National Repository of Grey Literature 41 records found  previous11 - 20nextend  jump to record: Search took 0.00 seconds. 
Analýza klíčových komponent ve financích
Fučík, Vojtěch ; Kolman, Marek (advisor) ; Fičura, Milan (referee)
The main objective of this thesis is to summarize and possibly interconnect the existing methodology on principal components analysis, hierarchical clustering and topological organization in the financial and economic networks, linear regression and GARCH modeling. In the thesis the clustering ability of PCA is compared with the more conventional approaches on a set of world stock market indices returns in different time periods where the time division is represented by The World Financial Crisis of 2007-2009. It is also observed whether the clustering of DJIA index components is underlied by the industry sector to which the individual stocks belong. Joining together PCA with classical linear regression creates principal components regression which is further in the thesis applied to the German DAX 30 index logarithmic returns forecasting using various macroeconomic and financial predictors. The correlation between two energy stocks returns - Chevron and ExxonMobil is forecasted using orthogonal (or PCA) GARCH. The constructed forecast is then compared with the predictions constructed by the conventional multivariate volatility models - EWMA and DCC GARCH.
Finanční a technická analýza zemědělských komodit
Foglar, Martin ; Fičura, Milan (advisor) ; Veselá, Jitka (referee)
Cílem zpracované diplomové práce je poskytnout čtenáři informace o světovém trhu zemědělských komodit, přiblížit dění na trzích pěti vybraných zemědělských komodit v posledních letech a analyzovat možnosti použití různých strategií na datech za několik desetiletí do současnosti. Teoretickým základem pro objasnění významu trhu zemědělských komodit je analýza zpráv mezinárodních institucí. Pro praktickou část jsem nejprve zvolil Nejprve strategii Larryho Williamse. Zabýval jsem se v ní použitím indikátorů Larryho Williamse, který je považován za jednoho z nejlepších komoditních obchodníků na světě, jehož myšlení je zaměřováno především na fundamentální analýzu. Následně jsem se pokusil aplikovat systém Woodies, jehož autorem je Ken Wood, jako analýzu technického rázu, která je obyčejně používána pro intradenní obchodování. Jako poslední jsem zvolil konzervativnější strategii spreadů, která je i doporučována pro trh zemědělských komodit - sice nedává možnost značných výdělků, ale zároveň je zde omezeno riziko ztráty. Práce má přidanou hodnotu nejen ve volbě netradičních typů strategií, ale i jejich variací.
The impact of fundamental news on selected stock indexes
Polívka, Ondřej ; Fičura, Milan (advisor) ; Mazáček, David (referee)
This thesis investigates the impact of the fundamental news announcements on the movements of the stock indexes SAX, SaP500 and DJIA. The theoretical part of the thesis describe the basic structure and properties of these indexes. There are also presented theoretical and empirically validated relationships between different fundamental news and the indexes. These relationships are described based on the theory of efficient markets, technical, fundamental and psychological analysis. The practical part of the thesis analyze the impact of fundamental news (5 types - index SAX and 6 types- SaP500 and DJIA) 2005-2015. There is analyzed the impact of news announcements on the day of the notice and the day after the announcement. The result is there exist significant relationship between "surprise" value of inflation and interest rates news and indexes SaP500 and DJIA.
Option pricing under stochastic volatility
Khmelevskiy, Vadim ; Fičura, Milan (advisor) ; Janda, Karel (referee)
This master's thesis focuses on the problem area of option pricing under stochastic volatility. The theoretical part includes terms that are essential for understanding the problem area of option pricing and explains particular models for both option pricing under stochastic volatility and those under constant volatility. The application of described models is performed in the practical part of the thesis. After that particular models are compared to the real data.
Current approchaes in the intraday futures trading
Čuraj, Jan ; Málek, Jiří (advisor) ; Fičura, Milan (referee)
This tesis deals with modern approchaes in the intraday futures trading. My focus is on the euro-dollar market. I test and analyse three strategies with using current methods of technical analyses. Thanks to results I explain how to use these strategies in practice to the profitable swing trading and respond on the emerging market on a daily basis.
Modelování portfolií s risk faktory s těžkými chvosty
Kyselá, Eva ; Málek, Jiří (advisor) ; Fičura, Milan (referee)
The thesis aims to investigate some of the approaches to modelling portfolio returns with heavy-tailed risk factors. It first elaborates on the univariate time series models, and compares the benchmark model (GARCH with Student t innovations or its GJR extension) predictive performance with its two competitors, the EVT-GARCH model and the Markov-Switching Multifractal (MSM) model. The motivation of EVT extension of GARCH specification is to use a more proper distribution of the innovations, based on the empirical distribution function. The MSM is one of the best performing models in the multifractal literature, a markov-switching model which is unique by its parsimonious specification and variability. The performance of these models is assessed with Mincer-Zarnowitz regressions as well as by comparison of quality of VaR and expected shortfall predictions, and the empirical analysis shows that for the risk management purposes the EVT-GARCH dominates the benchmark as well as the MSM. The second part addresses the dependence structure modelling, using the Gauss and t-copula to model the portfolio returns and compares the result with the classic variance-covariance approach, concluding that copulas offer a more realistic estimates of future extreme quantiles.
Analysis of impact of Fundamental news on movement of index VIX
Koráb, Pavel ; Fičura, Milan (advisor) ; Vacek, Vladislav (referee)
The thesis investigates the impact of the fundamental news announcements on the movements of the VIX volatility index and the VIX Futures prices. The theoretical part of the thesis explains the construction of the VIX Index and the VIX Futures, describes the most important fundamental news for the US economy and presents a methodology for the modelling of the relationship between the news announcements and the VIX index movements with a simple linear regression model. In the empirical part of the thesis, we analyze the impact of 105 US fundamental news, from the Reuters Eikon database, on the VIX Index movements on theday of the news announcements as well as on the subsequent day. We find a strong relationship between the surprise component of the news and the VIX Index movements on the day of the news announcement, with the statistically significant news explaining 5-10% of the total return variance (for news with small number of observations up to 30-50%) on the announcement day. In the second part of the empirical study, simple trading system is proposed in order to utilize the possible impact of the economic news on the next-day (after announcement) returns of VIX futures in order to achieve speculative profits. Although the models seem to possess some limited out-sample profitability for some of the news, the results are for most of the cases statistically insignificant and the potential profits from the news trading seem to be relatively low.
Fundamental and technical analysis of a particular asset
Nepomnyashchiy, Ilya ; Fičura, Milan (advisor) ; Mazáček, David (referee)
The goal of the thesis is to evaluate the degree of efficiency of the particular markets and to apply the methods of fundamental and technical analysis on them in order to assess their efficiency in terms of profitablity. The thesis analyses the degree of long-term memory of the particular commodities and stock indices via Hurst coefficient. Afterwards fundamental and technical methods are applied to the market with the highest degree of long-term memory, which is the feeder cattle market. Indidivual methods from both disciplines are being applied at first, after wich a combnation of both is appleid as well. The result is the discovery, whether combining the two approaches leads to a higher profitability of the trading strategy. At the end the effect of transacton costs is also evalauted and a final conclusion is made regarding the profit potential of both methods for the case of individual Czech investor.
Cyber risks in banking
Vozáriková, Veronika ; Stádník, Bohumil (advisor) ; Fičura, Milan (referee)
The aim of this bachelor thesis is to determinate current issues of cyber risks in banking. The purpose of this work is to increase awareness of cyber risk and provide a theoretical base for further analysis of specific risks in the field. The thesis should also outline current situation in the Czech Republic. Part of the work analyses the security of Internet banking of concrete institutions in the Czech market and also contains questionnaire survey about the awareness of cyber risks in the Czech Republic.
Testing the selected methods of a technical analysis on the foreign exchange market
Yastrebova, Anastasia ; Fičura, Milan (advisor) ; Witzany, Jiří (referee)
The subject of the submitted thesis "Testing the selected methods of a technical analysis trough trading on the foreign exchange market" is testing of the chosen indicators of the technical analysis through trading on the foreign exchange market FOREX. The thesis includes theoretical and practical parts. In the first part different investment approaches used on the foreign exchange market are explained. In the second part the author implements those theoretical findings in a real trading on FOREX market and then analyzes profitability of the trading strategies based on the realized trading.

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