Institute of Information Theory and Automation

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Projects

Dept.: E Duration: 2018 - 2020
Multi-objective stochastic programming problems correspond to economic situations in which economic process is simultaneously influenced by a random environment and a decision parameter selected with respect to multi-objective optimization problem depending on the probability measure. In applications very often the actual probability measure is a little perturbed, has to be replaced by empirical...
Dept.: E 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. Second, we study usefulness...
Dept.: E Duration: 2016 - 2018
The project will develop a new measures of dependence between economic variables, which will allow to study the frequency dependent dznamics of correlations in different quantiles of joint distribution. Although the previous literature is helpful in uncovering the origins of dependence at one of these dimensions in manz important economic problems, there exists no methodology being able to...
Dept.: E Duration: 2016 - 2018
The aim of this project is to model optimal dynamic behaviour of a risk-averse European carbon-emitting steel producer, to design and implement an algorithm solving the corresponding multi-stage optimisation problem and apply the model to a real-life steel company. A linear combination of mean profit and conditional value at risk will serve as a decision criterion; decision variables will...
Dept.: E Duration: 2016 - 2019
This project extensively examines the effect of financial sector development and financial risks on both long-term economic growth as well as short-term economic fluctuations during the current financial crisis. First, we extend previous research on the effect of financial development on economic growth by considering multidimensionality of financial system in a fuller manner and by employing the...
Dept.: E Duration: 2015 - 2017
The aim of the project is to create a dynamical structural model of a mortgage portfolio consisting of multiple tranches. A default of a loan will be driven by a sum of three factors: an overall one, a tranche specific one and an individual one. Analogously, a loss (given default) of individual mortgages will be driven by a sum of three factors (possibly standing for a collateral value). The...
Dept.: E Duration: 2014 - 2016
The aim of the research project is to analyze financial risk and market co-movements using novel econometric methods and their theoretically grounded modifications. The main focus will be on emerging European markets with respect to global developed markets, as well as important assets from commodities markets. Co-movements between the markets based on different data frequencies may potentially...
Dept.: E Duration: 2014 - 2016
The ability of financial markets to bear risk is central to economic welfare and stability. Growth and economic wellbeing is inhibited if financial markets are unable to transfer resources efficiently from the suppliers of liquiditz to entrepreneurs. However, this proper functioning of financial markets has been distorted by levels of volatility considerably in excess of those implied by...
Dept.: E 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. The second aim is to explore the...