prof. PhDr. Ladislav Krištoufek, Ph.D.

Education

2009-2013: PhD. - IES FSV UK
2009: PhDr. Economics - IES FSV UK
2007 - 2009: Mgr. (MSc. equivalent) Economics - IES FSV UK
2006-2007: Economics, London Metropolitan Business School, London Metropolitan University, UK (Erasmus Exchange Program)
2004 - 2007: Bc. (BSc. equivalent) Economics - IES FSV UK

Job history

2022+: Vice-Rector for Research, UK
2018-2022: Vice-Dean for Student Affairs, FSV UK
2020+: Full Professor, IES FSV UK
2016-2020: Associate Professor, IES FSV UK
2014-2015: Research Fellow, Warwick Business School, University of Warwick
2014+: Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Department of Econometrics; research fellow
2013-2016: Assistant Professor, IES FSV UK
2013-2014: Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Department of Econometrics; postdoc
2009-2013: Teaching Assistant, IES FSV UK
2011: Research visit, University of California, Berkeley
2010-2012: External lecturer, Metropolitan University Prague
2009-2013: Research Assistant, Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Department of Econometrics

Monographs

Chapters in monographs

Articles

• Krištoufek L. (2011). Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations. Europhysics Letters, 95(6), 1-6. UT-WOS link
• Krištoufek L. (2010). Rescaled range analysis and detrended fluctuation analysis: finite sample properties and confidence intervals. Acta Universitatis Carolinae. Oeconomica, Czech Economic Review, 4(3), 315-329.
• Krištoufek L. (2010). On spurious anti-persistence in the US stock indices. Chaos, Solitons and Fractals, 43(1-12), 68-78. UT-WOS link
• Krištoufek L., & Vošvrda M. (2018). Herding, minority game, market clearing and efficient markets in a simple spin model framework. Communications in Nonlinear Science and Numerical Simulation, 54(January), 148-155. UT-WOS link
• Krištoufek L. (2018). Does solar activity affect human happiness?. Physica A: Statistical Mechanics and its Applications, 493(March), 47-53. UT-WOS link
• Krištoufek L. (2015). What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis. PLoS One, 10(4), nestránkováno. UT-WOS link
• Krištoufek L. (2015). On the interplay between short and long term memory in the power-law cross-correlations setting. Physica A: Statistical Mechanics and its Applications, 421(1.3.), 218-222. UT-WOS link
• Krištoufek L. (2018). On Bitcoin markets (in)efficiency and its evolution. Physica A: Statistical Mechanics and its Applications, 503(August), 257-262. UT-WOS link
• Krištoufek L. (2015). Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales. Physical Review E: Statistical, Nonlinear and Soft Matter Physics, 91(2), nestránkováno. UT-WOS link
• Krištoufek L. (2017). Has global warming modified the relationship between sunspot numbers and global temperatures?. Physica A: Statistical Mechanics and its Applications, 468(February), 351-358. UT-WOS link
• Krištoufek L. (2014). Spectrum-based estimators of the bivariate Hurst exponent. Physical Review E: Statistical, Nonlinear and Soft Matter Physics, 90(6), nestránkováno. UT-WOS link
• Krištoufek L., & Luňáčková P. (2015). Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets. Energy Economics, 49(May), 1-8. UT-WOS link
• Krištoufek L. (2014). Leverage effect in energy futures. Energy Economics, 45(September), 1-9. UT-WOS link
• Krištoufek L. (2014). Measuring correlations between non-stationary series with DCCA coefficient. Physica A: Statistical Mechanics and its Applications, 402(May), 291-298. UT-WOS link
• Krištoufek L., Janda K., & Zilberman D. (2016). Comovements of ethanol-related prices: evidence from Brazil and the USA. GCB Bioenergy, 8(2), 346-356. UT-WOS link
• Krištoufek L. (2021). Tethered, or Untethered? On the interplay between stablecoins and major cryptoassets. Finance Research Letters, 43(November), 1-5. UT-WOS link
