National Repository of Grey Literature 179 records found  1 - 10nextend  jump to record: Search took 0.00 seconds. 
On the Utilization of Machine Learning in Asset Return Prediction on Limited Datasets
Petrásek, Lukáš ; Baruník, Jozef (advisor) ; Novák, Jiří (referee)
In this thesis, we conduct a comparative analysis of how various modern ma- chine learning techniques perform when employed to asset return prediction on a relatively small sample. We consider a broad selection of machine learn- ing methods, including e.g. elastic nets, random forests or recently highly popularized neural networks. We find that these methods fail to outperform a simple linear model containing only 5 factors and estimated via ordinary least squares. Our conclusion is that applications of machine learning in fi- nance should be conducted carefully, because the techniques may not actually be as powerful as one might think when they are applied under unfavorable circumstances. JEL Classification C45, C52, C53, C58, G12 Keywords asset pricing, machine learning, return predic- tion, regression, decision tree, random forest, neural network Title On the Utilization of Machine Learning in Asset Return Prediction on Limited Datasets Author's e-mail petrasek.lks@gmail.com Supervisor's e-mail barunik@fsv.cuni.cz
Assessment of the Information System and the Proposal for Modification of Specific Company
Čička, Dominik ; Novák, Jiří (referee) ; Klusák, Aleš (advisor)
This diploma thesis deals with the analysis of the environment of the company TEFIS s.r.o., active in the logistics industry. It discusses the assessment and suggestions for changes to the company's information system. Given issues contains the theoretical background to the given issues and analyzes that were carried out in the company environment. Based on the analysis, the work actually includes suggestions for solutions for streamlining the information system and an overall summary.
Baltic Stock Market Integration
Stulga, Šarūnas ; Kočenda, Evžen (advisor) ; Novák, Jiří (referee)
1 Abstract In this thesis, we present an empirical analysis of integration between the Baltic and global stock markets during the period between 2000 and 2018. This research is spurred by the fact that all three Baltic countries displaying similar positive economic developments over the studied horizon. Using the theoretical and empirical findings from similar research papers, we ground our work for the analysis. Our methodology is based on three different models: DCC-GARCH, total and frequency connectedness, and the Engle-Granger cointegration test. Using these methods, we are able to determine both short- or long-term relationship dynamics. Based on the results from our empirical analysis we were not able to reject the null hypotheses, that the Baltic states have become more integrated between themselves and the global market. At best, our results would suggest a weak form of integration given that there were indeed some notable dynamic changes. Following these results, we provide insight on interdependencies between the Baltic states and their relationships with the global stock markets. Most notable dynamics are captured by the total connectedness measure, which indicates that the Baltic stock markets show a significantly increased connectedness with the global indices, during turbulent times in the...
Development of Game Application for PC in Unity Environment
NOVÁK, Jiří
The main goal of this project is to create an application in form of a PC game. The project focuses on game engine Unity and programming language called "C sharp". Using game engine is a simpler way of coding games for multiplatform environment. It implements commonly used game functions that take care of basic game objects behaviour. Game of this project is 2D and uses sprites for graphics and animations. In this case technique called Pixel art is used. Genre of this game is a platformer slightly leaning to "Metroidvania". A player character can move vertically with the option to jump horizontally. Environment contains traps and enemies which the player tries to avoid or eliminate. During the game progress can player reach different bonuses and score points. The game includes multiple levels with different enemies and difficulties.
Stability and control of dynamical systems used in modeling an airplane motion
Novák, Jiří ; Šremr, Jiří (referee) ; Nechvátal, Luděk (advisor)
A modern aircraft (or another machine moving in the air) usually does not rely on its structural stability only. In fact, the motion is conventionally stabilized using a loop feedback control. A dynamical system, which models the aircraft's position and orientation in time, reacts on the state variables, hence, the control signal is dynamically changed. This bachelor's thesis deals with deriving the equations of motion for small perturbations of the state variables as well as with stability and control of such a system of equations. In addition, comparison of both a nonlinear and a linearized model is a part of this work. The programming language Python is used for testing on several examples of a concrete aircraft.
The impact of foreign and domestic M&A on acquirer's stock prices in Central and Eastern Europe
Lukashova, Anna ; Kočenda, Evžen (advisor) ; Novák, Jiří (referee)
The primary objective of this thesis is to investigate the value implications of the mergers and acquisitions deals initiated by the firms from the CEE region. We examine the sample of the 203 M&A announcements made by the bidder firms from the two major economies in the region-Poland and Russia-over the period 2006-2016. We apply the event study methodology to investigate the effect of the M&A announcement on the wealth of the acquirers' shareholders. The results demonstrate that on average investors of the Polish acquirers receive positive short-term wealth effect, while the investors of the Russian firms lose in short-term value. Our empirical findings provide partial support for the positive wealth effect when acquirers target the strategically important asset. Our results hold after controlling for the number of firm and transaction-specific characteristics. JEL Classification G14, G32, G34 Keywords mergers and acquisitions, event study, bidder gains, shareholder wealth effects, Central and Eastern Europe Author's e-mail lukashova.a.v@gmail.com Supervisor's e-mail kocenda@fsv.cuni.cz
Size and Value Premiums in Returns of the Central and Eastern European (CEE) Stocks
Rolevski, Borche ; Novák, Jiří (advisor) ; Vacek, Pavel (referee)
This thesis provides evidence of size and value premiums in returns in the Central and Eastern European (CEE) region, through its analysis of financial markets in 12 countries. Following the portfolio construction methodology of Fama and French (1996) we use a sample of 1245 stocks and record that small stocks outperform big stocks (size premium) and value stocks outperform growth stocks (value premium). In addition, we create nine portfolios to test the Fama and French three-factor model and show that the factor-mimicking portfolios that have been documented in the developed markets, SMB (small minus big) and HML (high minus low), also capture most of the cross-section variation in average stock returns in the CEE region. We demonstrate a similar pattern in terms of size return as documented in the U.S. market, but with small differences in the value returns found. Although the Gibbons-Ross-Shanken (GRS) test does not reject the null with 95%, we do not agree that the model completely explains the variation in average returns across the portfolios. The GRS rejects the null at 90% and implies that other factors are omitted from the model. Nevertheless, this thesis contributes to the literature applying asset pricing models to the CEE region, and should provide insights to investors active in the CEE...

National Repository of Grey Literature : 179 records found   1 - 10nextend  jump to record:
See also: similar author names
46 NOVÁK, Jakub
76 NOVÁK, Jan
4 NOVÁK, Jaromír
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