17 citations · 70 across the 7 of their papers we have counts for
5 papers · 1 filter
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…