• Krištoufek L. (2014). Detrending moving-average cross-correlation coefficient : Measuring cross-correlations between non-stationary series. Physica A: Statistical Mechanics and its Applications, 406(July), 169-175. UT-WOS link
• Krištoufek L. (2015). Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?. Physica A: Statistical Mechanics and its Applications, 431(1.8.), 124-127. UT-WOS link
• Krištoufek L., Janda K., & Zilberman D. (2014). Non-linear Price Transmission between Biofuels, Fuels and Food Commodities. Working Paper Series, Neuveden(481), 1-28.
• Krištoufek L. (2013). BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era. Scientific Reports, 3(3415), nestránkováno. UT-WOS link
• Krištoufek L. (2013). Testing power-law cross-correlations: rescaled covariance test. European Physical Journal B, 86(10), nestránkováno. UT-WOS link
• Krištoufek L., Moat H., & Preis T. (2016). Estimating suicide occurrence statistics using Google Trends. EPJ Data Science, 5(1), nestránkováno. UT-WOS link
• Krištoufek L., Janda K., & Zilberman D. (2013). Regime-dependent topological properties of biofuels networks. European Physical Journal B, 86(2), 1-12. UT-WOS link
• Krištoufek L., Janda K., & Zilberman D. (2012). Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective. Energy Economics, 34(5), 1380-1391. UT-WOS link
• Krištoufek L. (2022). On the role of stablecoins in cryptoasset pricing dynamics. Financial Innovation [online], 8(1), nestránkováno. UT-WOS link
• Krištoufek L., & Bouri E. (2023). Exploring sources of statistical arbitrage opportunities among Bitcoin exchanges. Finance Research Letters, 51(Januar 2023), nestránkováno. UT-WOS link
• Krištoufek L. (2023). Will Bitcoin ever become less volatile?. Finance Research Letters, 51(Januar 2023), nestránkováno. UT-WOS link
• Krištoufek L. (2020). Bitcoin and its mining on the equilibrium path. Energy Economics, 85(January), 1-9. UT-WOS link
• Krištoufek L. (2012). Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity. Advances in Complex Systems, 15(6), 1250065_1-1250065_13. UT-WOS link
• Krištoufek L., & Vošvrda M. (2012). Efektivita kapitálových trhů: fraktální dimenze, Hurstův exponent a entropie. Politická ekonomie, 60(2), 208-221. UT-WOS link
• Krištoufek L., & Skuhrovec J. (2012). Exponential and power laws in public procurement markets. Europhysics Letters, 99(2), 28005_p1-28005_p6. UT-WOS link
• Krištoufek L., & Vošvrda M. (2013). Measuring capital market efficiency: Global and local correlations structure. Physica A: Statistical Mechanics and its Applications, 392(1), 184-193. UT-WOS link
• Krištoufek L. (2012). How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study. Physica A: Statistical Mechanics and its Applications, 391(17), 4252-4260. UT-WOS link
• Krištoufek L., & Vošvrda M. (2014). Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy. European Physical Journal B, 87(7), nestránkováno. UT-WOS link
• Krištoufek L., & Vošvrda M. (2014). Commodity futures and market efficiency. Energy Economics, 42(March), 50-57. UT-WOS link
• Krištoufek L. (2010). Dlouhá paměť a její vývoj ve výnosech burzovního indexu PX v letech 1997-2009. Politická ekonomie, 58(4), 471-487. UT-WOS link
• Krištoufek L. (2010). Local scaling properties and market turning points at Prague Stock Exchange. Acta Physica Polonica, Series B, 41(6), 1223-1236. UT-WOS link
• Krištoufek L. (2010). Long-range dependence in returns and volatility of Central European Stock Indices. Bulletin of the Czech Econometric Society, 17(27), 50-67.
• Krištoufek L. (2016). Power-law cross-correlations estimation under heavy tails. Communications in Nonlinear Science and Numerical Simulation, 40(November), 163-172. UT-WOS link
• Krištoufek L., & Luňáčková P. (2013). Long-term Memory in Electricity Prices: Czech Market Evidence. Finance a úvěr, 63(5), 407-424. UT-WOS link
