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Factors affecting stock prices of major global insurance companies
Nepšinská, Lucia ; Daňhel, Jaroslav (advisor) ; Fičura, Milan (referee)
This thesis analyzes the impact of selected macroeconomic and firm-specific factors on stock prices of insurance companies. The first part describes four financial theories used to explain the share price development with a focus on fundamental analysis. The aim of the next part is empirical verification of the strong relationship between selected variables in the period from 01/2003 to 01/2013. In case of its existence, the econometric models using correlation and regression analysis are built. Considering the chosen period of time the impact of the financial crisis on potencial changes of direction and intensity of this relationship can be seen. The analysis uses real-world data from MetLife. The last chapter also describes its characteristics and compares them with the industry.
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An analysis and a risk of spot energy contracts
Martinec, Adam ; Paholok, Igor (advisor) ; Fičura, Milan (referee)
This diploma thesis deals with spot energy trading in the Czech Republic. The first section focuses on legal market environments, market members, and types of individual markets. This serves as an introduction to the second and the final section, which answers the question of the advantageousness of spot energy trading. The final section illustrates a practical demonstration of an optimization analysis of energy costs in a particular company. The contribution of this thesis, in my opinion, is the practical description of the calculation of energy costs in one company or an association of companies, which are considering the spot energy purchase, and a transfer of the responsibility for the deviation.
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Harmonické obrazce pri na menovom trhu
Nemček, Sebastian ; Žilák, Pavel (advisor) ; Fičura, Milan (referee)
This diploma thesis is committed to examination of validity of Harmonic Patterns in Forex trading. Scott Carney described existing and introduced new Harmonic Patterns in 1999 in his book Harmonic Trader. These patterns use the Fibonacci principle to analyze price action and to provide both bullish and bearish trading signals. The goal of this thesis is to find out whether harmonic trading strategy on selected pairs is profitable in FX market, which patterns are the most profitable and what is the success rate for the signals they provide.
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Exxon Mobil stock investment analysis
Stanko, Marek ; Veselá, Jitka (advisor) ; Fičura, Milan (referee)
The main aim of the following thesis is the ExxonMobil stock investment analysis and finding of the investment recommendation. The paper is based on available fundaments in global, sectorial and enterprise economy, which are used for comparison of share's actual price and its intrinsic value. Technical analysis is an additional part used for the share price determination in short term. It is also used for making conclusion and approach recommendation to this financial instrument.
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The specifics in terms of valuation commodity, cyclical and financial firms
Harazím, Jan ; Veselá, Jitka (advisor) ; Fičura, Milan (referee)
The aim of the diploma thesis is to compare valuation methods and models for individual companies operating in different sectors. Part of the thesis deals with the defining particular specifics of financial institutions, commodity companies and cyclical companies, followed by the application of the valuation methods and models, including the determination of the intrinsic value of the company. At the end of the thesis there is a final discussion about the findings and results.
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Management of the fund of alternative assets
Sobotka, Jan ; Radová, Jarmila (advisor) ; Fičura, Milan (referee)
This thesis deals with the management of the fund of alternative investments with an emphasis on photovoltaic projects in the Czech Republic. The main objective is to evaluate whether, after numerous legislative changes, these projects continue to be an attractive investment alternative. The impact of legislative changes on the economy and efficiency of the projects were analyzed for fictitious projects using static and dynamic methods of investment evaluation. The analysis showed that if there was knowledge of the additional cost burden resulting from changes in legislation, then none of the evaluated projects would have been implemented. In general, changes have had the most significant impact on projects that initially appeared to be most effective. In terms of size, restrictions affected mainly smaller projects. Overall, there was a relative alignment of return. For projects with higher levels of debt, an additional cost burden could be liquidational. Then the portfolio of alternative investment fund was created, which consists of assets of two alternative projects evaluated before. This led to evaluation, whether, despite charged fees but a lower tax rate, the investment through the fund is more favorable compared to an own special purpose company. Due to the small size of the fund the hypothesis of fund being more effective mean of administration, was not confirmed.
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Algorithmic trading
Uherek, Jiří ; Stádník, Bohumil (advisor) ; Fičura, Milan (referee)
The diploma thesis is focused on algorithmic trading. In the first part the theoretical background is summarized. This part is particularly focused on definition of algorithmic trading, execution mechanisms, quantitative strategies, including problems regarding backtesting, and also on benefits and threats of algorithmic trading in market's point of view. The thesis also offers an introduction to genetic algorithms. In the practical part the strategy using genetic algorithm to find optimal combination of particular strategies is developed. The results showed that using genetic algorithms was beneficial for given data series. They also showed that the size of transaction costs is crucial for strategy performance same as dividing data series into testing sample and validation sample.
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Capital market models and tests of these models
Čechová, Lenka ; Musílek, Petr (advisor) ; Fičura, Milan (referee)
This thesis deals with the description and testing of the capital market models. It consists of an analysis of the most famous models such as the CAPM, the three-factor Fama-French model, the four-factor Fama-French-Carhart model and an alternative multi-factor model that includes the current relevant risk factors. In the first part, one can find the introduction to the capital market theory that is essential for the definition of model assumptions. The second part is dedicated to the description and construction of the models in reference to the relevant research papers. The last part of this thesis contains the regression model estimates, taking into account the data set of the fifteen most profitable IT companies. A portfolio of these firms is expected to exhibit a positive and statistically significant alpha. Daily portfolio returns in the period 1990 -- 2014 are regressed on risk factors of particular models. The aim of this thesis is to test whether the capital market models are valid for the long-term portfolio returns composed of the selected shares.
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Application of the Artificial Intelligence in the Real Estate Valuation
Štechová, Edita ; Witzany, Jiří (advisor) ; Fičura, Milan (referee)
The main purpose of this study is to develop a predictive model capable to forecast residential real estate prices in the city of Prague using Artificial Intelligence methods. The first part of this study discusses fundamentals of Artificial Neural Networks and Fuzzy Inference Systems in the context of real estate valuation. The second part demonstrates a development and testing of such models using a dataset of real estate market transactions. In the third part, results are compared to Multiple Regression and an explanatory power of each model is evaluated. Conclusions of this research are: (1) Artificial Neural Networks and Fuzzy Inference Systems give more accurate estimates of market values of residential real estates than Multiple Regression; (2) Artificial Neural Networks and Fuzzy Inference Systems represent an efficient way of modeling and analyzing residential real estate prices in Prague.
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The use of technical indicators in position trading of commodity futures
Fičura, Milan ; Musílek, Petr (advisor)
In this thesis I have tried to describe the basics of futures trading, technical analysis and trading system development. Particularly I have focused on technical indicators, where I have described the majority of those that are most often used for futures trading today. Further I have focused on trading system development and described the proces of backtesting, optimalization and evaluation of trading systems. In the practical part of this chapter I have developed 30 simple trading systems and then backtested them on the historical daily data of 10 commodity futures contracts during the years 2001-2010. To simulate a real trading conditions i have used the years 2001-2005 for optimalization and development, and the years 2006-2010 for backtesting and evaluation. The results were that most of the systems reached relatively good profits, but only low robustness and high riskiness. Also the contra-trend systems performed much worse in the second period than the trend-following systems. From the results i could reject the hypothesis that the yields of the systems (in the second period) are random on 0,1% level of significance. However, it can't be said surely, if the systems have "beat the market" (on risk-adjusted basis), because altrought their net returns were extraordinary, their riskiness was also very high.
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