T
Tomáš Tichý
Researcher at Technical University of Ostrava
Publications - 52
Citations - 437
Tomáš Tichý is an academic researcher from Technical University of Ostrava. The author has contributed to research in topics: Valuation of options & Discontinuous Galerkin method. The author has an hindex of 10, co-authored 50 publications receiving 367 citations.
Papers
More filters
Journal ArticleDOI
Wrapper ANFIS-ICA method to do stock market timing and feature selection on the basis of Japanese Candlestick
TL;DR: A novel forecasting model for stock markets on the basis of the wrapper ANFIS-ICA (Adaptive Neural Fuzzy Inference System)-ICA (Imperialist Competitive Algorithm) and technical analysis of Japanese Candlestick is presented.
Journal ArticleDOI
Two alternative approaches for selecting performance measures in data envelopment analysis
Mehdi Toloo,Tomáš Tichý +1 more
TL;DR: In this paper, the authors extend both multiplier and envelopment forms of data envelopment analysis models and propose two alternative approaches for selecting performance measures under variable returns to scale, which leads to the maximum efficiency scores and the maximum discrimination between efficient units is achieved by applying the envelopment form.
Journal ArticleDOI
A smoothing filter based on fuzzy transform
Michal Holčapek,Tomáš Tichý +1 more
TL;DR: A smoothing filter is generalized based on the fuzzy transform recently proposed by Perfilieva to obtain a better control on the smoothed functions and is compared with the Nadaraya-Watson estimator.
Posted Content
International equity portfolio risk modeling: the case of the NIG model and ordinary copula functions
Aleš Kresta,Tomáš Tichý +1 more
TL;DR: In this paper, the authors examined the potential contribution of Levy-based subordinated models coupled by ordinary elliptical copula functions to the estimation of the distribution pattern of international equity portfolios, and observed that the subordinated NIG model coupled with the Student copula function, and in particular its combined estimation version, allows them to get very good estimates of portfolio risk measures.
Journal ArticleDOI
DG method for numerical pricing of multi-asset Asian options—The case of options with floating strike
Jiří Hozman,Tomáš Tichý +1 more
TL;DR: In this paper, a general form of PDE for pricing of Asian option contracts on two assets is presented, based on an ideal pure diffusion process for two risky asset prices with an additional pathdependent variable for continuous arithmetic average.