Position: Ph.D. Candidate
Field of interest: Financial Econometrics, Asset Pricing, Market Endogeneity
Membership: Finance and Capital Markets, PhD Candidates
Contact
Office: IES 602
Email: 61558906 [AT] fsv [DOT] cuni [DOT] cz
Phone:
Personal web pages: http://ies.fsv.cuni.cz/cs/staff/sila
Available: upon request
More information
Syllabi
Teacher
JEM207 - Data Processing in Python
PhD study
Tutor: prof. PhDr. Ladislav Krištoufek Ph.D.
Studying from: 2018
PhDr examination: 09/2022
Final exam: 09/2022
Dissertation Proposal defence:
Dissertation defence: 2023 (exp)
Current work:
For details see ISP below
Dissertation topic:
Modern portfolio and risk management methods
Disertation abstract:
Optional courses:
Teaching Assistantships:
JEM207 - Data Processing in Python SS 20, WS 21, SS 21, WS 22, SS 22
JEM062 - Introductory Econometrics WS 19, WS 20, WS 21, WS 22
JEB109 - Econometrics I SS 19, SS 20, SS 21, SS 22
JEM227 - Data Science with R I WS 21, WS 22
JEM220 - Data Science with R II SS 21, SS 22
JEM233 - FinTech and Blockchain SS 22
PhD Courses:
JED413 Advanced Financial Econometrics II: 19/20 SS, 20/21 SS, 21/22 SS
JED412 Advanced Financial Econometrics I: 19/20 WS, 20/21 WS, 21/22 WS
JED415 Kvantitativní metody II: 18/19 SS
JED414 Kvantitativní metody I: 18/19 WS
CV
Education
2018+ Ph.D., Intitute of Economic Studies, Charles University, Prague; Economics
2014-2018: Mgr., Intitute of Economic Studies, Charles University, Prague; Economics
2015-2017: MSc., University of Leicester, United Kingdom; Financial Mathematics and Computation
2011-2014: Bc., Intitute of Economic Studies, Charles University, Prague; Economics
Job history
7/2018+: Tech Soul, Soulution Agency
11/2017 - 03/2020: Software developer, SmartEE s.r.o.
10/2016 - 11/2017: Data science freelancer
Research profiles
ORCID, RePEc, Publons with WoS RID
Extra activities
Referee:
Prague Economic Papers (2)
Applied Financial Economics (1)
Economic Modelling (1)
2022+: GEOCEP project administrator
2020-2022: GEMCLIME project administrator
Awards and prizes
"The best courses taught at the IES" ocenění za JEM207 Data Processing in Python - SS 2020
Winner of Deloitte Applied Analytics Challenge - 2016, 2017
Best dissertation in MSc Financial Mathematics, Univesity of Leicester - 2016
KPMG International Case Competition (KICC) Czech Republic - 2015
Topics for supervision
Bachelor theses
Please see section below for topics and my personal rules:
Currently supervised theses:
Bachelor:
- The Implied order book: modelling liquidity to detect crashes - joint supervision with Michael Mark from EPFL
- Connectedness between stocks of cryptocurrency-linked US companies and the cryptocurrency market.
- Comparison of LSTM and random forest on forecasting small-cap stocks from different regions
Master:
- DeFi: assessing adoption and most valuable metrics for the price discovery
- Liquidations in the cryptocurrency market: market reactions and potential trading opportunities
Master theses
I will be happy to supervise theses on financial econometrics and/or machine learning in finance.
Couple of personal rules:
- Email me with details when you want to defend, when is deadline for the proposal. Ideally with a specified topic.
- Pick at one or two very good papers as the backbone of the topic - see ies journal ranking at the bottom of the page, and start researching from the top. It is ok if you don't understand the details, it is an exercise to understand motivation and research context. Dont worry about the greek letters at all at this stage!
- If you like something, check related articles through Connected papers to dig deeper in the topic.
- Check writing tips by prof Cochrane for good academic text. Appiies definitely to Bsc and MSc theses as well!
- We will have monthly status meetings - up to 30 minutes - online or in person once you start working on it. Ad hoc consults are of course available!
- Complete draft 1 month prior to submission
- If you are searching for a crypto related topic, check Understanding Cryptocurrencies article to get a quick overview of some topics and follow references within. There is a new journal Digital Finance with lots of crypto research.
General topics, preferably applied (you are more than welcome to specify the topic yourself):
Topics on Crypto(currency) markets
Topics on Efficient markets hypothesis
Topics on Market Endogeneity
Topics on Asset Pricing
Supervised Bachelor theses
all/awarded: 4/0
Awarded:
Downloadable
CV
ISP (2018)
ISP (2019)
Writing Tips for (not just Ph. D.) Students
