Institute of Information Theory and Automation

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Department of Econometrics

Secretary: 
Phone: 
266052411
Fax: 
266052232
Publications ÚTIA: 
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Department of Econometrics focuses on understanding and modelling important economic and financial problems like decision making of agents, asset pricing, understating interaction between agents, or recently understanding the economic impacts of pandemics. We offer solutions to these problems with the help of mathematical models as well as statistical methodologies. More recently, we utilize modern machine learning methods for decision-making problems and analyze high-dimensional data sets (big data). We particularly focus on understanding economic and financial problems, focusing on estimation of real-world data.

In our department, we cover topics such as Machine Learning/Statistical Learning, Dynamic networks and financial decision making, Dynamic quantile asset pricing models, Measurement of dependence between cyclical economic variables, High-frequency data analysis, Agent based models, Stochastic optimization and Macroeconomics.

Working Papers:

Selected Papers:

 

Organized conferences and workshops:

  • STAT of ML 2020, 2019, Prague. Economterics Department in cooperation with Humboldt-Universität zu Berlin and Faculty of Mathematics and Physics, Charles University in Prague organized a STAT of ML (Statistics of Machine Learning) conference held August 27-28, 2020.  
  • Haindorf workshop 2020, 2019, 2018, 2017, 2016. The series of joint workshops with Humboldt University organized in January are focused on networking activities of research groups of prof. Barunik and prof.Hardle and training PhD students in statistical techniques. We have enjoyed hosting several respected scholars who joined the workshops including Victor Chernozhukov (MIT), Oliver Linton (Cambridge), Bryan Graham (UC Berkeley), Qiwei Yao (LSE), Holger Dette (Bochum) and many visiting international scholars
  • 2015 – 2020 Research Seminar Series – Jointly with Institute of Economic Studies we organize occasional small workshops for PhD students with invited international speakers, i.e. Eddie Gerba (LSE), Mattia Bevilaqua (LSE), Todorova (Bocconi).
  • FinMaP – Financial Distortions & Macroeconomic Performance 2015 Prague: 2nd general workshop of the consortium organized by Institute of Information Theory and Automation.
  • FinMaP – Financial Distortions & Macroeconomic Performance 2015 Mannheim: 3rd general workshop of the consortium co-organized by Institute of Information Theory and Automation.
  • 2015 Econophysics Colloquium: The 2015 annual meeting of international researchers that brings together interdisciplinary research as physicists, economists and practitioners to discuss statistical methods, quantitative measures, modelling, simulations, and computational issues was co-organized in Prague by Institute of Information Theory and Automation and Charles University.
2021-11-02 11:01

Department detail

2021-10-07
Institutes of Information Theory and Automation in cooperation with Humboldt-Universität zu Berlin and Faculty of...
Stanislav Astapovich
Doc. PhDr. Jozef Baruník Ph.D.
PhDr. Jaromír Baxa Ph.D.
Mgr. Nino Buliskeria
PhDr. František Čech Ph.D.
Mgr. Jaroslav Dufek
Mgr. Luboš Hanus
Mgr. Marek Hauzr
Mgr. Martin Hronec
Mgr. Pavel Irinkov
Mgr. Lukáš Janásek
RNDr. Vlasta Kaňková CSc.
Prof. Ing. Evžen Kočenda Ph.D. DSc.
Jan Korbel
Prof. PhDr. Ladislav Krištoufek Ph.D.
Mgr. Dušan Križan
Mgr. Aleš Antonín Kuběna Ph.D.
PhDr. Jiří Kukačka Ph.D.
Mgr. Josef Kurka
Mgr. Ing. Barbora Máková
Barbora Malinská
PhDr. Aleš Maršal
Prof. RNDr. Radko Mesiar DrSc.
Mgr. Lenka Nechvátalová
Mgr. Matěj Nevrla
Jaroslav Pavlíček MA
Jan Šíla MSc.
Ing. Karel Sladký CSc.
RNDr. Martin Šmíd Ph.D.
Mgr. Ing. Martin Štěpánek
Mgr. Ing. Martin Štěpánek Ph.D.
Mgr. Lukáš Vácha Ph.D.
Prof. Ing. Miloslav Vošvrda CSc.
Mgr. Jan Žáček Ph.D.
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
The pre-2008 consensus on what is the most appropriate economic policy melted away. Since then, economists and policymakers have faced new challenges like the zero lower bound, the non-neutrality of financial regulation for the long-term economic performance, and increased uncertainty.
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.
Shahriyar Aliyev MSc.
Stanislav Astapovich
Periklis Brakatsoulas MSc.
Mgr. Václav Brož
Mgr. Nino Buliskeria
Laure DeBatz MA
Mgr. Jaroslav Dufek
Mgr. Emma Haas
Mgr. Luboš Hanus
Mgr. Marek Hauzr
Mgr. Martin Hronec
Mgr. Pavel Irinkov
Mgr. Lukáš Janásek
Mgr. Lucie Kraicová
Mgr. Ing. Adam Kučera
Mgr. Josef Kurka
Mgr. Ing. Barbora Máková
Barbora Malinská
PhDr. Aleš Maršal
Mgr. Lenka Nechvátalová
Mgr. Matěj Nevrla
Mgr. Tereza Palanská MA
Jaroslav Pavlíček MA
Mgr. Lukáš Petrásek
Mgr. Ing. Tomáš Šestořád

Pages

Statistic of Machine Learning , 2021-10-07
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...
Konference Covid v modelech , 2020-11-13
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...
Statistics of Machine Learning , 2019-09-30
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...
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