Grant detail

GAUK 46108: New Nonlinear Capital Markets Theories: Fractal, Bifurcational and Behavioral Approach

Principal investigator: doc. PhDr. Jozef Baruník Ph.D.
Collaborators: PhDr. Jaromír Baxa Ph.D.
PhDr. Petr Gapko Ph.D.
prof. Ing. Miloslav Vošvrda CSc.
Description:

Traditional approaches to financial markets leave several unanswered questions behind, as Efficient Market Hypothesis deviates from the empirical observations. Realisations of prices are different from Gaussian random walk, distributions of returns are far away from assumptions of normal. As the reaction to these empirical findings, there is a large amount of new approaches for the understanding of financial markets behavior. Our research is focused on these new approaches, which are so far marginalized in Czech economics, mainly on fractal, bifurcational and behavioral approaches. Fractal approach is based on self-similarity of financial time series, and the Fractal Market Hypothesis is generalization to the Efficient Market Hypothesis. Bifurcation theories (i.e.Cusp Catastrophe Theory) help us to understand extreme situations on the markets, especially market crashes. On the other hand, behavioral theories are explaining similar phenomenon with bounded rationality of agents, assymetric valuation function etc. Hence main goal of our project is to explore markets as complex, adaptive, nonlinear systems, and present empirical findings from emerging markets which have not yet been tested using these approaches.

Participation:
Work in grant:
Web link:
Finance:
End date: 2010
Publications:

A Simple Real Business Cycle Model - An Application on the Czech Economy.

A Simple Real Business Cycle Model of the Czech Economy

Barunik J., Sotak B.: Influence of Different Ownership Forms on Effectivity of Czech and Slovak Banks: Stochastic Frontier Approach

Barunik J., Vacha L., Vosvrda M.: Smart Predictions in the Heterogeneous Agent Model

Baruník J., Vácha L.: Neural Networks with Wavelet Based Denoising Layer: Application to Central European Stock Market Forecasting

Baruník J., Vosvrda M.: Application of Cusp Catastrophe Theory to U.S. Stock Market Crashes

Barunik J., Vosvrda M.: Can a stochastic cusp catastrophe model explain stock market crashes?

Baruník J., Vošvrda M.: Cusp Catastrophe Theory: Application to U.S. Stock

Baruník J.: How Does Neural Networks Enhance the Predictability of Central European Stock Returns?

Barunik, J. & Kristoufek, L.: On Hurst exponent estimation under heavy-tailed distributions

How Does Monetary Policy Change? Evidence on Inflation Targeting Countries

Modeling a Distribution of Mortgage Credit Losses

Modeling a distribution of mortgage credit losses

Modeling a distribution of mortgage credit losses

Pricing of Traded Warrants

Vacha L., Barunik J. Vosvrda M.: Sentiment Patterns in the Heterogeneous Agent Model

Vacha L., Barunik J.: Wavelet Neural Networks Prediction of Central European Stock Markets

Vacha L., Barunik J.: What does the wavelet analysis tell us about the Central European stock markets behavior during the crisis?

Vosvrda M., Baruník J.: Modelování krachů na kapitálových trzích: Aplikace teorie stochastických katastrof

Wavelet Analysis of Central European Stock Market Behaviour During the Crisis

Conferences:

45th Meeting of the Euro Working Group on Financial Modelling

47th Meeting of the Euro Working Group on Financial Modelling

Annual Conference of the Royal Economic Society

DIW Macroeconometric Workshop

Econometric Day

Financial Management of Firms and Financial Institutions

IES Young Scholar Workshop

Mathematica User Conference

Mathematical Methods in Economics 2008

Mathematical Methods in Economics 2010

Quantitative Methods in Economics

WEHIA/ESHIA 2010

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance