National Repository of Grey Literature 29 records found  1 - 10nextend  jump to record: Search took 0.00 seconds. 
On Market Efficiency, Optimal Distributional Trading Gain, and Utility Maximization
Navrátil, Robert ; Večeř, Jan (advisor)
On Market Efficiency, Optimal Distributional Trading Gain, and Utility Maximization Robert Navr'atil The aim of this thesis is multifold. First, using results from the optimal distributional trading gain problem, we determine a utility-maximizing portfolio that optimizes the benefit an agent may receive by trading the difference between his perceived future distribution of a security price and the risk-neutral density provided by the corresponding option market. Moreover, we show how one can fit the risk-neutral density directly from option market data using the SVI parameterization. We use integer programming with kernel search heuristics to statically replicate the optimal payoff. Second, we show that the United States equity market was inefficient during the weeks following the initiation of the COVID-19 pandemic. This is demonstrated by showing that utility-maximizing agents over the period ranging from mid-February to late March 2020 could generate statistically significant profits by utilizing historical price and virus- related data to forecast future equity ETF returns. Finally, we focus on the passport option. We present a version of insurance of a traded account that symmetrically treats both of its underlying assets. In our approach, we impose a natural symmetric limit in which the agent can...
On Market Efficiency, Optimal Distributional Trading Gain, and Utility Maximization
Navrátil, Robert ; Večeř, Jan (advisor) ; Witzany, Jiří (referee) ; Pospíšil, Jan (referee)
On Market Efficiency, Optimal Distributional Trading Gain, and Utility Maximization Robert Navr'atil The aim of this thesis is multifold. First, using results from the optimal distributional trading gain problem, we determine a utility-maximizing portfolio that optimizes the benefit an agent may receive by trading the difference between his perceived future distribution of a security price and the risk-neutral density provided by the corresponding option market. Moreover, we show how one can fit the risk-neutral density directly from option market data using the SVI parameterization. We use integer programming with kernel search heuristics to statically replicate the optimal payoff. Second, we show that the United States equity market was inefficient during the weeks following the initiation of the COVID-19 pandemic. This is demonstrated by showing that utility-maximizing agents over the period ranging from mid-February to late March 2020 could generate statistically significant profits by utilizing historical price and virus- related data to forecast future equity ETF returns. Finally, we focus on the passport option. We present a version of insurance of a traded account that symmetrically treats both of its underlying assets. In our approach, we impose a natural symmetric limit in which the agent can...
Tests of statistical hypotheses in measurement error models
Navrátil, Radim ; Jurečková, Jana (advisor) ; Hušková, Marie (referee) ; Kalina, Jan (referee)
The behavior of rank procedures in measurement error models was studied - if tests and estimates stay valid and applicable when there are some measurement errors involved and if not how to modify these procedures to be able to do some statistical inference. A new rank test for the slope parameter in regression model based on minimum distance esti- mator and an aligned rank test for an intercept were proposed. The (asymptotic) bias of R-estimator in measurement error model was also investigated. Besides measurement errors the problem of heteroscedastic model errors was considered - regression rank score tests of heteroscedasticity with nuisance regression and tests of regression with nuisance heterosce- dasticity were proposed. Finally, in location model tests and estimates of shift parameter for various measurement errors were studied. All the results were derived theoretically and then demonstrated numerically with examples or simulations.
Statistical applications of urn models
Navrátil, Radim ; Pawlas, Zbyněk (advisor) ; Omelka, Marek (referee)
This work shows various applications of urn models in practice. First, basic properties of the occupancy distribution are derived together with its asymptotic approximation. This model is applied and generalized in the theory of database systems for records search from a given database. An application to random texts is mentioned, namely the computation of the expected number of missing and common words in random texts. There are presented exact formulas, their asymptotic approximations and the approximations via occupancy distribution. Then, some urn models, which are used in the randomized response theory for finding out respondents' answers to sensitive questions, are described. These models are compared according to their accuracy and respondents' goodwill to answer. Finally, two non-parametric tests of empty boxes are derived, one for the hypothesis whether a random sample comes from a given population and the second for the hypothesis whether two independent random samples come from the same population. The powers of these tests are compared with commonly used tests for these hypotheses.
