17 citations · 70 across the 7 of their papers we have counts for
9 papers
Modeling Price Clustering in High-Frequency Prices
Vladimír Holý, Petra Tomanová
The price clustering phenomenon manifesting itself as an increased occurrence of specific prices is widely observed and well-documented for various financial instruments and market…
Clustering with Penalty for Joint Occurrence of Objects: Computational Aspects
Ondřej Sokol, Vladimír Holý
The method of Holý, Sokol and Černý (Applied Soft Computing, 2017, Vol. 60, p. 752-762) clusters objects based on their incidence in a large number of given sets. The idea is to mi…
The Role of a Nation's Culture in the Country's Governance: Stochastic Frontier Analysis
Vladimír Holý, Tomáš Evan
What role does culture play in determining institutions in a country? This paper argues that the establishment of institutions is a process originating predominantly in a nation's…
Bertram's Pairs Trading Strategy with Bounded Risk
Vladimír Holý, Michal Černý
Finding Bertram's optimal trading strategy for a pair of cointegrated assets following the Ornstein--Uhlenbeck price difference process can be formulated as an unconstrained convex…
Modelling Time-Varying Rankings with Autoregressive and Score-Driven Dynamics
Vladimír Holý, Jan Zouhar
We develop a new statistical model to analyse time-varying ranking data. The model can be used with a large number of ranked items, accommodates exogenous time-varying covariates a…
Clustering of Arrivals in Queueing Systems: Autoregressive Conditional Duration Approach
Petra Tomanová, Vladimír Holý
Arrivals in queueing systems are typically assumed to be independent and exponentially distributed. Our analysis of an online bookshop, however, shows that there is an autocorrelat…
The Impact of Operating Environment on Efficiency of Public Libraries
Vladimír Holý
Analysis of technical efficiency is an important tool in management of public libraries. We assess the efficiency of 4660 public municipal libraries in the Czech Republic in the ye…
The Role of Shopping Mission in Retail Customer Segmentation
Ondřej Sokol, Vladimír Holý
In retailing, it is important to understand customer behavior and determine customer value. A useful tool to achieve such goals is the cluster analysis of transaction data. Typical…
Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy
Vladimír Holý, Petra Tomanová
When stock prices are observed at high frequencies, more information can be utilized in estimation of parameters of the price process. However, high-frequency data are contaminated…