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Statements

Subject Item
n2:0965
rdf:type
n4:Projekt
dcterms:description
Nové teoretické směry analýzy kapitálových trhů. The proposed research is aimed to contribute to understanding the factors influencing prices on financial markets. We plan to focus to changes in the fundamentals of financial assets, speculation, market sentiments and various shocks like unexpected changes of interest rates, policies, or criminal activities resulting in short-term fluctuations and even long-term swings between the periods of bull and bear markets. For a long term, the financial economics has been dominated by the efficient market hypothesis which was unable to capture these phenomena and thus it was unable to yield robust predictions. In our research, we plan to use approaches connecting quantitative analysis and behavioral approaches, namely the prospect theory, heterogeneous agents modeling and nonlinear dynamics approaches such as the catastrophe theory with bifurcations, which allow the existence of multiple equilibria and sunspot effects. The result of our research could be theories and models linking the macroeconomic prices variables, the evolution of financial markets, and the above mentioned ``un-systematic'' factors. The resulting methods and models will be applied, tested and calibrated on both well-established and emerging markets. Impacts of capital markets bifurcations on monetary macroeconomic equilibrium will be analyzed as well.
dcterms:title
Nové přístupy pro monitorování a predikci na kapitálových trzích New Approaches to Monitoring and Forecasting Financial Markets
n4:cislo-smlouvy
n13:0965
n4:druh-souteze
n12:VS
n4:faze
n6:52815062
n4:hlavni-obor
n10:AH
n4:id-aktivity
n7:GA
n4:id-souteze
n11:SGA02009GA-ST
n4:kategorie
n8:1
n4:klicova-slova
heterogenní agenti; behaviorální finance; bifurkace; cusp katastrofy; wavelety; neuronové sítě
n4:konec-reseni
2013-12-31+01:00
n4:pocet-koordinujicich-prijemcu
0
n4:poskytovatel
n5:GA0
n4:start-reseni
2009-01-01+01:00
n4:statni-podpora
4975
n4:typProjektu
n9:P
n4:uznane-naklady
4975
n4:pocet-prijemcu
1
n4:pocet-spoluprijemcu
0
n4:pocet-vysledku
36
n4:pocet-vysledku-zverejnovanych
36