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Institute of Information Theory and Automation
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Department of Econometrics
Deputy head:
Secretary:
Phone:
266052411
Fax:
266052232
Publications ÚTIA:
list
The members of department have concentrated on the following research fields:
- Real and monetary macrodynamics, dynamic economics and econometrics, stochastic economics and econometrics, and econometric modelling.
- Advanced methods in financial econometrics and wavelets analysis of capital markets.
- Nonlinear and stochastic optimization, stochastic dynamic optimization.
- Market microstructure, behavioural finance, credit risk models.
- Financial econometrics advanced methods in financial econometrics,
- Macroeconomics real and monetary macroeconomics, econometrics, and econometrical modelling, financial market analysis, and stability of economic systems,
- Stochastic optimization stochastically dynamics optimization,
Research Fields:
Department detail
Duration: 2020
- 2021
Cílem projektu je vytvoření softwarového nástroje pro simulaci sociálních vazeb a protiepidemických opatření, který umožní porovnat efektivitu opatření s jejich dopadem na život jednotlivce i společnosti. Jádrem tohoto nástroje je síťový model dosavadního šíření COVID-19 v ČR.
Duration: 2020
- 2022
This project focuses on the construction of complex networks of financial markets’ linkages
around the world. First, several measures of associations will be considered, describing
different aspects of market relationships. Second, suitable subgraphs will be identified, in order to create a suitable network representation capturing main dependencies between markets.
Duration: 2020
- 2022
The project addresses the disconnection issue of the current financial and economic agent-based research. A complex agent-based economic model with an integrated financial sector will be suggested and a focus will be devoted to its econometric estimation. This interconnection will allow an overall study of the economic system under realistic assumptions about the behavior of economic agents.
Duration: 2020
- 2022
The project focuses on analysis of specific aspects of cryptoassets (cryptocurrencies), specifically on three main branches of research. First, we study the cryptoassets pricing mechanisms, mainly with respect to their fundamental factors such as number of users, number of transactions, traded volume, and others.
Duration: 2019
- 2023
The recent availability of large digital finance datasets brings new challenges to quantitative finance. Many of the classical financial econometric or optimization models become inappropriate or intractable when applied to digital finance data.
Duration: 2019
- 2021
The goal of this Project is to study arbitrage opportunities on limit order markets with boundedly rational agents.
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Fakulta sociálních věd UK
Fakulta sociálních věd UK
Fakulta sociálních věd UK
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Hlavním cílem konference Covid v modelech je představit veřejnosti pokroky v modelování pandemie COVID-19 a jejích dopadů na společnost. Budou v ní prezentovány dílčí výsledky projektu Město pro lidi, ne pro virus, který je v ÚTIA řešen od...
Institutes of Information Theory and Automation in cooperation with Humboldt-Universität zu Berlin and Faculty of Mathematics and Physics, Charles University in Prague organizes STAT of ML (Statistics of Machine Learning) conference to be...
Ekonometrický den 2010 ,
2010-11-11
V listopadu 2010 se konal v ÚTIA Ekonometricky den, jehož organizátorem je Česká ekonometrická společnost. Kromě Valné hromady ČES, byla na programu přednáška vítězné práce Soutěže o nějlepší studentskou vědeckou práci z teoretické...