Prof. PhDr. Ladislav Krištoufek, Ph.D.

Senior research fellow

Ladislav Krištoufek
kristouf@utia.cas.cz 266052243
Department: Department of Econometrics
Research interests: Finance econometrics, econophysics, complex systems, big data

Biography

Publication list


Professor Krištoufek is a graduate of Economics from the Institute of Economic Studies, Faculty of Social Sciences, Charles University, where he currently teaches econometrics, data analysis, and data science. 

He also gained international research experience during a six-month stay at Warwick Business School in the United Kingdom. At the age of 35, he became one of the youngest professors in the social sciences at Charles University. 

His current research primarily focuses on cryptocurrencies and crypto-assets, alongside a wide range of topics mainly in finance and energy. According to several independent rankings, he is currently the most cited social science researcher based in the Czech Republic.

Journal articles

  1. Sun W., Krištoufek Ladislav: Beyond GARCH in cryptocurrency volatility modelling: superiority of range-based estimators, Applied Economics Letters Download Download DOI: 10.1080/13504851.2024.2363295 [2025]
  2. Queiroz R. G. S., Krištoufek Ladislav, David S. A.: A combined framework to explore cryptocurrency volatility and dependence using multivariate GARCH and Copula modeling, Physica. A : Statistical Mechanics and its Applications 652 Download Download DOI: 10.1016/j.physa.2024.130046 [2024]
  3. Šíla Jan, Kočenda Evžen, Krištoufek Ladislav, Kukačka Jiří: Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness, JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY 96 Download Download DOI: 10.1016/j.intfin.2024.102062 [2024]
  4. Bouri E., Krištoufek Ladislav, Ahmad T., Shahzad S. J. H.: Microstructure noise and idiosyncratic volatility anomalies in cryptocurrencies, Annals of Operations Research 334, p. 547-573 Download Download DOI: 10.1007/s10479-022-04568-9 [2024]
  5. Bouri E., Shahzad S. J. H., Krištoufek Ladislav: 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 Download Download DOI: 10.1186/s40854-023-00560-9 [2023]
  6. Krištoufek Ladislav: Will Bitcoin ever become less volatile?, Finance Research Letters 51 Download Download DOI: 10.1016/j.frl.2022.103353 [2023]
  7. Krištoufek Ladislav, Bouri E.: Exploring sources of statistical arbitrage opportunities among Bitcoin exchanges, Finance Research Letters 51 Download Download DOI: 10.1016/j.frl.2022.103332 [2023]
  8. Nedvěd M., Krištoufek Ladislav: Safe havens for Bitcoin, Finance Research Letters 51 Download Download DOI: 10.1016/j.frl.2022.103436 [2023]
  9. Inacio Jr. C. M. C., Krištoufek Ladislav, David S. A.: Assessing the impact of the Russia–Ukraine war on energy prices: A dynamic cross-correlation analysis, Physica. A : Statistical Mechanics and its Applications 626 Download Download DOI: 10.1016/j.physa.2023.129084 [2023]
  10. Kukačka Jiří, Krištoufek Ladislav: Fundamental and speculative components of the cryptocurrency pricing dynamics, Financial Innovation 9 Download Download DOI: 10.1186/s40854-023-00465-7 [2023]
  11. Krištoufek Ladislav: On the role of stablecoins in cryptoasset pricing dynamics, Financial Innovation 8 Download Download DOI: 10.1186/s40854-022-00343-8 [2022]
  12. Kumar A., Iqbal N., Mitra S. K., Krištoufek Ladislav, Bouri E.: Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak, JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY 71 Download Download DOI: 10.1016/j.intfin.2022.101523 [2022]
  13. Tilfani O., Krištoufek Ladislav, Ferreira P., El Boukfaoui M. Y.: Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression, Physica. A : Statistical Mechanics and its Applications 588 Download Download DOI: 10.1016/j.physa.2021.126530 [2022]
  14. Assaf A., Krištoufek Ladislav, Demir E., Mitra S. M.: 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 Download Download DOI: 10.1016/j.intfin.2021.101312 [2021]
  15. Krištoufek Ladislav: Tethered, or Untethered? On the interplay between stablecoins and major cryptoassets, Finance Research Letters 43 Download Download DOI: 10.1016/j.frl.2021.101991 [2021]
  16. Shahzad S. J. H., Bouri E., Krištoufek Ladislav, Saeed T.: Impact of the COVID‐19 outbreak on the US equity sectors: Evidence from quantile return spillovers, Financial Innovation 7 Download Download DOI: 10.1186/s40854-021-00228-2 [2021]
  17. Kukačka Jiří, Krištoufek Ladislav: Does parameterization affect the complexity of agent-based models?, Journal of Economic Behavior & Organization 192 1 (2021), p. 324-356 Download Download DOI: 10.1016/j.jebo.2021.10.007 [2021]
  18. Shahzad S. J. H., Bouri E., Kayani G. M., Nasir R. M., Krištoufek Ladislav: Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour, Physica. A : Statistical Mechanics and its Applications 550 Download Download DOI: 10.1016/j.physa.2020.124519 [2020]
  19. Krištoufek Ladislav: Grandpa, Grandpa, Tell Me the One About Bitcoin Being a Safe Haven: New Evidence From the COVID-19 Pandemic, Frontiers in Physics 8 Download Download DOI: 10.3389/fphy.2020.00296 [2020]
  20. Avdulaj Krenar, Krištoufek Ladislav: On Tail Dependence and Multifractality, Mathematics 8 Download Download DOI: 10.3390/math8101767 [2020]
  21. Ferreira P., Krištoufek Ladislav, Pereira E. J. D. A. L.: DCCA and DMCA correlations of cryptocurrency markets, Physica. A : Statistical Mechanics and its Applications 545 Download Download DOI: 10.1016/j.physa.2019.123803 [2020]
  22. Ferreira P., Krištoufek Ladislav: Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union, Physica. A : Statistical Mechanics and its Applications 553 Download Download DOI: 10.1016/j.physa.2020.124257 [2020]
  23. Kukačka Jiří, Krištoufek Ladislav: Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality, Journal of Economic Dynamics & Control 113 Download Download DOI: 10.1016/j.jedc.2020.103855 [2020]
  24. Shahzad S. J. H., Bouri E., Roubaud D., Krištoufek Ladislav, Lucey B.: Is Bitcoin a better safe-haven investment than gold and commodities?, International Review of Financial Analysis 63 1 (2019), p. 322-330 Download Download DOI: 10.1016/j.irfa.2019.01.002 [2019]
  25. Krištoufek Ladislav, Vošvrda Miloslav: Cryptocurrencies market efficiency ranking: Not so straightforward, Physica. A : Statistical Mechanics and its Applications 531 Download Download DOI: 10.1016/j.physa.2019.04.089 [2019]
  26. Krištoufek Ladislav, Vošvrda Miloslav: Herding, minority game, market clearing and efficient markets in a simple spin model framework, Communications in Nonlinear Science and Numerical Simulation 54 1 (2018), p. 148-155 Download Download DOI: 10.1016/j.cnsns.2017.05.025 [2018]
  27. Krištoufek Ladislav, Ferreira P.: Capital asset pricing model in Portugal: Evidence from fractal regressions, Portuguese Economic Journal 17 3 (2018), p. 173-183 Download DOI: 10.1007/s10258-018-0145-5 [2018]
  28. Krištoufek Ladislav: Fractality in market risk structure: Dow Jones Industrial components case, Chaos Solitons & Fractals 110 1 (2018), p. 69-75 Download DOI: 10.1016/j.chaos.2018.02.028 [2018]
  29. Krištoufek Ladislav, Vošvrda Miloslav: Herding, minority game, market clearing and efficient markets in a simple spin model framework, Communications in Nonlinear Science and Numerical Simulation 54 1 (2018), p. 148-155 Download DOI: 10.1016/j.cnsns.2017.05.025 [2018]
  30. Krištoufek Ladislav, Ferreira P.: What is new about covered interest parity condition in the European Union? Evidence from fractal cross-correlation regressions, Physica. A : Statistical Mechanics and its Applications 486 1 (2017), p. 554-566 Download DOI: 10.1016/j.physa.2017.05.085 [2017]
  31. Krištoufek Ladislav: Fractal approach towards power-law coherency to measure cross-correlations between time series, Communications in Nonlinear Science and Numerical Simulation 50 1 (2017), p. 193-200 Download DOI: 10.1016/j.cnsns.2017.02.018 [2017]
  32. Krištoufek Ladislav, Vošvrda Miloslav: Gold, currencies and market efficiency, Physica. A : Statistical Mechanics and its Applications 449 1 (2016), p. 27-34 Download Download DOI: 10.1016/j.physa.2015.12.075 [2016]
  33. Krištoufek Ladislav: Power-law cross-correlations estimation under heavy tails, Communications in Nonlinear Science and Numerical Simulation 40 1 (2016), p. 163-172 Download DOI: 10.1016/j.cnsns.2016.04.010 [2016]