Introduction to Nonparametric Methods
Prelecová, Natália ; Kulich, Michal (advisor) ; Navrátil, Radim (referee)
Title: Introduction to Nonparametric Methods Author: Natália Prelecová Department: Department of Probability and Mathematical Statistics Supervisor: doc. Mgr. Michal Kulich,Ph.D., Department of Probability and Mathematical Statistics Abstract: The aim of this thesis is to introduce basic nonparametric methods. Nonparametric methods embrace a large class of statistical procedures which do not assume specific data distribution such as normal distribution. They often re- present the only available means of examining specific types of data, for example ranks or counts. Weaker assumptions of these methods make them less powerful than their parametric counterparts. This thesis describes in detail four nonparametric tests- the Ordinary Sign Test, the Wilcoxon Signed-rank Test, the Mann-Whitney Test and finally the Two- sample Wilcoxon Test. The structure of their description will entail the following: the formulation of assumptions, null hypothesis and alternatives, the construction of the test statistic and the definition of rejection regions. The most essential prob- lems, such as the problem of ties, will be also covered. The basic characteristics of the Linear Rank Statistics will be also explained, followed by the Two-sample Wilcoxon test. Keywords: nonparametrical, hypothesis, ranks, consistency, statistic
Tests of statistical hypotheses in measurement error models
Navrátil, Radim
The behavior of rank procedures in measurement error models was studied - if tests and estimates stay valid and applicable when there are some measurement errors involved and if not how to modify these procedures to be able to do some statistical inference. A new rank test for the slope parameter in regression model based on minimum distance esti- mator and an aligned rank test for an intercept were proposed. The (asymptotic) bias of R-estimator in measurement error model was also investigated. Besides measurement errors the problem of heteroscedastic model errors was considered - regression rank score tests of heteroscedasticity with nuisance regression and tests of regression with nuisance heterosce- dasticity were proposed. Finally, in location model tests and estimates of shift parameter for various measurement errors were studied. All the results were derived theoretically and then demonstrated numerically with examples or simulations.
Air conditioning design in multifunctional sports hall
Navrátil, Radek ; Uher, Pavel (referee) ; Blasinski, Petr (advisor)
The diploma thesis deals with the design of air-conditioning equipment in the building of a multifunctional hall in Brno and also includes an experimental analysis of air flow. It consists of 3 parts. In the first part a theory of air distribution is elaborated. The second part deals with the analysis of air flow for different types of air diffusers and for one diffuser further looks for a simplified model. The last part of this work is focused on the design of air conditioning equipment in the assigned building, the multifunctional sports hall.
Photodissociation studies of xanthene dyes, iron(III) azido complexes and hemithioindigo molecular switches in the gas phase
Navrátil, Rafael ; Roithová, Jana (advisor) ; Žabka, Ján (referee) ; Volný, Michael (referee)
Electronic excitation triggered by the absorption of light enables numerous chemical, physical and biological processes and transformations. Accordingly, full control over the processes involving excited molecules requires an in-depth knowledge of electronic UV/vis spectra and potential energy surfaces. Unsurprisingly, most electronic spectra are acquired in the condensed phase in which molecules are dissolved and most transformations occur. However, our knowledge of excitation, transformations and processes at the level of isolated molecules is still limited, partly because such studies require unconventional experimental approaches and equipment. This Thesis describes experimental methods for recording electronic spectra of isolated molecules in the gas phase by ion spectroscopy, which combines mass spectrometry with optical spectroscopy. Using these methods, experimental factors which affect the electronic excitation and therefore the electronic spectra of ions were determined and evaluated for various fluorescent xanthene dyes, iron-containing complexes and molecular pho- toswitches. Furthermore, factors which govern photochemical processes, such as photo- oxidation, photoreduction and photoisomerization, were also analyzed in detail, with surprisingly different outcomes from previous studies...
Web Browser Extension for Page Analysis
Navrátil, Rostislav ; Křivka, Zbyněk (referee) ; Burget, Radek (advisor)
The purpose of this thesis is to create a WebExtensions oriented module for a web browser. An extension module allows the user to submit details about the currently displayed web page and text content to a server application for thorough analysis and displaying the result. It is built on ExtensionAPIs, but is also supported in WebExtensions based web browsers. The communication between the extension module and the server is realized by XMLHttpRequest and the server application itself is implemented in PHP.
Lossless Light Field Compression
Navrátil, Robert ; Šolony, Marek (referee) ; Bařina, David (advisor)
This thesis is focused on lossless light-field images compression, where it could be viable to extend common predictors into more dimensions. First chapter is regarding to essential theory about light-field images and 4D light-field, which is followed by description of every predictor and coder. With this is connected description of used compression pipeline. Last chapters contains description of solution and differences between every predictor result and theirs dimensional variant. At the end the results are compared with PNG. The result is that some 4D variants of implemented predictors have better compression rate than PNG.

National Repository of Grey Literature : 29 records found   1 - 10nextend  jump to record:
See also: similar author names
6 Navrátil, Radek
7 Navrátil, Radim
1 Navrátil, Rafael
5 Navrátil, Robert
1 Navrátil, Rostislav
3 Navrátil, Rudolf
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