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Near duplicate detection in large document collections
Benčík, Daniel ; Pecina, Pavel (advisor) ; Kopecký, Michal (referee)
This thesis deals with the problematics of detecting documents, which are so similair one to another, that we can consider them to be (nearly) identical and that in collections having up to millions of documents. The greatest aim of this thesis is a comparison of new, fast algorithms designed to solve this task with current algorithms, which due to their complexitiy cannot be used for large collections. The thesis contains an implementation of both new and current methods of solving the given task toghether with applications that are designed to experimentally compare these methods.
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Modeling financial markets using heterogenous agent models
Benčík, Daniel ; Vácha, Lukáš (advisor) ; Baruník, Jozef (referee)
This thesis deals with the application of heterogeneous agent models (HAM) in the area of financial markets. In the first part, we introduce the concept of HAMs, review examples of several earlier models in order to provide the reader with a general picture of applications of HAMs in finance. Subsequently, we move on to describe the original model developed by Brock, Hommes (1998) and continue by describing modifications proposed by Barunik, Vacha and Vosvrda (2009). Next, we move to the analysis of the modified model's behavior, including its ability to simulate stylized facts observed in real financial markets. In the last part of this work, we provide descriptions of our simulation/experimental setups and conclude by summarizing the results of these. We finish this thesis by suggesting possible future research topics regarding the investigated model that might shed more light on its behavior and thus hopefully enhance our understanding of how real financial markets operate.
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Predictability of stock returns using financial ratios in Prague Stock Exchange
Brada, Jiří ; Pěkná, Martina (advisor) ; Benčík, Daniel (referee)
This paper studies whether financial ratios can predict stock return and change of indexes PX and PX-TR in Prague Stock Exchange for the period from 2008 to 2014. We select price to earnings ratio (PE), market to book ratio (MB), dividend yield (DY) and size of the company (S) as the explanatory variables because of its common application in investment practice. The obtained results indicate that above mentioned ratios have some predictive power, where the PE and MB ratios demonstrate the strongest relationship with the explained variables.
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Are More Liquid Stocks Also More Efficient?
Kupka, Petr ; Krištoufek, Ladislav (advisor) ; Benčík, Daniel (referee)
Liquidity and informational efficiency are closely watched features of financial markets. Together with stock exchange size effect, captured by market capitalization, this thesis examines the triple of relationships among these three stock market properties. Applying methods of sequences and reversals ratio test, autocorrelation coefficient test and variance ratio test provided us with 14 proxy measures of efficiency for each stock. Daily prices and volumes traded for period 2003 - 2013 of 206 stocks sampled from 22 stock exchanges were used. The same data were used for Amihud illiquidity measure. The positive relationship between stock efficiency and liquidity was not strongly supported neither rejected. It turned out that stock liquidity is very strongly positively dependent on size of stock exchange where is that particular stock listed. It was also concluded that there are more efficient stocks listed in larger stock exchanged. JEL Classification: G12, G14, G15 Keywords: stock liquidity, stock exchange size, stock efficiency Author's e-mail: kupkapetr@gmail.com Supervisor's e-mail: kristoufek@ies-prague.org
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Impact of ICT Investments on Different Levels of an Economy
Andoková, Senta ; Cahlík, Tomáš (advisor) ; Benčík, Daniel (referee)
This work analyzes the impact of investments in information and communication technologies (ICT) at the level of states, firms and households. Its contribution lies in the transparency of theoretical views of the role of ICT at the respective levels of the economy and also in the form of an econometric model studying the impact of ICT investments on GDP. The work describes some causes of ambiguous impact of ICT on statistical tables and then uses the Cobb-Douglas production function to define the components of economic growth (represented by GDP). The numerical contribution of each factor is compared between the USA and the EU throughout the periods 1980-1995 and 1995-2001. The look on companies is focused mainly on the role of ICT use in work process and its impact on the economic operation of the companies. To what extent are these firms affecting employment and wages is the main theme of the section related to households. The work showed that very similar procedures are necessary for all of the aforementioned levels of the economy for the desired result of ICT investments. An empirical analysis of 20 European countries during the period 2003-2008 proved positive impact of ICT investments on GDP. The results of the model, however, served more evidence of the significance of the ICT sector. The...
