National Repository of Grey Literature 21 records found  previous11 - 20next  jump to record: Search took 0.01 seconds. 
Empirical Analysis of Prague Flat Market
Sklenářová, Tereza ; Křehlík, Tomáš (advisor) ; Vozková, Karolína (referee)
The purpose of this work is to model the prices of real estate, concretely of Prague flats, which belong to the most important economic indicators. In the theoretical part, the main housing market participants are defined, special features of housing markets are described and most frequently used valuation methods are discussed. Most attention is focused on so called hedonic pricing model, which is applied as a base for the pricing equation in the econometric part. This is carried on various subsets of public available data regarding the characteristics of Prague flats, using ordinary least squares as well as weighted least squares. Several hypotheses about the relationship between the price and the explanatory variables are tested before creating the final model. The results are commented and compared with literature concerned with the same topic in other locations.
Regional disparities in price levels across the European Union
Kolcunová, Dominika ; Janský, Petr (advisor) ; Křehlík, Tomáš (referee)
Undisputedly, including price levels should be an integral part of any regional analysis. Currently, at the country level, purchasing power parities (or, in the case of the European Union, purchasing power standards) are used. However, these measures account only for one national parity in each country and do not reflect inter-regional price differentials. Consequently, this approach distorts the information value of the indicators (regional GDP per capita, disposable income per capita, et cetera) since the majority of countries are definitely not homogenous from the perspective of prices. Therefore, the aim of this thesis is to estimate regional price levels across the EU regions using an econometric model, which is based on available data on regional price levels for six countries in Europe. After estimating a regression equation and checking for the predictive power, regional price levels for the rest of EU regions at NUTS 2 level are estimated for the first time. Subsequently, they are used for recalculation of socio-economic indicators. The results imply that significant differences between analyses with one national price level and actual regional levels exist. This raises also several issues for policy implications (for instance potential sub-optimality of the European Cohesion policy, which...
Application of technical analysis on algorithmic trading
Šíla, Jan ; Krištoufek, Ladislav (advisor) ; Křehlík, Tomáš (referee)
The thesis takes on the question of profitability of algorithmic trading based on trend and momentum indicators and examines whether or not it is possible to acquire systematic profits. It reviews the development of relevant literature over the last 100 years to determine whether the inner workings of the market can be quantified and plausibly modelled. On three major U.S. stock indices are then tested several different strategies to determine whether in the long- term, passive investment can be outperformed by active trading. Merit of the work lies in backtesting several strategies and interpreting the results according to unique characteristics of the indices.
Pairs Trading at the Prague Stock Exchange
Nušlová, Alice ; Krištoufek, Ladislav (advisor) ; Křehlík, Tomáš (referee)
Bibliographic entry: NUŠLOVÁ, Alice. Pairs Trading at the Prague Stock Exchange. Prague, 2014. Bachelor thesis, Charles University, Faculty of Social Sciences, Institute of Economic Stud- ies. Supervisor: PhDr. Ladislav Krištoufek Ph.D. Title: Pairs Trading at the Prague Stock Exchange Author: Alice Nušlová Department: Institute of Economic Studies Supervisor: PhDr. Ladislav Krištoufek Ph.D. Supervisor's e-mail address: kristoufek@ies-prague.org Abstract: Since its birth in the 1980s, pairs trading has become a widely used strategy for making profits among hedge funds and institutional investors. This technique identifies pairs of securities whose historical prices show long-run relationship, and takes advantage of their short- term relative mispricing. Profit is generated due to correcting behavior of security prices as they converge towards equilibrium value of their spread. The aim of this thesis is to compare two traditional approaches to pairs trading: cointegration and sum of squared deviations between normalized historical returns, known as distance criterion, within the Prague Stock Exchange equity market. We further investigate whether the two methods, so commonly employed in the US equity market, can be applied with similar success in the PSE. Our results reveal that the strategy using distance...
Capital Market Hypotheses and Their Statistical Implications: A Comparative Study
Petras, Petr ; Krištoufek, Ladislav (advisor) ; Křehlík, Tomáš (referee)
In this bachelor thesis we focus on different Market Hypotheses. Specifically on Efficient Market Hypothesis, Fractal Market Hypothesis and Coherent Market Hypothesis. In the first part of the work we provide description of researched hypotheses and methods used for testing. In the second part of the work we run test on time series of share markets, gold markets and currency markets and test if our hypotheses can provide explanation about price changes on those markets. For Efficient Market Hypothesis we wonder if prices are following random walk (via augmented Dickey-Fuller test), if residuals are normally distributed (via Shapiro-Wilk and Jarque-Bera tests) and if residuals are uncorrelated (via Box-Pierce test). For Fractal Market Hypothesis we are trying to find value of Hurst exponent via Rescaled Range analysis. This exponent describes if time series are persistent or not. And for Coherent Market Hypothesis we develop simple method for testing if some time periods can yield above-average revenues, thanks to increased mean and decreased standard deviation. After that we find out what are consequences of short time series and different frequencies for obtaining data points and we learn that some hypotheses describes different time periods or lengths better and are not so good for different ones. Powered...
