National Repository of Grey Literature 8 records found  Search took 0.00 seconds. 
Výkonnost kapitálových trhů a relativní entropie Tsalise
Vošvrda, Miloslav
The concept of the capital market efficiency is a central notion in the financial markets theory. This notion is generally useful to describe a capital market in which is relevant information.
Pravděpodobnostní vlastnosti spojité dvojité aukce - rovnoměrný případ
Šmíd, Martin
We study probabilistic properties of a zero intelligence model of a limit order market, very similar to those of /citet{Maslov00} and /citet{Smith03}. We (recursively) describe the distributions of the order books and the best quotes. Based on these theoretical results, a procedure for statistical inference of the model may be designed and the evolution of the process may be simulated more efficiently then by the crude simulation of all the events.
Poznámka k empirickým odhadům v ekonomických úlohách
Kaňková, Vlasta
Optimization problems depending on a probability measure correspond to many economic applications. Since the ``underlying" measure is usually unknown the decision is mostly determined on the data basis, it means on statistical (mostly empirical) estimates of the probability measure. Properties of the optimal value (and solution) estimates have been investigated many times. There were introduced assumptions under which the asymptotic distribution is normal and the convergence rate is at least exponential. We generalize the assertions concerning rate convergence. Especially we shall consider distribiotions with the Pareto tails. The introduced assertions are focus on optimal value estimates.
Aplikace teorie katastrof typu CUSP na akciove trhy USA
Baruník, Jozef ; Vošvrda, Miloslav
The CUSP catastrophe model explains the crash of stock exchanges much better than alternative linear and logistic models. On the data U.S. staock markets we demonstrate that the crash of October 19, 1987 may be better explained by cusp catastropohe theory, which is not true for the crash of Sept.11, 2001
Extrakce volatility pomocí Kalmanova filtru
Kuchyňka, Alexandr
This paper focuses on the extraction of volatility of financial returns. The volatility process is modeled as a superposition of two autoregressive processes which represent the more persistent factor and the quickly mean-reverting factor. As the volatility is not observable, the logarithm of the daily high-low range is employed as its proxy. The estimation of parameters and volatility extraction are performed using a modified version of the Kalman filter which takes into account the finite sample distribution of the proxy.
Stochastic Cusp Catastrophe Application to Stock Market Crashes Modeling
Baruník, Jozef ; Vošvrda, Miloslav
The paper is one of the first attempts to fit the cusp catastrophe theory to stock market data.
Smart Predictors in the Heterogeneous Agent Model
Vácha, Lukáš ; Baruník, Jozef ; Vošvrda, Miloslav
In this paper we extended the original model of heterogeneous agent model by introducting smart traders concept.
Sentiment Patterns in the Heterogeneous Agent Model
Vácha, Lukáš ; Baruník, Jozef ; Vošvrda, Miloslav
In this paper we extended the original model of heterogeneous agent model by introducting smart traders and changes in the agents sentiment to the model.

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