  34. Krištoufek Ladislav, Vošvrda Miloslav: Gold, currencies and market efficiency, Physica. A : Statistical Mechanics and its Applications 449 1 (2016), p. 27-34 Download DOI: 10.1016/j.physa.2015.12.075 [2016]
  35. Vakrman T., Krištoufek Ladislav: Underpricing, underperformance and overreaction in initial public offerings: Evidence from investor attention using online searches, SpringerPlus 4 Download DOI: 10.1186/s40064-015-0839-4 [2015]
  36. Pavlíček J., Krištoufek Ladislav: Nowcasting Unemployment Rates with Google Searches: Evidence from the Visegrad Group Countries, PLoS ONE 10 Download DOI: 10.1371/journal.pone.0127084 [2015]
  37. Krištoufek Ladislav: What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis, PLoS ONE 10 Download DOI: 10.1371/journal.pone.0123923 [2015]
  38. Krištoufek Ladislav: Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components, Physica. A : Statistical Mechanics and its Applications 428 1 (2015), p. 194-205 Download DOI: 10.1016/j.physa.2015.02.057 [2015]
  39. Krištoufek Ladislav: 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 (2015), p. 218-222 Download DOI: 10.1016/j.physa.2014.11.040 [2015]
  40. Krištoufek Ladislav: Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales, Physical Review E 91 1 (2015) Download DOI: 10.1103/PhysRevE.91.022802 [2015]
  41. Krištoufek Ladislav: Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?, Physica. A : Statistical Mechanics and its Applications 431 1 (2015), p. 124-127 Download DOI: 10.1016/j.physa.2015.02.086 [2015]
  42. Krištoufek Ladislav, Luňáčková P.: Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets, Energy Economics 49 1 (2015), p. 1-8 Download DOI: 10.1016/j.eneco.2015.01.013 [2015]
  43. Krištoufek Ladislav: Finite sample properties of power-law cross-correlations estimators, Physica. A : Statistical Mechanics and its Applications 419 1 (2015), p. 513-525 Download DOI: 10.1016/j.physa.2014.10.068 [2015]
  44. Krištoufek Ladislav, Vošvrda Miloslav: Commodity futures and market efficiency, Energy Economics 42 1 (2014), p. 50-57 Download DOI: 10.1016/j.eneco.2013.12.001 [2014]
  45. Chrz Š., Janda K., Krištoufek Ladislav: Provázanost trhu potravin, biopaliv a fosilních paliv, Politická ekonomie 62 1 (2014), p. 117-140 Download DOI: 10.18267/j.polek.940 [2014]
  46. Krištoufek Ladislav: Spectrum-based estimators of the bivariate Hurst exponent, Physical Review E 90 6 (2014) Download DOI: 10.1103/PhysRevE.90.062802 [2014]
  47. Krištoufek Ladislav: Measuring correlations between non-stationary series with DCCA coefficient, Physica. A : Statistical Mechanics and its Applications 402 1 (2014), p. 291-298 Download DOI: 10.1016/j.physa.2014.01.058 [2014]
  48. Krištoufek Ladislav: Leverage effect in energy futures, Energy Economics 45 1 (2014), p. 1-9 Download DOI: 10.1016/j.eneco.2014.06.009 [2014]
  49. Krištoufek Ladislav: Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series, Physica. A : Statistical Mechanics and its Applications 406 1 (2014), p. 169-175 Download DOI: 10.1016/j.physa.2014.03.015 [2014]
  50. Krištoufek Ladislav, Janda K., Zilberman D.: Price transmission between biofuels, fuels and food commodities, Biofuels Bioproducts & Biorefining-Biofpr 8 3 (2014), p. 362-373 Download DOI: 10.1002/bbb.1464 [2014]
  51. Bláhová P., Janda K., Krištoufek Ladislav: The perspectives for genetically modified cellulosic biofuels in the Central European conditions, Agricultural Economics = Zemědělská ekonomika 60 6 (2014), p. 247-259 Download [2014]
  52. Krištoufek Ladislav, Vošvrda Miloslav: Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy, European Physical Journal B 87 7 (2014) Download DOI: 10.1140/epjb/e2014-50113-6 [2014]
  53. Krištoufek Ladislav, Vošvrda Miloslav: Commodity futures and market efficiency, Energy Economics 42 1 (2014), p. 50-57 Download DOI: 10.1016/j.eneco.2013.12.001 [2014]
  54. Krištoufek Ladislav, Luňáčková P.: Long-term memory in electricity prices: Czech market evidence, Finance a úvěr-Czech Journal of Economics and Finance 63 5 (2013), p. 407-424 Download [2013]
