Jan Vecer

Charles University in Prague - Faculty of Mathematics and Physics

Sokolovska 83

Prague, 186 75

Czech Republic

  • Charles University in Prague - Faculty of Mathematics and Physics

SCHOLARLY PAPERS

14

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Top 15,335

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5,319

SSRN CITATIONS

6

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1

Scholarly Papers (14)

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1.

Crossing in Soccer has a Strong Negative Impact on Scoring: Evidence from the English Premier League the German Bundesliga and the World Cup 2014

Number of pages: 24 Posted: 28 Feb 2013 Last Revised: 02 Mar 2016
Jan Vecer
Charles University in Prague - Faculty of Mathematics and Physics
Downloads 2,880 (7,296)
Citation 2

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Crossing, Soccer, Poisson regression, Multilevel modeling, Sport statistics

2.

Black-Scholes Representation for Asian Options

Mathematical Finance, Forthcoming
Number of pages: 25 Posted: 18 Dec 2012
Jan Vecer
Charles University in Prague - Faculty of Mathematics and Physics
Downloads 602 (72,815)

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Asian option, Black-Scholes formula, hedging

3.

Optimal Distributional Trading Gain: Generalizations of Merton's Portfolio Problem with Implications to Bayesian Statistics

Number of pages: 20 Posted: 26 Jun 2020 Last Revised: 18 Aug 2020
Jan Vecer
Charles University in Prague - Faculty of Mathematics and Physics
Downloads 254 (193,488)
Citation 1

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State Price Density, Kullback-Leibler Divergence, Merton's Portfolio Problem, Bayesian Statistics, Utility Maximization, Kelly Criterion, Equilibrium.

4.

Asian Options on Harmonic Average

Number of pages: 17 Posted: 14 Mar 2013
Jan Vecer
Charles University in Prague - Faculty of Mathematics and Physics
Downloads 207 (235,278)

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Asset pricing, Asian options, Quanto options, Harmonic average

5.

Inference from the Order Book with Applications to Volatility Estimation

Number of pages: 26 Posted: 26 Nov 2010
Petr Novotny and Jan Vecer
Columbia University - Department of Statistics and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 193 (250,712)

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volatility, high frequency data

6.

Can Euromillions Lottery Be Profitable?

Number of pages: 11 Posted: 23 Mar 2013
Jan Vecer
Charles University in Prague - Faculty of Mathematics and Physics
Downloads 192 (251,824)

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Lottery, Euromillions, Poisson distribution

7.

On Equity Market Inefficiency During the COVID-19 Pandemic

Number of pages: 16 Posted: 15 Jan 2021
Robert Navratil, Stephen Michael Taylor and Jan Vecer
Charles University in Prague - Faculty of Mathematics and Physics, Stevens Institute of Technology and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 191 (252,954)

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Utility Maximization, Merton’s Optimal Portfolio, Efficient Market Hypothesis

8.

Dynamic Scoring: Probabilistic Model Selection Based on Utility Maximization

Number of pages: 28 Posted: 15 Nov 2018
Jan Vecer
Charles University in Prague - Faculty of Mathematics and Physics
Downloads 153 (306,228)
Citation 4

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model selection, utility maximization, explicit supply and demand functions, equilibrium, implied probability, statistical divergence

9.

Utility Based Model Selection and Model Averaging

Number of pages: 28 Posted: 12 Sep 2019
Robert Navratil and Jan Vecer
Charles University in Prague - Faculty of Mathematics and Physics and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 142 (325,272)

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Utility Maximization, Explicit Demand Function, Equilibrium, Exponential Family, Model Selection, Model Averaging

10.

Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists

Number of pages: 29 Posted: 13 Jun 2019
Jozef Baruník, Cathy Yi‐Hsuan Chen and Jan Vecer
Charles University in Prague - Department of Economics, University of Glasgow, Adam Smith Business School and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 136 (336,556)

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High frequency text, Sentiment, Stochastic volatility, Continuous time models

11.

The Premium Reduction of European, American, and Perpetual Log Return Options

Number of pages: 19 Posted: 22 Oct 2019 Last Revised: 05 Aug 2020
Stephen Michael Taylor and Jan Vecer
Stevens Institute of Technology and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 133 (342,356)

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Long Term Portfolio Protection, Option Pricing, Hedging

12.

Kelly Criterion, State Price Density Equilibrium and Bayesian Statistics

Number of pages: 19 Posted: 05 Mar 2020
Jan Vecer
Charles University in Prague - Faculty of Mathematics and Physics
Downloads 110 (393,423)

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Utility Maximization, Kelly Criterion, Explicit Demand Function, Equilibrium, State Price Density, Kullback-Leibler Divergence, Information Theory, Bayesian Statistics

13.

Portfolio Optimization in Driftless Markets

Number of pages: 29 Posted: 11 Dec 2022 Last Revised: 08 Mar 2023
Jan Vecer, Mark Richard and Stephen Michael Taylor
Charles University in Prague - Faculty of Mathematics and Physics, Frankfurt School of Finance & Management and Stevens Institute of Technology
Downloads 68 (529,206)

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Likelihood Ratio, Utility Maximization, Relative Entropy, Bayesian Market

14.

On the Utility Maximization of the Discrepancy between a Perceived and Market Implied Risk Neutral Distribution

Number of pages: 28 Posted: 07 Sep 2021
Robert Navratil, Stephen Michael Taylor and Jan Vecer
Charles University in Prague - Faculty of Mathematics and Physics, Stevens Institute of Technology and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 58 (573,353)

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Portfolio optimization, Kelly Betting, Merton’s Problem, integer programming