• Krištoufek L. (2013). Mixed-correlated ARFIMA processes for power-law cross-correlations. Physica A: Statistical Mechanics and its Applications, 392(24), 6484-6493. UT-WOS link
• Krištoufek L. (2013). Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence. Scientific Reports, 3(October), nestránkováno. UT-WOS link
• Krištoufek L. (2013). Non-stationary volatility with highly anti-persistent increments: evidence from range-based volatility. Hyperion International Journal of Econophysics & New Economy, 6(1), 39-58.
• Krištoufek L. (2013). Can Google Trends search queries contribute to risk diversification?. Scientific Reports, 3(September), nestránkováno. UT-WOS link
• Krištoufek L., Janda K., & Zilberman D. (2014). Price transmission between biofuels, fuels, and food commodities. Biofuels, Bioproducts and Biorefining, 8(3), 362-373. UT-WOS link
• Krištoufek L. (2020). Grandpa, Grandpa, Tell Me the One About Bitcoin Being a Safe Haven: New Evidence From the COVID-19 Pandemic. Frontiers in Physics [online], 8(July), 1-6. UT-WOS link
• Krištoufek L. (2019). Is the Bitcoin price dynamics economically reasonable? Evidence from fundamental laws. Physica A: Statistical Mechanics and its Applications, 536(December), 1-7. UT-WOS link
• Krištoufek L. (2019). Are the crude oil markets really becoming more efficient over time? Some new evidence. Energy Economics, 82(August), 253-263. UT-WOS link
• Krištoufek L. (2015). Finite sample properties of power-law cross-correlations estimators. Physica A: Statistical Mechanics and its Applications, 419(February), 513-525. UT-WOS link
• Baruník J., & Krištoufek L. (2010). On Hurst exponent estimation under heavy-tailed distributions. Physica A: Statistical Mechanics and its Applications, 389(18), 3844-3855. UT-WOS link
• Němcová Tejkalová A., & Krištoufek L. (2021). Anything Can Happen in Women's Tennis, or Can It? An Empirical Investigation Into Bias in Sports Journalism. Communication & Sport, 9(5), 742-760. UT-WOS link
• Ferreira P., Krištoufek L., & Pereira E. (2020). DCCA and DMCA correlations of cryptocurrency markets. Physica A: Statistical Mechanics and its Applications, 545(May), 1-8. UT-WOS link
• Kukačka J., & Krištoufek L. (2023). Fundamental and speculative components of the cryptocurrency pricing dynamics. Financial Innovation, 9(1), UT-WOS link
• Nedvěd M., & Krištoufek L. (2023). Safe havens for Bitcoin. Finance Research Letters, 51(January), UT-WOS link
• Kubal J., & Krištoufek L. (2022). Exploring the relationship between Bitcoin price and network's hashrate within endogenous system. International Review of Financial Analysis, 84(November 2022), UT-WOS link
• Janda K., Krištoufek L., & Zhang B. (2022). Return and volatility spillovers between Chinese and US clean energy related stocks. Energy Economics, 108(April 2022), nestránkováno. UT-WOS link
• Avdulaj K., & Krištoufek L. (2020). On Tail Dependence and Multifractality. Mathematics [online], 8(10), nestránkováno. UT-WOS link
• Janda K., Krištoufek L., & Zilberman D. (2012). Biofuels: Impacts and Policies. Agricultural Economics, 58(8), 372-386. UT-WOS link
• Assaf A., Krištoufek L., Demir E., & Kumar Mitra S. (2021). Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures. Journal of International Financial Markets, Institutions and Money, 71(March), 1-15. UT-WOS link
• Janda K., & Krištoufek L. (2019). The Relationship Between Fuel and Food Prices: Methods and Outcomes. Annual Review of Resource Economics, 11(October), 195-216. UT-WOS link
• Kukačka J., & Krištoufek L. (2020). Do 'complex' financial models really lead to complex dynamics? Agent-based models and multifractality. Journal of Economic Dynamics and Control, 113(April), 1-23. UT-WOS link
• Fil M., & Krištoufek L. (2020). Pairs Trading in Cryptocurrency Markets. IEEE Access, 8(September), 172644-172651. UT-WOS link