  55. Krištoufek Ladislav: BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era, Scientific Reports 3 Download DOI: 10.1038/srep03415 [2013]
  56. Krištoufek Ladislav: Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence, Scientific Reports 3 10 (2013) Download DOI: 10.1038/srep02857 [2013]
  57. Krištoufek Ladislav: Testing power-law cross-correlations: Rescaled covariance test, European Physical Journal B 86 10 (2013) Download DOI: 10.1140/epjb/e2013-40705-y [2013]
  58. Krištoufek Ladislav: Mixed-correlated ARFIMA processes for power-law cross-correlations, Physica. A : Statistical Mechanics and its Applications 392 24 (2013), p. 6484-6493 Download DOI: 10.1016/j.physa.2013.08.041 [2013]
  59. Krištoufek Ladislav: Can Google Trends search queries contribute to risk diversification?, Scientific Reports 3 2713 (2013), p. 1-5 Download DOI: 10.1038/srep02713 [2013]
  60. Vácha Lukáš, Janda K., Krištoufek Ladislav, Zilberman D.: Time-Frequency Dynamics of Biofuel-Fuel-Food System, Energy Economics 40 1 (2013), p. 233-241 Download DOI: 10.1016/j.eneco.2013.06.015 [2013]
  61. Krištoufek Ladislav, Janda K., Zilberman D.: Regime-dependent topological properties of biofuels networks, European Physical Journal B 86 2 (2013) Download DOI: 10.1140/epjb/e2012-30871-9 [2013]
  62. Krištoufek Ladislav, Vošvrda Miloslav: Measuring capital market efficiency: Global and local correlations structure, Physica. A : Statistical Mechanics and its Applications 392 1 (2013), p. 184-193 Download DOI: 10.1016/j.physa.2012.08.003 [2013]
  63. Krištoufek Ladislav, Skuhrovec J.: Exponential and power laws in public procurement markets, EPL 99 2 (2012) Download DOI: 10.1209/0295-5075/99/28005 [2012]
  64. Krištoufek Ladislav, Janda Karel, Zilberman D.: Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective, Energy Economics 34 5 (2012), p. 1380-1391 Download DOI: 10.1016/j.eneco.2012.06.016 [2012]
  65. Krištoufek Ladislav: 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 (2012), p. 4252-4260 Download DOI: 10.1016/j.physa.2012.04.005 [2012]
  66. Krištoufek Ladislav: Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity, Advances in Complex Systems 15 6 (2012) Download DOI: 10.1142/S0219525912500658 [2012]
  67. Krištoufek Ladislav, Vošvrda Miloslav: Efektivita kapitálových trhů: Fraktální dimenze, Hurstův exponent a entropie, Politická ekonomie 60 2 (2012), p. 208-221 Download [2012]
  68. Baruník Jozef, Vácha Lukáš, Krištoufek Ladislav: Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data, IES Working Papers 2011 22 (2011), p. 1-22 Download [2011]
  69. Krištoufek Ladislav: Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations, EPL 95 6 (2011) Download DOI: 10.1209/0295-5075/95/68001 [2011]
  70. Krištoufek Ladislav: On spurious anti-persistence in the US stock indices, Chaos Solitons & Fractals 43 1 (2010), p. 68-78 Download DOI: 10.1016/j.chaos.2010.09.001 [2010]
  71. Krištoufek Ladislav: Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals, AUCO Czech Economic Review 3 (2010), p. 236-250 Download [2010]
  72. Krištoufek Ladislav: Dlouhá pamět a její vývoj ve výnosech burzovního indexu PX v letech 1997 - 2009, Politická ekonomie 58 4 (2010), p. 471-478 Download [2010]
  73. Baruník Jozef, Krištoufek Ladislav: On Hurst exponent estimation under heavy-tailed distributions, Physica. A : Statistical Mechanics and its Applications 389 18 (2010), p. 3844-3855 Download DOI: 10.1016/j.physa.2010.05.025 [2010]
  74. Krištoufek Ladislav: Local Scaling Properties and Market Turning Points at Prague Stock Exchange, Acta physica Polonica. B 41 6 (2010), p. 1001-1014 Download [2010]
  75. Krištoufek Ladislav: Long-range dependence in returns and volatility of Central European Stock Indices, Bulletin of the Czech Econometric Society 17 27 (2010), p. 50-67 Download [2010]
  76. Krištoufek Ladislav: Long-range dependence in returns and volatility of Central European Stock Indices, IES Working Papers 2010 3 (2010), p. 1-19 Download [2010]
  77. Krištoufek Ladislav: Classical and modified rescaled range analysis: Sampling properties under heavy tails, IES Wokring Papers 2009 29 (2009), p. 1-17 Download [2009]

