|
|
Technological steps in the cabin superstructure Nenačovice
Petrásek, Jakub ; Mesiarkin, Jan (referee) ; Henková, Svatava (advisor)
The thesis is focused on construction of the cabin. Solves problems of selected parts of the technological project. Including: technical report, the technological process of log walls, ceiling and roof, building equipment, construction schedule, deployment of machines, quality control, health and safety.
|
|
|
Bootstrap methods for dependent observations
Petrásek, Jakub ; Prášková, Zuzana (advisor) ; Kaňková, Vlasta (referee)
This Diploma thesis deals with principles, asymptotic properties and comparison of bootstrap methods for dependent observations. In the first chapter principal ideas and benefits of bootstrap method for independent data are introduced. Subsequently, these knowledge are applied to data exhibiting dependency. Block, frequency and sieve bootstrap methods are presented. Afterwards, principle of each method is described in broader context, asymptotic properties are presented and some of them are derived. Strong dependency of block bootstrap method on block length is discussed and algorithms for empirical choice of optimal block length are described. The main aim of this work is to compare discussed methods from theoretical point of view and via simulation study. Eventually, a few examples, which are based on real data sets, are presented. Discussed principles are implemented in software R and software Fortran.
|
|
|
The impact of economical news on market volatility
Večeřa, Jakub ; Petrásek, Jakub (advisor) ; Hlávka, Zdeněk (referee)
This thesis is focusing on estimating volatility of the given financial time series by analysing economical news headlines. Probabilistic Latent Semantic Analysis is used to extract meaning from the headlines and to reduce dimension of the data space. To ensure symmetry and normality of dependent variable Box-Cox transformation is used. Finally a linear model is constructed to measure dependence of volatility on financial news and its robustness is validated by Cross-validation. Computations are performed in R software.
|
|
|
Technical analysis of financial time series
Faltýnková, Anežka ; Petrásek, Jakub (advisor) ; Hurt, Jan (referee)
The thesis studies the problem of inefficiencies in the finan- cial markets. The first section describes the fundamental concepts, such as the efficient market hypothesis and futures contracts. The necessary mathematics is summarized in the second part, which deals with the link between the futures price and the martingale. The nonlinear regression is introduced and the greatest emphasis is placed on the description of the functional linear model with a scalar response. The main part focuses on the application of this theory. Two models are proposed for predicting prices based on their historical changes. The first model is nonlinear and is based on the assumption that the impact of the price change on the prediction process diminishes exponentially with time. The second one is linear and directly estimates the effect of particular changes. Both models are compared in terms of their ability to predict inefficiencies, calculation costs and stability. 1
|
|
|
Combinatorial portfolio optimization
Zákutná, Tatiana ; Kopa, Miloš (advisor) ; Petrásek, Jakub (referee)
In this thesis, a portfolio optimization with integer variables which influence optimal assets allocation, is studied. At the beginning basic terms, measures of risk - variance, Value at Risk (VaR), Conditional Value at Risk (CVaR) are defined and the mean-risk models are derived for a practical application. Heuristics and standard algorithms of software GAMS are used for solving problems of the combinatorial portfolio optimization. Two types of the he- uristics are described: the Threshold Acceptance and the Genetic Algorithm. The heuristics are implemented in the MATLAB, applied on financial data and compared with an output of the software GAMS. 1
|
|
|
Study of the dependence structure in economic and financial data
Hlavandová, Radana ; Zichová, Jitka (advisor) ; Petrásek, Jakub (referee)
Title: Study of the dependence structure in economic and financial data Author: Radana Hlavandová Department: Department of Probability and Mathematical Statistics Supervisor: RNDr. Jitka Zichová, Dr., Department of Probability and Mathematical Statistics Abstract: The thesis focuses on the issue of graphical models as a possible \\method for determining relationships between different variables. The thesis provides a broad theoretical basis for two methods of testing data, the test of zero partial correlation coefficients and the test based on maximum likelihood estimate. The last mentioned approach is a test of a graphical model with a data set on the basis of deviance. The thesis describes the theory of conditional independence and Markov properties as the basis of both tests, which are illustrated by general examples and by an example with real financial data. Keywords: partial correlation coefficients, conditional independence graph, graphical models
|
|
|
Analysis of financial time series with economical news headlines
Kalibán, František ; Petrásek, Jakub (advisor) ; Zichová, Jitka (referee)
This thesis is focused on options of improving the estimate of volatility of the given financial time series by analysing the economical news headlines. Because of very large volume of data and correlation between word occurence in headlines, the Principal Component Analysis is used to reduce the dimension of data space. For the elimination of significantly large skewness of dependent variable and the preservation of its normality a Box-Cox transformation is used. Finally, a linear model is constructed and its robustness is analyzed by cross-validation method. The computations were made by R software.
|
|
|
Bootstrap methods for dependent observations
Petrásek, Jakub
This Diploma thesis deals with principles, asymptotic properties and comparison of bootstrap methods for dependent observations. In the first chapter principal ideas and benefits of bootstrap method for independent data are introduced. Subsequently, these knowledge are applied to data exhibiting dependency. Block, frequency and sieve bootstrap methods are presented. Afterwards, principle of each method is de- scribed in broader context, asymptotic properties are presented and some of them are derived. Strong dependency of block bootstrap method on block length is dis- cussed and algorithms for empirical choice of optimal block length are described. The main aim of this work is to compare discussed methods from theoretical point of view and via simulation study. Eventually, a few examples, which are based on real data sets, are presented. Discussed principles are implemented in software R and software Fortran. Jakub Petrásek 1
|
|
|
Bootstrap methods for dependent observations
Petrásek, Jakub
This Diploma thesis deals with principles, asymptotic properties and comparison of bootstrap methods for dependent observations. In the first chapter principal ideas and benefits of bootstrap method for independent data are introduced. Subsequently, these knowledge are applied to data exhibiting dependency. Block, frequency and sieve bootstrap methods are presented. Afterwards, principle of each method is de- scribed in broader context, asymptotic properties are presented and some of them are derived. Strong dependency of block bootstrap method on block length is dis- cussed and algorithms for empirical choice of optimal block length are described. The main aim of this work is to compare discussed methods from theoretical point of view and via simulation study. Eventually, a few examples, which are based on real data sets, are presented. Discussed principles are implemented in software R and software Fortran. Jakub Petrásek 1
|
|
|
Study of the dependence structure in economic and financial data
Hlavandová, Radana ; Zichová, Jitka (advisor) ; Petrásek, Jakub (referee)
Title: Study of the dependence structure in economic and financial data Author: Radana Hlavandová Department: Department of Probability and Mathematical Statistics Supervisor: RNDr. Jitka Zichová, Dr., Department of Probability and Mathematical Statistics Abstract: The thesis focuses on the issue of graphical models as a possible \\method for determining relationships between different variables. The thesis provides a broad theoretical basis for two methods of testing data, the test of zero partial correlation coefficients and the test based on maximum likelihood estimate. The last mentioned approach is a test of a graphical model with a data set on the basis of deviance. The thesis describes the theory of conditional independence and Markov properties as the basis of both tests, which are illustrated by general examples and by an example with real financial data. Keywords: partial correlation coefficients, conditional independence graph, graphical models
|
guest ::
RSS feed.