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Efficiency of the prediction markets: case of Intrade
Brandejs, David ; Dózsa, Martin (advisor) ; Benčík, Daniel (referee)
1 Abstract Bachelor thesis confirms weak market efficiency hypothesis for political events, which took place on Intrade prediction market and finished between 1. October and 31. December 2012. Three unit root tests, ADF GLS, KPSS and Lo-Mackinlay test proved on 5% confidence level, that 140 of 191 tested political events is weakly market efficient, which means high relative market efficiency (73,3%). Testing out-of-political markets shows significantly lower market efficiency. Logit model rejected on 5% confidence level the assumption, that total volume of traded shares is significant parameter for the estimation of market efficiency. Keywords Prediction market, Intrade, efficiency market hy- pothesis, relative market efficiency, ADF test, KPSS test Author's e-mail David.Brandejs@seznam.cz Supervisor's e-mail Martin@Dozsa.cz
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How to Identify Domestic Systematicaly Important Institutions (D-SIFI)
Melichar, Matěj ; Seidler, Jakub (advisor) ; Benčík, Daniel (referee)
1 Abstract The 2007 financial crisis has highlighted the problem of so-called "too-big-to-fail" financial institutions. These institutions are so large, interconnected and complex that their failure can cause significant distress in the financial system or even trigger a systemic crisis. In order to address the systemic risk posed by these institutions it is first necessary to identify them. BCBS has proposed a methodology to assess the systemic importance of global banks. This paper presents a methodology for identification of Czech domestic systemically important banks. The method is based on balance sheet indicators of banks. The assessment is using the data for years 2008-2012 and identifies four banks as systemically important for the Czech banking sector. Keywords Systemic importance, systemically important banks, SIFI Author's e-mail matej.melichar@seznam.cz Supervisor's e-mail seidler@fsv.cuni.cz
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Predictability of stock returns using financial ratios in Prague Stock Exchange
Brada, Jiří ; Pěkná, Martina (advisor) ; Benčík, Daniel (referee)
This paper studies whether financial ratios can predict stock return and change of indexes PX and PX-TR in Prague Stock Exchange for the period from 2008 to 2014. We select price to earnings ratio (PE), market to book ratio (MB), dividend yield (DY) and size of the company (S) as the explanatory variables because of its common application in investment practice. The obtained results indicate that above mentioned ratios have some predictive power, where the PE and MB ratios demonstrate the strongest relationship with the explained variables.
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Does solar energy have a future in Central Europe?
Tůma, Ladislav ; Janda, Karel (advisor) ; Benčík, Daniel (referee)
The thesis evaluates the prospects of use of the solar energy in the Czech Republic. The thesis contains the estimation of merit-order effect caused by renewable sources. Its value is 5.74 EUR/MWh in 2014 out of which 2.37 EUR/MWh is attributable to the solar energy. Three hypothetical scenarios about the deployment of new solar power plants are construed. Results indicate that proliferation of such plants would increase the merit-order effect and make solar energy less competitive even if possible decrease in costs of generation is taken into account. Thus the thesis' conclusions do not support solar energy as the reasonable choice in the Czech Republic. In the last part, the effect of photovoltaic output on the system imbalance is examined. Solar production has the influence on the magnitude of the system imbalance but the decisive evidence about the impact on the volatility is not found. Powered by TCPDF (www.tcpdf.org)
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Does the choice of method of forecast of index stock returns and the choice of investment strategy depend on index's industry affiliation?
Dobryashkina, Victoria ; Moravcová, Michala (advisor) ; Benčík, Daniel (referee)
Bibliography Reference DOBRYASHKINA, Victoria. Does the choice of method of forecast of index stock returns and the choice of investment strategy depend on index's industry affiliation? Prague 2015. 57 pages. Bachelor thesis (Bc.) Charles University, Faculty of Social Science, Institute of Economic Studies. Supervisor Michala Moravcova. Author's Email: Dobryashkina@gmail.com Supervisor's Email: Moravcovamichala@gmail.com Abstract The purpose of this thesis is to analyze and reveal if there is any dependence of index stock return valuation method on index's industry affiliation. The question about profitable strategy to react to valuation method's forecasts is also investigated. I focus on three methods of valuation: technical analysis, time series forecast and combination of rules from both technical and times series forecast rules, and test them on 10 Dow Jones Industrial Indices. Double-or-out strategy is compared to buy-and-hold strategy by estimation of its excess return. I found no dependence of choice of method on index's industry affiliation. However, the double-or-out strategy was proved to outperform buy-and-hold strategy in all of the industries. Keywords Stock Valuation Methods, Trend Prediction Analyses, Technical analysis, Fundamental analysis, Methods of valuation, Time series forecast,...
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