Institute of Information Theory and Automation

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Doc. PhDr. Ladislav Krištoufek, Ph.D.

Senior research fellow
Research interests: 
Finance econometrics, econophysics, complex systems, big data
Publications ÚTIA: 
2018-12-10 13:50

Person detail

Duration: 2017 - 2019
The project focuses on utilization of multifractal framework in finance and financial economics. Specifically, we focus on three main branches of research. First, we examine how occurrence of financial extreme events translates into multifractal properties of the time series. For this purpose, we utilize the cusp catastrophe theory and the log-periodic power-law model.
Duration: 2014 - 2016
The project focuses on analysis of financial time series in a framework of bivariate long memory with a special attention on power-law decaying cross-correlation function and its implications for dynamic properties of such processes. The first target is to use these implications for construction of statistical tests to distinguish between short and long memory.



Stanislav Astapovich
Mgr. Marek Hauzr
Mgr. Pavel Irinkov
Mgr. Ing. Barbora Máková
Jaroslav Pavlíček MA
Jan Šíla MSc.
Fakulta sociálních věd UK
Fakulta sociálních věd UK
Fakulta sociálních věd UK