Project information
Analýza a predikce vývoje cen finančních a investičních nástrojů
- Project Identification
- MUNI/A/0786/2013
- Project Period
- 1/2014 - 12/2014
- Investor / Pogramme / Project type
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Masaryk University
- Grant Agency of Masaryk University
- Category A
- MU Faculty or unit
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Faculty of Economics and Administration
- Ing. Petr Valouch, Ph.D.
- Ing. Luděk Benada, Ph.D.
- Ing. Barbora Buchtová, Ph.D.
- doc. Ing. et Ing. Martin Cupal, Ph.D. et Ph.D.
- Oleg Deev, Ph.D.
- Ing. Galina Deeva
- prof. Ing. Jiří Dvořák, DrSc.
- Mgr. et Mgr. Bc. Hana Florianová
- Ing. Mgr. Juraj Hruška, Ph.D.
- Ing. Bc. Jana Hvozdenská, Ph.D.
- Ing. Veronika Kajurová, Ph.D.
- Ing. Bc. Alois Konečný, Ph.D.
- Ing. Oleksandra Lemeshko
- Ing. Peter Mokrička, Ph.D.
- doc. Ing. Martin Svoboda, Ph.D.
- Ing. Boris Šturc, CSc.
- Mgr. Ing. Karel Urbanovský
- Ing. Dagmar Vágnerová Linnertová, Ph.D.
Projekt se zabývá analýzou funkčních vlastností a možností predikce vývoje cen finančních a investičních nástrojů na finančních trzích v období finančních krizí a mezi nimi včetně dopadu na stabilitu finančního systému, investory a také spotřebitele. Cílem projektu je ověřit vhodnost vybraných finančních modelů typu GARCH modelů, Jump Difusion Proces, Mean Reversion, a Implementace Wienerova procesu k analýze a predikci vývoje cen těchto nástrojů a jejich dopadu na stabilitu finančního systému, investory a spotřebitele. Součástí výzkumu je také možnost využití výnosových křivek při emisi a obchodování s vybranými finančními instrumenty a výzkum metod a technické realizace automatického obchodování s těmito nástroji zejména na bázi High-frequency trading.
Publications
Total number of publications: 50
2014
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Models for Insurable Value Assessment, their Accuracy and Optimal Value of Buildings
6th International Conference "Economic Challenges in Enlarged Europe" Conference Proceedings, year: 2014
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Mutual fund industry in developed and developing economies of Europe: Evidence on investment and diversification opportunities in Germany and Russia
SGEM Conference on Political Sciences, Law, Finance, Economics and Tourism - Conference Proceedings - Volume II Finance, year: 2014
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Options of modern tools in cyberspaces management of e-banking
European Financial Systems 2014, year: 2014
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Price vs. Performance Index – Comparison of the Czech PX with the DAX 30 and the EuroStoxx 50
European Financial Systems 2014. Proceedings of the 11th International Scientific Conference, year: 2014
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Private equity industry in the Central and Eastern Europe: Implications for real economy growth and financial markets development
The Role of Financial Sector in Supporting the Economic Recovery of CEE Countries: Proceedings of the 8th International Conference on Currency, Banking and International Finance, year: 2014
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Rational Speculative Bubbles in Central European Emerging Stock Markets
Eastern European Economics, year: 2014, volume: 52, edition: 4, DOI
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Rationality and Emotion in European Football: How Share Prices React to a New Coach’s Appointment
European Financial Systems 2014, year: 2014
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Tax considerations and merger activity in national and international context: Empirical evidence from the Czech Republic
European Financial Systems 2014: Proceedings of the 11th International Scientific Conference, year: 2014
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The Application of Sovereign Bond Spreads (The Case of Finland, Iceland, Norway, Sweden, Switzerland and Russia)
6th International Conference "Economic Challenges in Enlarged Europe" - Conference Proceedings, year: 2014
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The application of sovereign bond spreads: The case of France, Germany and Great Britain
Proceedings of the 32nd International Conference Mathematical Methods in Economics 2014, year: 2014