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Market making jako obchodní strategie
Čamaj, Matej ; Stádník, Bohumil (advisor) ; Fičura, Milan (referee)
The purpose of this thesis is to analyze market making trading strategy and explore possibilities of using such strategy for intraday trading on the markets with the limit order book. In theoretical part we prove profitability of specified market making strategy under certain assumptions and moreover analyze effect of change of parameters on the performance of the strategy using one dimensional stochastic processes. Next the assumption of constant fair price is relaxed which leads to deterioration of profitability of these strategies. Because one dimensional stochastic processes do not capture price creation in the real world, we propose stochastic model of intraday trading in the next chapter. Advantage of this approach is that we can observe state of the limit order book during whole trading session and therefore better simulate conditions for test of the strategies. Although proposed model exhibit many phenomenons observed in empirical data like volatility clustering, in some situations it produces unrealistically high spread caused by the construction of the model, because arrivals of market and limit orders are modeled as independent processes. Another disadvantages are need of relatively extensive data for model calibration and high sensitivity of model to change of parameters. Lastly we test three different market making strategies under different choice of model parameters and show that expected profitability is positive in all cases.
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Comprehensive study of yield in bond analysis
Krajčíková, Lucia ; Stádník, Bohumil (advisor) ; Málek, Jiří (referee)
This thesis covers detailed analysis of bond pricing function. It focuses on connections between mathematical definitions and financial practice and it points out advantages and drawbacks of currently used function. Well known properties of this function are extended to negative internal rate of return values. This topic is further discussed with internal rate of return polynomial equations solving. Taylor series approximation is also shown regarding duration and convexity of bonds.
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Pokles cen akcií v ex-dividend den a efektivnost trhů s akciovými opcemi
Křížek, Tomáš ; Dvořák, Petr (advisor) ; Stádník, Bohumil (referee) ; Svoboda, Martin (referee)
This paper analyses options/warrants price behavior around an ex-dividend day of underlying shares. Both equity options as financial instruments traded on options exchanges, and warrants/certificates as OTC financial instruments are analyzed. First, the paper analyzes the ex-dividend day share price drop. Findings of this part are further used to analyze the impact of unexpected share price decline on options prices. Further, the paper focuses on volumes of traded options contracts and changes in options prices around the ex-dividend day. The paper focuses on European shares and related options and warrants. The options data was collected from the options exchange EUREX and also from several OTC sources -- Vontobel, Lang & Schwarz, Erste, and xMarkets by Deutsche Börse. The main aim of the paper is to identify market inefficiencies in trading in and valuation of equity options. There are two main conclusions that around the ex-dividend day there is a significantly increased trading activity and the call options depreciate whereas put options appreciate between the cum-dividend and the ex-dividend day. This shows insufficient implementation of the share price drops into options valuation models of options dealers or investors / speculators. Further an impact of unexpected share price behavior was analyzed but no particular pattern has been identified. The impact of the unexpected share price drop (either too high or too low) has ambiguous implications on the options prices. Finally, ways how to utilize on knowledge of inefficient trading in options around the ex-dividend day were suggested. The suggestions were done both from the perspective of an investor / speculator and of an options dealer.
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Dynamic Asset Pricing Models
Tabiš, Peter ; Witzany, Jiří (advisor) ; Stádník, Bohumil (referee)
Field of examination is theoretical and empirical review of dynamic CAPM models that assume non constant volatility and correlation. In other words time evolution is considered in estimation process. As theoretical basement is recommended to be R. Engle's (Dynamic Conditional Beta) research and other sources.
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Rizikovost finančních trhů a její dopad na důchodový systém
Štěpánek, Martin ; Witzany, Jiří (advisor) ; Stádník, Bohumil (referee)
Financial unsustainability of pension systems in developed economies looms large on the horizon due to increasing life expectancy and continuous drop in fertility. In spite of a broad discussion, there has been but a little consensus on appropriate remedy. One aspect partially neglected in the literature is vulnerability of pension systems to market imperfections and economic shocks. I present three basic types of pension schemes adopted across all developed countries - pure PAYG, fully-funded, and mixed (multipillar) scheme - and examine effects of various risks -- particularly market risk, interest rate risk, investment risk, and longevity risk -- on their functioning. The analysis shows that while no pension scheme is immune to external influences, the multipillar scheme provides the best results thanks to appropriate risk diversification.
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Primární emise korporátních dluhopisů v Evropě
Galetová, Hana ; Stádník, Bohumil (advisor) ; Málek, Jiří (referee)
A top-down analysis approach used for over 17 thousand of euro-denominated corporate bond issuances executed in the European primary bond market between 1999 and 2013. The main findings reveal not only the most active corporate issuers in Europe, but they also show the decomposition of issuance by coupon type, rated versus unrated issuance, debut and perpetual issuances, high grade as well as high yield new bond issues split by sector, rating and maturity. I used the opensource statistical package Gretl and applied the ordinary least square technique in order to quantify the association between euro-denominated corporate issuance and credit spreads.
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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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Icelandic banking crisis
Jirásek, Tomáš ; Dvořák, Petr (advisor) ; Stádník, Bohumil (referee)
This diploma thesis concerns with icelandic financial and mostly banking crisis. The first part is dedicated to presentation of Iceland as a state in general. The second part draws an economic development from 2000 to 2008 and consequently describes general causes of the crisis and recognizes them on the annual reports of the Kaupthing Bank. Third part shows the course of the crisis and impact on the regional financial system and institutions. In a closing, the part four deals with development after the crisis.
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Performance of Value Investing Stragegy Pursued by Selected European Funds
Hanzo, Ján ; Veselá, Jitka (advisor) ; Stádník, Bohumil (referee)
This diploma thesis covers value investing process defined by adherents of Graham and Dodd. Theoretical aspects of this principle are explained with special focus devoted to determination of intrinsic value using three step process utilizing information from value of assets, earnings power value and value of growth. We pay attention to strategic considerations that should facilitate an analyst to more reliable conclusions. Using European markets data, analytical part of this work examines return of mechanically compiled value and growth portfolios and presence of value premium. We than analyze return of existing value portfolios.
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Value at Risk: Historical simulation, variance covariance method and Monte Carlo
Felcman, Adam ; Málek, Jiří (advisor) ; Stádník, Bohumil (referee)
The diploma thesis "Value at Risk: Historical simulation, variance covariance method and Monte Carlo" aims to value the risk which real bond portfolio bears. The thesis is decomposed into two major chapters: Theoretical and Practical chapters. The first one speaks about VaR and conditional VaR theory including their advantages and disadvantages. Moreover, there are described three basic methods to calculate VaR and CVaR with adjustments to each method in order to increase the reliability of results. The last chapter brings results of VaR and CVaR computation. Many graphs, tables and images are added to the result section in order to make the outputs more visible and well-arranged.
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