How do the efficient portfolios at various investment horizons differ?
Růžek, Pavel ; Krištoufek, Ladislav (advisor) ; Křehlík, Tomáš (referee)
The Efficient Market Theory that assumes the homogeneity of investors' ex- pectations has several shortcomings and has failed to predict development of fi- nancial markets many times, recently. Previous research, therefore, has focused more intensively on incorporation of some aspects from Behavioural Finance to their models. This thesis implements another form of heterogeneity coming from different investment horizon preferences, and investigates the impacts on the selection of the efficient portfolios compared to the original Markowitz's framework. We employed the mean-variance model adjusted for the purpose of the work, and, additionally, suggested extensions that assure robustness of the model and the highest possible objectivity of the empirical results inde- pendently on the choice of data sets. The findings from our research strongly confirmed proposed hypotheses that the efficient portfolios do differ at the var- ious investment horizons and that the efficient portfolios for long investment horizons are less risky. JEL Classification G10, G11 Keywords portfolio selection, mean-variance, optimization, investment horizons, Dow Jones Index Author's e-mail pavel.ruzek.ies@gmail.com Supervisor's e-mail kristoufek@ies-prague.org
Applicability of online sentiment analysis for stock market prediction
Rýgr, Petr ; Krištoufek, Ladislav (advisor) ; Křehlík, Tomáš (referee)
The purpose of this thesis is to explore various possibilities of performing online sentiment analysis and utilizing obtained information in stock market prediction. Firstly, several tools and sources available for sentiment analysis are presented and brief history of research related to each tool is provided. Additionally, Google Trend model is designed to evaluate whether information about searching volume of selected terms can be used to predict future movements of S&P 500 index. Strategy based on such model is implemented on historical data and its cumulative return is compared to classical buy and hold strategy. Furthermore, hypothesis whether it is possible to utilize publicly released news as a leading indicator for future stock returns is tested. Lastly, process of algorithmic sentiment analysis is described and its strengths and weaknesses are assessed.
Distributional Effects of Inflation in the Czech Republic
Linhartová, Petra ; Janský, Petr (advisor) ; Křehlík, Tomáš (referee)
Consumer price index captures the changing costs of the consumer basket of a typical household. Despite differences in spending patterns, change in con- sumer price index is used as a measure of inflation for the whole population. The aim of this thesis is to assess how close to the official inflation rate house- holds are and determine which groups have significantly different inflation. Using the Czech data from the Household Budget Survey over the 1990-2012 period we calculated specific inflation for each household in our sample. We first found out that on average only two thirds of households are close to the official inflation rate, which led us to the construction of subgroup price indices. In the empirical part, we examined the effect of household characteristics on inflation by applying the fixed effects estimation. We found that low-income households, pensioners, households in urban areas and households with few members have higher than average inflation.
Does wavelet decomposition and neural networks help to improve predictability of realized volatility?
Křehlík, Tomáš ; Baruník, Jozef (advisor) ; Vošvrda, Miloslav (referee)
I perform comprehensive comparison of the standard realised volatility estimators including a novel wavelet time-frequency estimator (Barunik and Vacha 2012) on wide variety of assets: crude oil, gold and S&P 500. The wavelet estimator allows to decompose the realised volatility into several investment horizons which is hypothesised in the literature to bring more information about the volatility time series. Moreover, I propose artificial neural networks (ANN) as a tool for forecasting of the realised volatility. Multi-layer perceptron and recursive neural networks typologies are used in the estimation. I forecast cumulative realised volatility on 1 day, 5 days, 10 days and 20 days ahead horizons. The forecasts from neural networks are benchmarked to a standard autoregressive fractionally integrated moving averages (ARFIMA) model and a mundane model. I confirm favourable features of the novel wavelet realised volatility estimator on crude oil and gold, and reject them in case of S&P 500. Possible explanation is an absence of jumps in this asset and hence over-adjustment of data for jumps by the estimator. In forecasting, the ANN models outperform the ARFIMA in terms of information content about dynamic structure of the time series.
Unorthodox measures of economic performance
Křehlík, Tomáš ; Zápal, Jan (advisor) ; Jeřábek, Jakub (referee)
Assessing long-term economic performance is persistent problem of current economics. Various methods exist, most often in form of indices (Sustainable society index, Ecological footprint, Urban Sustainability index, etc.), which however suffer from many issues (monetization, weighting). In recent years assessment method called NAIADE based on fuzzy logic and multi-criteria decision analysis has been developed. It deals with many problems of aforementioned indices. This approach has not yet been applied to data of many countries. Goal of my bachelor's thesis is to give overview of currently used indices, introduce multi-criteria decision analysis, perform computation of NAIADE and discuss rankings of the Czech Republic in international perspective.

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