• Kukačka J., & Krištoufek L. (2021). Does parameterization affect the complexity of agent-based models?. Journal of Economic Behavior and Organization, 192(December), 324-356. UT-WOS link
• Tilfani O., Krištoufek L., Ferreira P., & Boukfaoui M. (2022). Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression. Physica A: Statistical Mechanics and its Applications, 588(February), nestránkováno. UT-WOS link
• Janda K., Krištoufek L., Schererová B., & Zilberman D. (2021). Price transmission in biofuel-related global agricultural networks. Agricultural Economics, 67(10), 399-408. UT-WOS link
• Vakrman T., & Krištoufek L. (2015). Underpricing, underperformance and overreaction in initial public offerings: Evidence from investor attention using online searches. SpringerPlus, 4(February 14), 1-11. UT-WOS link
• Pavlíček J., & Krištoufek L. (2015). Nowcasting Unemployment Rates with Google Searches: Evidence from the Visegrad Group Countries. PLoS One, 10(5), nestránkováno. UT-WOS link
• Paulus M., & Krištoufek L. (2015). Worldwide clustering of the corruption perception. Physica A: Statistical Mechanics and its Applications, 428(15.6.), 351-358. UT-WOS link
• Vácha L., Janda K., Krištoufek L., & Zilberman D. (2013). Time-frequency dynamics of biofuel-fuel-food system. Energy Economics, 40(November), 233-241. UT-WOS link
• Chrz Š., Janda K., & Krištoufek L. (2014). Modelování provázanosti trhů potravin, biopaliv a fosilních paliv. Politická ekonomie, 62(1), 117-140. UT-WOS link
• Bouri E., Shahzad S., & Krištoufek L. (2023). Editorial to special issue "Hidden market linkages between Bitcoin, cryptocurrencies and financial markets: Evidence from high-frequency data and higher-order moments" in financial innovation. Financial Innovation, 9(1), UT-WOS link
• Filip O., Janda K., Krištoufek L., & Zilberman D. (2016). Dynamics and evolution of the role of biofuels in global commodity and financial markets. Nature Energy [online], 1(November), 1-9. UT-WOS link
• Ji Q., Bouri E., Krištoufek L., & Lucey B. (2021). Realised volatility connectedness among Bitcoin exchange markets. Finance Research Letters, 38(January), nestránkováno. UT-WOS link
• Shahzad S., Bouri E., Krištoufek L., & Saeed T. (2021). Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spillovers. Financial Innovation [online], 7(1), 1-23. UT-WOS link
• Filip O., Janda K., Krištoufek L., & Zilberman D. (2019). Food versus fuel: An updated and expanded evidence. Energy Economics, 82(August), 152-166. UT-WOS link
• Bláhová P., Janda K., & Krištoufek L. (2014). The perspectives for genetically modified cellulosic biofuels in the Central European conditions. Agricultural Economics, 60(6), 247-259. UT-WOS link
• Filip O., Janda K., & Krištoufek L. (2018). Ceny biopaliv a souvisejících komodit: analýza s použitím metod minimální kostry grafu a hierarchických stromů. Politická ekonomie, 66(2), 218-239. UT-WOS link
• Kumar A., Iqbal N., Mitra S., Krištoufek L., & Bouri E. (2022). Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak. Journal of International Financial Markets, Institutions and Money, 77(March), 1-17. UT-WOS link
• Shahzad S., Bouri E., Roubaud D., Krištoufek L., & Lucey B. (2019). Is Bitcoin a better safe-haven investment than gold and commodities?. International Review of Financial Analysis, 63(May), 322-330. UT-WOS link
• Hussain Shahzad S., Bouri E., Roubaud D., & Krištoufek L. (2020). Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin. Economic Modelling, 87(May), 212-224. UT-WOS link
• Bouri E., Shahzad S., Roubaud D., Krištoufek L., & Lucey B. (2020). Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis. Quarterly Review of Economics and Finance, 77(August), 156-164. UT-WOS link
• Ji Q., Bouri E., Roubaud D., & Krištoufek L. (2019). Information interdependence among energy, cryptocurrency and major commodity markets. Energy Economics, 81(June), 1042-1055. UT-WOS link

