National Repository of Grey Literature 18 records found  1 - 10next  jump to record: Search took 0.00 seconds. 
Portfolio Construction Using Hierarchical Clustering
Fučík, Vojtěch ; Krištoufek, Ladislav (advisor) ; Baruník, Jozef (referee)
Hlavním cílem této práce je vyložit a zejména propojit existující metodologii filtrování korelačních matic, grafových algoritmů aplikovaných na minimální kostry grafu, hierarchického shlukování a analýzy hlavních komponent, pro vytvoření kvantitativních investičních strategií. Namísto tradičního použití časových řad akciových výnosů je užito reziduí z faktorových modelů. Tato rezidua jsou klíčovým vstupem pro všechny používané algoritmy k výpočtu pravděpodobnosti středovosti dané akcie. Pravděpodobnost středovosti je nekonvenční ukazatel pravděpodobnosti, kde hodnota blízko 1 značí vysokou pravděpodobnost středovosti dané akcie v dané ekonomické síti. Na základě této míry pravděpodobnosti je vybudováno několik investičních strategií, které jsou dále testován hlavních amerických akciových indexů. Nemůže být generalizováno, že periferní strategie dosahují konzistentně lepších výsledků než středové strategie. Zatímco při použití klasického Markowitzova optimalizačního procesu jsou zisky stabilní a potenciál průměrný, oba typy vybudovaných strategií (středové i periferní) sdílí vysoký potenciál zisku, který je ovšem vykoupen vysokou volatilitou.
Analysis of the payment card market in the Czech Republic
Tomčík, Alexandr ; Hoffman, Andrej (advisor) ; Fučík, Vojtěch (referee)
The subject of this bachelor thesis is the analysis of availible data on the payment card market in the Czech Republic in years 2001 to 2016. The theoretical part focuses on the history of payment cards and when they first appeared in the territory of the Czech Republic. It further divides payment cards into several groups according to the type or technology used. The purpose of the thesis is to find out how the card market has developed, wheter Visa or MasterCard has the major share of the issued payment cards and to quantify the parameters of non-cash payments in the Czech Republic. Due to the similar level of development of contactless payment in both countries, part of the work is intended to be compared with the Slovak Republic. The last chapter presents current variants of mobile payment in several world countries and available options in the Czech Republic.
Algoritmické obchodování párů
Razumňak, Michal ; Stádník, Bohumil (advisor) ; Fučík, Vojtěch (referee)
Pair trading is a well-known strategy based on statistical arbitrage. This strategy uses a short-term deviation from the mean value of the price ratio of two highly correlated stocks from the same sector as the opportunity to open a position. When ratio returns to its mean value again, the position closes. This strategy has been used for many years and the main outcome of this thesis was to test whether this strategy can be profitable even in current market conditions. For that purpose, data ranging from 2010 to April 2017 on all stocks included in the S&P 500 index were used. It was subsequently found that a pair trading strategy generated 25x higher absolute profit in comparison to random agent. Thus, it can still be considered as a profitable strategy.
The future of investment banking
Kulikova, Asia ; Teplý, Petr (advisor) ; Fučík, Vojtěch (referee)
The goal of my bachelor´s thesis is to describe all the important changes the investment banking went through during the financial crisis and in the years after. On this basis I would also like to try to predict the future development. For this purpose I used the first chapter as a historical review revolving around the most important events which shaped the whole branch. The collapse of the Bretton Wood system and the mortgage crisis are among them. In the second part I focused on an analysis of the two investment banks which play the most important role in the European and American banking - Goldman Sachs and Deutsche Bank. In the last part I evaluate the present trends which create the base for the future development of investment banking.
Investiční analýza společnosti Inditex SA
Slavkovová, Karolína ; Staniek, Dušan (advisor) ; Fučík, Vojtěch (referee)
This bachelors thesis provides Investment analysis of the apparel company Industria de Diseno Textil,Inditex SA. The main objective is to form an investment recommendation based on an assessment whether its stock is overvalued, undervalued or trading at its intrinsic value. To answer this question, I have focused on Fundamental analysis, which is traditionally split into the analysis of global, industrial and firm environment. In the last section,Firm analysis, I have used the valuation models to calculate the fair price of the company's stock. At the end of my thesis, these valuation results are compared to the current market price and presented in a form of a graph, accompanied by a final investment recommendation.
