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
24 papers · 1 filter
Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series
Ladislav Kristoufek
In the paper, we introduce a new measure of correlation between possibly non-stationary series. As the measure is based on the detrending moving-average cross-correlation analysis…
Max-min and min-max approximation problems for normal matrices revisited
Jörg Liesen, Petr Tichý
We give a new proof for an equality of certain max-min and min-max approximation problems involving normal matrices. The previously published proofs of this equality apply tools fr…
Measuring correlations between non-stationary series with DCCA coefficient
Ladislav Kristoufek
In this short report, we investigate the ability of the DCCA coefficient to measure correlation level between non-stationary series. Based on a wide Monte Carlo simulation study, w…
Dynamics of second order in time evolution equations with state-dependent delay
Igor Chueshov, Alexander Rezounenko
We deal with a class of second order in time nonlinear evolution equations with state-dependent delay. This class covers several important PDE models arising in the theory ofnonlin…
Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence
Ladislav Kristoufek
We analyze whether the prediction of the fractal markets hypothesis about a dominance of specific investment horizons during turbulent times holds. To do so, we utilize the continu…
Can Google Trends search queries contribute to risk diversification?
Ladislav Kristoufek
Portfolio diversification and active risk management are essential parts of financial analysis which became even more crucial (and questioned) during and after the years of the Glo…
Quasistatic adhesive contact delaminating in mixed mode and its numerical treatment
Martin Kruzik, Christos G. Panagiotopoulos, Tomas Roubicek
An adhesive unilateral contact between visco-elastic bodies at small strains and in a Kelvin-Voigt rheology is scrutinized, neglecting inertia. The flow-rule for debonding the adhe…
Commodity futures and market efficiency
Ladislav Kristoufek, Miloslav Vosvrda
We analyze the market efficiency of 25 commodity futures across various groups -- metals, energies, softs, grains and other agricultural commodities. To do so, we utilize recently…
Exponential and power laws in public procurement markets
Ladislav Kristoufek, Jiri Skuhrovec
For the first time ever, we analyze a unique public procurement database, which includes information about a number of bidders for a contract, a final price, an identification of a…
Mixed-correlated ARFIMA processes for power-law cross-correlations
Ladislav Kristoufek
We introduce a general framework of the Mixed-correlated ARFIMA (MC-ARFIMA) processes which allows for various specifications of univariate and bivariate long-term memory. Apart fr…
Testing power-law cross-correlations: Rescaled covariance test
Ladislav Kristoufek
We introduce a new test for detection of power-law cross-correlations among a pair of time series - the rescaled covariance test. The test is based on a power-law divergence of the…
Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?
Jozef Barunik, Evzen Kocenda, Lukas Vacha
Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in financial markets. Yet, the large literature studying informa…
Example of a Non-standard Extreme Value Law
Nicolai Haydn, Michal Kupsa
It has been shown that sufficiently well mixing dynamical systems with positive entropy have extreme value laws which in the limit converge to one of the three standard distributio…
On Robustness Criteria and Robust Topology Optimization with Uncertain Loads
Michal Kocvara
We propose a new algorithm for the solution of the robust multiple-load topology optimization problem. The algorithm can be applied to any type of problem, e.g., truss topology, va…
Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy
Ladislav Kristoufek, Miloslav Vosvrda
We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [Kristoufek & Vosvrda (2013), Physica A 392]. This way, we are ab…
Decision-Theoretic Troubleshooting: Hardness of Approximation
Václav Lín
Decision-theoretic troubleshooting is one of the areas to which Bayesian networks can be applied. Given a probabilistic model of a malfunctioning man-made device, the task is to co…
On the partitions with Sturmian-like refinements
Michal Kupsa, Štepán Starosta
In the dynamics of a rotation of the unit circle by an irrational angle , we study the evolution of partitions whose atoms are finite unions of left-closed right-open in…
On Separation Criterion and Recovery Algorithm for Chain Graphs
Milan Studeny
Chain graphs give a natural unifying point of view on Markov and Bayesian networks and enlarge the potential of graphical models for description of conditional independence structu…
Composition of Probability Measures on Finite Spaces
Radim Jirousek
Decomposable models and Bayesian networks can be defined as sequences of oligo-dimensional probability measures connected with operators of composition. The preliminary results sug…
The Quantum Entropy Cone of Stabiliser States
Noah Linden, František Matúš, Mary Beth Ruskai +1
We investigate the universal linear inequalities that hold for the von Neumann entropies in a multi-party system, prepared in a stabiliser state. We demonstrate here that entropy v…
Bayesian Networks from the Point of View of Chain Graphs
Milan Studeny
AThe paper gives a few arguments in favour of the use of chain graphs for description of probabilistic conditional independence structures. Every Bayesian network model can be equi…
Conditional Independence and Markov Properties in Possibility Theory
Jirina Vejnarova
Conditional independence and Markov properties are powerful tools allowing expression of multidimensional probability distributions by means of low-dimensional ones. As multidimens…
Marginalization in Composed Probabilistic Models
Radim Jirousek
Composition of low-dimensional distributions, whose foundations were laid in the papaer published in the Proceeding of UAI'97 (Jirousek 1997), appeared to be an alternative apparat…
On characterizing Inclusion of Bayesian Networks
Tomas Kocka, Remco R. Bouckaert, Milan Studeny
Every directed acyclic graph (DAG) over a finite non-empty set of variables (= nodes) N induces an independence model over N, which is a list of conditional independence statements…