Jan Novotny | City, University of London (original) (raw)

Papers by Jan Novotny

Research paper thumbnail of Price jumps in visegrad-country stock markets: An empirical analysis

We employ high frequency data to study extreme price changes (i.e., price jumps) in the Prague, W... more We employ high frequency data to study extreme price changes (i.e., price jumps) in the Prague, Warsaw, Budapest, and Frankfurt stock market indexes from June 2003 to December 2010. We use the price jump index and normalized returns to analyze the distribution of extreme returns. The comparison of jump distributions across different frequencies, periods, up and down moves, and markets suggests a possible relationship with different market regulation and micro-structure. We also show that the recent financial crisis resulted in an overall increase in volatility; however, this was not translated into an increase in the absolute number of jumps.

Research paper thumbnail of Employment, Production and Consumption model: Patterns of phase transitions

Physica A: Statistical Mechanics and its …, Jan 1, 2010

We have simulated the model of Employment, Production and Consumption (EPC) using Monte Carlo. Th... more We have simulated the model of Employment, Production and Consumption (EPC) using Monte Carlo. The EPC model is an agent based model that mimics very basic rules of industrial economy. From the perspective of physics, the nature of the interactions in the EPC model represents multi-agent interactions where the relations among agents follow the key laws for circulation of capital and money. Monte Carlo simulations of the stochastic model reveal phase transition in the model economy. The two phases are the phase with full unemployment and the phase with nearly full employment. The economy switches between these two states suddenly as a reaction to a slight variation in the exogenous parameter, thus the system exhibits strong non-linear behavior as a response to the change of the exogenous parameters.

Research paper thumbnail of Price Jumps in Visegrad Country Stock Markets: An Empirical Analysis

papers.ssrn.com

ISBN 978-80-7343-210-2 (Univerzita Karlova. Centrum pro ekonomický výzkum a doktorské studium) IS... more ISBN 978-80-7343-210-2 (Univerzita Karlova. Centrum pro ekonomický výzkum a doktorské studium) ISBN 978-80-7344-200-2 (Národohospodářský ústav AV ČR, v.v.i.) Abstract I empirically study price jumps using high frequency data comprising 5-, 10-, 15-and 30-minute market data on the main indices from the Prague, Warsaw, Budapest and Frankfurt Stock Exchanges for June 2003 to the end of 2008. I use two definitions of price jumps: the price jump index and normalized returns. First, I analyze the distribution of returns to support the presence of jumps. Second, I find that the distributions of the price jump indicators employed are significantly different for positive moves compared with negative moves in all the markets studied. In addition, the comparison of jump distributions across different frequencies and markets suggests a possible relationship with market micro-structure as well as with the composition of investors. In particular, at the Prague Stock Exchange, the lower the frequency, the lower the number of extreme jumps, but this is not so at the other markets. Last but not least, I show that the recent financial crisis caused an overall increase in volatility. However, this was not translated into an increase in the absolute number of jumps.

Research paper thumbnail of Were Stocks during the Financial Crisis More Jumpy: A Comparative Study

CERGE-EI Working Papers, Jan 1, 2010

ISBN 978-80-7343-214-0 (Univerzita Karlova. Centrum pro ekonomický výzkum a doktorské studium) IS... more ISBN 978-80-7343-214-0 (Univerzita Karlova. Centrum pro ekonomický výzkum a doktorské studium) ISBN 978-80-7344-204-0 (Národohospodářský ústav AV ČR, v.v.i.)

Research paper thumbnail of The Identification of Price Jumps

Ann Arbor

ISBN 978-80-7343-235-5 (Univerzita Karlova. Centrum pro ekonomický výzkum a doktorské studium) IS... more ISBN 978-80-7343-235-5 (Univerzita Karlova. Centrum pro ekonomický výzkum a doktorské studium) ISBN 978-80-7344-225-5 (Národohospodářský ústav AV ČR, v.v.i.)

Research paper thumbnail of Price jumps in visegrad-country stock markets: An empirical analysis

We employ high frequency data to study extreme price changes (i.e., price jumps) in the Prague, W... more We employ high frequency data to study extreme price changes (i.e., price jumps) in the Prague, Warsaw, Budapest, and Frankfurt stock market indexes from June 2003 to December 2010. We use the price jump index and normalized returns to analyze the distribution of extreme returns. The comparison of jump distributions across different frequencies, periods, up and down moves, and markets suggests a possible relationship with different market regulation and micro-structure. We also show that the recent financial crisis resulted in an overall increase in volatility; however, this was not translated into an increase in the absolute number of jumps.

Research paper thumbnail of Employment, Production and Consumption model: Patterns of phase transitions

Physica A: Statistical Mechanics and its …, Jan 1, 2010

We have simulated the model of Employment, Production and Consumption (EPC) using Monte Carlo. Th... more We have simulated the model of Employment, Production and Consumption (EPC) using Monte Carlo. The EPC model is an agent based model that mimics very basic rules of industrial economy. From the perspective of physics, the nature of the interactions in the EPC model represents multi-agent interactions where the relations among agents follow the key laws for circulation of capital and money. Monte Carlo simulations of the stochastic model reveal phase transition in the model economy. The two phases are the phase with full unemployment and the phase with nearly full employment. The economy switches between these two states suddenly as a reaction to a slight variation in the exogenous parameter, thus the system exhibits strong non-linear behavior as a response to the change of the exogenous parameters.

Research paper thumbnail of Price Jumps in Visegrad Country Stock Markets: An Empirical Analysis

papers.ssrn.com

ISBN 978-80-7343-210-2 (Univerzita Karlova. Centrum pro ekonomický výzkum a doktorské studium) IS... more ISBN 978-80-7343-210-2 (Univerzita Karlova. Centrum pro ekonomický výzkum a doktorské studium) ISBN 978-80-7344-200-2 (Národohospodářský ústav AV ČR, v.v.i.) Abstract I empirically study price jumps using high frequency data comprising 5-, 10-, 15-and 30-minute market data on the main indices from the Prague, Warsaw, Budapest and Frankfurt Stock Exchanges for June 2003 to the end of 2008. I use two definitions of price jumps: the price jump index and normalized returns. First, I analyze the distribution of returns to support the presence of jumps. Second, I find that the distributions of the price jump indicators employed are significantly different for positive moves compared with negative moves in all the markets studied. In addition, the comparison of jump distributions across different frequencies and markets suggests a possible relationship with market micro-structure as well as with the composition of investors. In particular, at the Prague Stock Exchange, the lower the frequency, the lower the number of extreme jumps, but this is not so at the other markets. Last but not least, I show that the recent financial crisis caused an overall increase in volatility. However, this was not translated into an increase in the absolute number of jumps.

Research paper thumbnail of Were Stocks during the Financial Crisis More Jumpy: A Comparative Study

CERGE-EI Working Papers, Jan 1, 2010

ISBN 978-80-7343-214-0 (Univerzita Karlova. Centrum pro ekonomický výzkum a doktorské studium) IS... more ISBN 978-80-7343-214-0 (Univerzita Karlova. Centrum pro ekonomický výzkum a doktorské studium) ISBN 978-80-7344-204-0 (Národohospodářský ústav AV ČR, v.v.i.)

Research paper thumbnail of The Identification of Price Jumps

Ann Arbor

ISBN 978-80-7343-235-5 (Univerzita Karlova. Centrum pro ekonomický výzkum a doktorské studium) IS... more ISBN 978-80-7343-235-5 (Univerzita Karlova. Centrum pro ekonomický výzkum a doktorské studium) ISBN 978-80-7344-225-5 (Národohospodářský ústav AV ČR, v.v.i.)