Contributions in the conference proceedings

• Krištoufek L. (2011). Multifractal height cross-correlation analysis. Mathematical methods in economics 2011 : 29th International conference : proceedings : September 6-9 2011, Janská Dolina, Slovakia. Part 2 (pp. 407-412). UT-WOS link
• Krištoufek L. (2016). Scaling of Dependence between Foreign Exchange Rates and Stock Markets in Central Europe. Acta Physica Polonica A (pp. 908-912). UT-WOS link
• Krištoufek L., & Vošvrda M. (2017). Herding, minority game, market clearing and efficient markets in a simple spin model framework. Mathematical Methods in Economics (MME 2017) (pp. 372-377). UT-WOS link
• Krištoufek L., & Vošvrda M. (2016). Capital market efficiency in the Ising model environment: Local and global effects. 34th International Conference Mathematical Methods in Economics (MME 2016) (pp. 465-470). UT-WOS link
• Krištoufek L., & Vošvrda M. (2012). Measuring capital market efficiency with tools of statistical physics. Proceedings of 30th International Conference Mathematical Methods in Economics (pp. 496-501).
• Krištoufek L. (2012). Non-stationary volatility with highly anti-persistent increments: An alternative paradigm in volatility modeling?. Proceedings of 30th International Conference Mathematical Methods in Economics (pp. 490-495).
• Krištoufek L. (2010). Local scaling properties and market turning points at Prague Stock Exchange. Collection of papers 2010 (pp. 27-36).
• Janda K., Krištoufek L., & Zilberman D. (2013). Public Policies on Biofuels in the Context of Energy Security. Proceedings of the 18th International Conference – Theoretical and Practical Aspects of Public Finance 2013 (pp. 86-96).
• Ivanková K., Krištoufek L., & Vošvrda M. (2011). Evaluating the Efficient Market Hypothesis by means of isoquantile surfaces and the Hurst exponent. Mathematical methods in economics 2011 : 29th International conference : proceedings : September 6-9 2011, Janská Dolina, Slovakia. Part 1 (pp. 300-305).
• Baruník J., Vácha L., & Krištoufek L. (2010). Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data. Mathematical Methods in Economics (pp. 12-17).

2014 Otto Wichterle Prize
2013 Czech Society for Operational Research Award
2013 Czech Econometrics Society Award, 1st place
2012 Energy Economics Contest, 1st place
2010 Czech Econometrics Society Award, 3rd place

JEB157 - Data Analysis in R
JEM227 - Data Science with R I
JEM220 - Data Science with R II

Bachelor theses

Please see Diploma theses section.

Master theses

General topics, preferably applied (you are more than welcome to specify the topic yourself):

Topics on Crypto(currency) markets
Topics on Efficient markets hypothesis
Topics on Fractal markets hypothesis
Topics on Econometrics of financial time series
Topics on Fractality/self-similarity/long-range dependence
Topics in Inter(Multi)disciplinary Economics and Finance
Topics in Computational Social Science
Topics in Energy Economics and Finance
Topics in Data Science (also in cooperation with CSOB)

Some specific topics (not limited to):
- Cryptomining and global warming: Are we heading towards catastrophe?
- Efficiency, predictability and liquidity in the crypto-markets
- Fundamental trading in cryptomarkets
- HODLing and mooning vs. standard strategies in the crypto-markets
- ICOs vs. IPOs: Comparison of the stylized facts
- Monetary economics of Bitcoin: Could it work?
- Multifractal signatures before the market crashes
- Predictability and liquidity in the crypto(currency) markets
- Spin models in marketing
- Spin models in biofuels markets (interplay between producing for food and for biofuel)

Only theses in English and LaTeX are to be supervised.

Financial Econometrics, Computational Economics and Finance, Interdisciplinary Finance and Economics, Energy Finance, Cryptoassets