Grant detail

N454/2004/A-EK FSV Nonlinear Dynamics and Econometrics of Capital Markets

Principal investigator: prof. Ing. Miloslav Vošvrda CSc.
Collaborators: Mgr. Lukáš Vácha Ph.D.
Description: Efficiency analysis of capital markets by both classical way and fractal way. Econometrics of dynamics returns and high frequency data analysis.
Participation:
Work in grant:
Web link:
Finance:
End date: 12/2006
Publications:

Vosvrda M., Vácha L.:Heterogeneous Agents Model with the Worst Out Algorithm (2005)

Vošvrda M., Vácha L: Dynamical agents' strategies and the fractal market hypothesis

Vošvrda M., Žikeš F.:An Application of the GARCH-t Model on Central European Stock ReturnsPrague Economic Papers, 1/2004

Conferences:

WEHIA 2005

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Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance
Česká Spořitelna
EY