Multifaktorové oceňovací modely
Karpišová, Iveta ; Fučík, Vojtěch (advisor) ; Stádník, Bohumil (referee)
The theme of this bachelor`s thesis is pricing assets with multifactor fundamental pricing models. We cover the theoretical ground of the single-factor model and three multifactor models, the 3-factor Fama and French model, the 4-factor Carhart model and the 5-factor Fama and French model. The practical part aims to evaluate the explanatory power of the models based on the result of their application on the real financial data, the daily price of the 30 assets of the Dow Jones Industrial Average index. The main achievement is the fact that the best performance on an equally weighted portfolio is that of the 4-factor Carhart model, whereas the market capitalization weighted portfolio`s best estimation is gained with the 5-factor Fama and French model. The difference of the explanatory power of the models is dependent on the way one weights his portfolio and this is proven as statistically important based on the data used in the thesis.
Parametric estimation of GARCH model using MATLAB
Dúbravský, Martin ; Tran, Van Quang (advisor) ; Fučík, Vojtěch (referee)
Timely invariant variance is known not to be stylized fact of financial returns data. Motive of this bachelor thesis is to study financial data's typical variability of variance. In theoretical part, assumtions of GARCH models and its extensions, are summarized. GARCH family models' parameters are estimated, using maximum likelihood are estimated in empirical part. These models are estimated and evaluated across five assets, in which stock indicies DAX and SAP 500, FX major EURUSD and commodities natural gas and gold, are represented. In order to make assumptions about robabilistic distribution of data more realistic, not only Gaussian distribution, but also more leptokurtic Student's t-distribution is assumed to be present in data. Estimations are executed using software package MATLAB and EViews environment. For each asset, the best one of estimated GARCH models will be selected. Results suggest, that assumption of leptokurtic distribution generates models that describe volatility of studied assets better. Regarding testing for assymetric effects in volatility and estimation of EGARCH models, leverage effect of financial returns is shown to be present in returns of studied assets.
Visa company analysis
Šlehoferová, Kristýna ; Veselá, Jitka (advisor) ; Fučík, Vojtěch (referee)
The aim of my bachelor thesis is to analyse Visa's growth potential in the future and to determine the intrinsic value of its shares. To achieve this, I use a fundamental analysis which helps me decide whether the company has growth potential and whether the stocks are undervalued or overvalued. Individual chapters observe global, industrial and company factors, and intrinsic value which is determined by dividend discount models, cash flow to equity models and historical models. The results of my thesis show that Visa has potential for future growth; nevertheless, the shares are overvalued at current stock market conditions.
Investment analysis of Delta Air Lines stock
Beneš, Ondřej ; Veselá, Jitka (advisor) ; Fučík, Vojtěch (referee)
This bachelor thesis focuses on a valuation of Delta Air Lines stock using both fundamental and technical analysis. Firstly, I will assess the impact of global factors, therefore I will focus on the American stock market. In the next chapter I will look at sector analysis, where I will concentrate on the airline industry. The third chapter belongs to company analysis, where I will evaluate the exact stock and assign the right price to it. The fourth and final chapter describes technical analysis and its procedures that help predict the future movement of the stock price.
Analysis of banking assets and liabilities of households in the Czech Republic
Rektorysová, Natália ; Teplý, Petr (advisor) ; Fučík, Vojtěch (referee)
Czech household, an important factor of the Czech banking sector, is considered to be a subject with a conservative approach in dealing with its financial funds. This bachelor thesis deals with a demonstrability of this status, acceleration of demands for loans and with analysis of banking assets and liabilities of households and their changes in time. The theoretical part describes key concepts and specifies basic framework needed for a further topic elaboration; it also specifies two key hypotheses: the first one is aimed at a household balance in time, the second one is focused on growth rate in relation to pensioners disposable income. The empiric part of the thesis is focused on loan development trends which represent household liabilities and deposits as household assets, accentuating the changes based on legislative steps, unexpected events on domestic market or world financial markets events. The end of the practical chapter summarises development tendencies and their substantiation. The conclusion summarises a contribution of the thesis, declares Czech household conservativism demonstrability and confirms the hypothesis of Czech household debt paradox.

National Repository of Grey Literature : 18 records found   1 - 10next  jump to record:
See also: similar author names
1 Fučík, Vladimír
3 Fučík, Václav
1 Fučík, Vít
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