Institute of Information Theory and Automation

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Doc. PhDr. Jozef Baruník, Ph.D.

head of the department
Research interests: 
financial econometrics, high frequency data analysis, spectral analysis, measurement of connections in financial markets
Publications ÚTIA: 

The Team

PDF icon Vitae 2023 (Oct)48.21 KB
2023-11-02 12:09

Person detail

Duration: 2024 - 2026
The project will develop a new family of models for identification of tail risks in financial markets from possibly large datasets using deep learning algorithms. Our newly developed methods will allow us to revisit several classical problems in empirical asset pricing. We believe that the results will be of fundamental character and will open number of questions.
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.
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.
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.
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.
Duration: 2013 - 2015
The project focuses on studying multivariate time-frequency dynamics of financial markets using spectral methods. First target is to formulate new spectral-based realized measure of variance and covariance using wavelets, which will be applied to measure the integrated volatililty and covolatility under the various types of dependent microstructure noise.



Mgr. Martin Hronec
Mgr. Lukáš Janásek
Mgr. Josef Kurka
Mgr. Lenka Nechvátalová
Mgr. Matěj Nevrla
Mgr. Matěj Nevrla
Attila Sárkány
Mgr. Krenar Avdulaj Ph.D.
PhDr. František Čech Ph.D.
Mgr. Tomáš Křehlík Ph.D.
PhDr. Jiří Kukačka Ph.D.
Fakulta sociálních věd UK
Fakulta sociálních věd UK
Fakulta sociálních věd UK
Fakulta sociálních věd UK
Fakulta sociálních věd UK
Fakulta sociálních věd UK