999 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- Czech Academy of SciencesCZ67 papers
- Charles UniversityCZ39 papers
- Czech Technical University in PragueCZ33 papers
- Johannes Kepler University of LinzAT7 papers
- University of South Bohemia in České BudějoviceCZ6 papers
- University of WarwickGB6 papers
- V. N. Karazin Kharkiv National UniversityUA6 papers
- Federation UniversityAU5 papers
- Prague University of Economics and BusinessCZ5 papers
- Technical University of LiberecCZ5 papers
- Czech Academy of Sciences, Institute of ThermomechanicsCZ4 papers
- Friedrich-Alexander-Universität Erlangen-NürnbergDE4 papers
21 papers · 1 filter
On time transformations for differential equations with state-dependent delay
A. V. Rezounenko
Systems of differential equations with state-dependent delay are considered. The delay dynamically depends on the state i.e. is governed by an additional differential equation. By…
CANDECOMP/PARAFAC Decomposition of High-order Tensors Through Tensor Reshaping
Anh Huy Phan, Petr Tichavsky, Andrzej Cichocki
In general, algorithms for order-3 CANDECOMP/-PARAFAC (CP), also coined canonical polyadic decomposition (CPD), are easily to implement and can be extended to higher order CPD. Unf…
Noninvadability implies noncoexistence for a class of cancellative systems
Jan M. Swart
There exist a number of results proving that for certain classes of interacting particle systems in population genetics, mutual invadability of types implies coexistence. In this p…
Two-dimensional Potts antiferromagnets with a phase transition at arbitrarily large q
Yuan Huang, Kun Chen, Youjin Deng +5
We exhibit infinite families of two-dimensional lattices (some of which are triangulations or quadrangulations of the plane) on which the q-state Potts antiferromagnet has a finite…
Time-Frequency Dynamics of Biofuels-Fuels-Food System
Lukas Vacha, Karel Janda, Ladislav Kristoufek +1
For the first time, we apply the wavelet coherence methodology on biofuels (ethanol and biodiesel) and a wide range of related commodities (gasoline, diesel, crude oil, corn, wheat…
Cramer-Rao-Induced Bounds for CANDECOMP/PARAFAC tensor decomposition
Petr Tichavsky, Anh Huy Phan, Zbynek Koldovsky
This paper presents a Cramer-Rao lower bound (CRLB) on the variance of unbiased estimates of factor matrices in Canonical Polyadic (CP) or CANDECOMP/PARAFAC (CP) decompositions of…
Measuring capital market efficiency: Global and local correlations structure
Ladislav Kristoufek, Miloslav Vosvrda
We introduce a new measure for the capital market efficiency. The measure takes into consideration the correlation structure of the returns (long-term and short-term memory) and lo…
Weak characterizations of stochastic integrability and Dudley's theorem in infinite dimensions
Martin Ondrejat, Mark Veraar
In this paper we consider stochastic integration with respect to cylindrical Brownian motion in infinite dimensional spaces. We study weak characterizations of stochastic integrabi…
Entropy-driven phase transition in low-temperature antiferromagnetic Potts models
Roman Kotecký, Alan D. Sokal, Jan M. Swart
We prove the existence of long-range order at sufficiently low temperatures, including zero temperature, for the three-state Potts antiferromagnet on a class of quasi-transitive pl…
Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment
Jiri Kukacka, Jozef Barunik
The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model using the Brock and Hommes (1998) framework. Behavioural pat…
Low Complexity Damped Gauss-Newton Algorithms for CANDECOMP/PARAFAC
Anh Huy Phan, Petr Tichavský, Andrzej Cichocki
The damped Gauss-Newton (dGN) algorithm for CANDECOMP/PARAFAC (CP) decomposition can handle the challenges of collinearity of factors and different magnitudes of factors; neverthel…
A TFETI Domain Decomposition Solver for Elastoplastic Problems
M. Čermák, T. Kozubek, S. Sysala +1
We propose an algorithm for the efficient parallel implementation of elastoplastic problems with hardening based on the so-called TFETI (Total Finite Element Tearing and Interconne…
On Fast Computation of Gradients for CANDECOMP/PARAFAC Algorithms
Anh Huy Phan, Petr Tichavský, Andrzej Cichocki
Product between mode- unfolding $\bY_{(n)}$ of an -D tensor $\tY$ and Khatri-Rao products of factor matrices $\bA^{(m)}$, exists in algo…
Modeling and forecasting exchange rate volatility in time-frequency domain
Jozef Barunik, Tomas Krehlik, Lukas Vacha
This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-freq…
Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity
Ladislav Kristoufek
We investigate whether fractal markets hypothesis and its focus on liquidity and invest- ment horizons give reasonable predictions about dynamics of the financial markets during th…
Systems of branching, annihilating, and coalescing particles
Siva Athreya, Jan Swart
This paper studies systems of particles following independent random walks and subject to annihilation, binary branching, coalescence, and deaths. In the case without annihilation,…
Thermodynamically-consistent mesoscopic model of the ferro/paramagnetic transition
Barbora Benešová, Martin Kružík, Tomáš Roubíček
A continuum evolutionary model for micromagnetics is presented that, beside the standard magnetic balance laws, includes thermo-magnetic coupling. To allow conceptually efficient c…
On Hurst exponent estimation under heavy-tailed distributions
Jozef Barunik, Ladislav Kristoufek
In this paper, we show how the sampling properties of the Hurst exponent methods of estimation change with the presence of heavy tails. We run extensive Monte Carlo simulations to…
Monte Carlo-based tail exponent estimator
Jozef Barunik, Lukas Vacha
In this paper we propose a new approach to estimation of the tail exponent in financial stock markets. We begin the study with the finite sample behavior of the Hill estimator unde…
Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis
Lukas Vacha, Jozef Barunik
In this paper, we contribute to the literature on energy market co-movement by studying its dynamics in the time-frequency domain. The novelty of our approach lies in the applicati…
Understanding the source of multifractality in financial markets
Jozef Barunik, Tomaso Aste, Tiziana Di Matteo +1
In this paper, we use the generalized Hurst exponent approach to study the multi- scaling behavior of different financial time series. We show that this approach is robust and powe…