the US industries?. INTERNATIONAL WORK-CONFERENCE ON TIME SERIES (ITISE 2014) Granada: Copicentro Granada, 2014, s. 185-185. ISBN 978-84-15814-97-9. UT-WOS link

JEM059 - Financial Econometrics I
JEM061 - Financial Econometrics II
JEM158 - Tools for Modern Macroeconometrics

JED412 - Advanced Financial Econometrics I

JED413 - Advanced Financial Econometrics II

Diplomové práce

Wavelet analysis of financial markets

2016–18 Czech Science Foundation (GA CR) “New measures of dependence between economic variables”, Principal Investigator

Kapitálové trhy