Other publications

  1. Šíla Jan, Kočenda Evžen, Kukačka Jiří, Krištoufek Ladislav: Good vs. Bad Volatility in Major Cryptocurrencies: The Dichotomy and Drivers of Connectedness, IES UK (IES UK, 2023) Download [2023]
  2. Krištoufek Ladislav, Vošvrda Miloslav: Capital market efficiency in the Ising model environment: Local and global effects, Proceedings of the 34th International Conference Mathematical Methods in Economics MME 2016, p. 465-470 Download [2016]
  3. Krištoufek Ladislav: Scaling of dependence between foreign exchange rates and stock markets in Central Europe, Acta Physica Polonica A. Vol 129, n. 5 (2016) - Proceedings of the 8th Polish Symposium of Physics in Economy and Social Sciences FENS, p. 908-912 Download DOI: 10.12693/APhysPolA.129.908 [2016]
  4. Krištoufek Ladislav, Vošvrda Miloslav: Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy, Proceedings of the 31st International Conference Mathematical Methods in Economics 2013, p. 470-475 Download [2013]
  5. Ivanková Kristýna, Krištoufek Ladislav, Vošvrda Miloslav: Evaluating the Efficient Market Hypothesis by means of isoquantile surfaces and the Hurst exponent, Mathematical Methods in Economics 2011, p. 300-305 Download [2011]
  6. Krištoufek Ladislav: Multifractal Height Cross-Correlation Analysis, Mathematical Methods in Economics 2011, p. 1-19 Download [2011]
  7. Baruník Jozef, Vácha Lukáš, Krištoufek Ladislav: Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data, 28th International Conference on Mathematical Methods in Economics 2010, p. 12-17, Eds: Houda Michal, Friebelová Jana Download [2010]
  8. Krištoufek Ladislav: Multifractal height cross-correlation analysis, ÚTIA AV ČR (Praha, 2010) Download [2010]
  9. Baruník Jozef, Krištoufek Ladislav: On Hurst exponent estimation under heavy-tailed distributions, ÚTIA AV ČR (Praha, 2009) [2009]
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