A research in the financial econometrics is on the cutting edge of the current research. Financial markets have very complex nature and cannot be easily understood using simple, tractable models. Thus the financial markets are investigated from the various perspectives.
Research in this field has more than forty-year tradition in our department. Stochastic programming problems are studied both theoretically and with respect to practical applications. Presently, the group focuses on the following areas:
Theory of copulass and aggregation operators
Our macroeconomics research has focused on an extensive evaluation of the nature of financial markets and its interconnections with macroeconomic dynamics and stability. Most of our early research investigated the efficiency of financial markets. This analysis is far from simple. It needs both an appropriate definition of market efficiency and appropriate statistical tools to address this question.
The goal of the project is to provide an in-depth understanding of decision making of small investor. With main focus on the impact that interaction on investor community platforms and other tools have on small investor behavior. Chosen tools will be evaluated on their usefulness in investor decision process in terms of achieved return, given risk and behavioral biases investors are facing.