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Non-linear models for financial time series and software tools for their analysis
Fučík, Jan ; Zichová, Jitka (advisor) ; Hendrych, Radek (referee)
This thesis deals with some time series models applicable in finance. First, the basic concepts are introduced and the linear AR models are presented. Afterwards, the reader becomes familiar with the nonlinear ARCH volatility models including their properties and the model-building. The generalized GARCH models are briefly mentioned. Another part of the thesis shows the usage of these models to real data in two available software products - R and Mathematica. The programs are compared from the point of the obtained results and the usability for the analysis of financial time series via the explained models. The description of the procedures and the attached CD with the outputs of the programs allow the reader to apply the models on his or her own data.
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Time series and stochastic volatility in finance
Kováčová, Iveta ; Hurt, Jan (advisor) ; Zichová, Jitka (referee)
Title: Time series and stochastic volatility in finance Author: Iveta Kováčová Department: Department of Probability and Mathematical Statistics Supervisor: Doc. RNDr. Jan Hurt, CSc. Supervisor's e-mail address: hurt@karlin.mff.cuni.cz Abstract: Following thesis introduces the basic characteristics of autoregressive models ARCH and GARCH. Afterwards, it describes numerical calculation of estimation of their parameters. Finally, it applies the abovementioned models on concrete financial data (exchange rate EUR/CZK) by means of the Mathematica 8.0 program.
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Road and tram bridge
Vošček, Martin ; Štrba, Michal (referee) ; Brosch, Petr (advisor)
The subject of this Diploma Thesis is to develop different alternatives of the road and tram bridge. It is a river bridge with the length of 52,5 m. There are compared two proposals, while in the first proposal it is an arch bridge with the tension bars. The second proposal which is also finalized as the winning proposal is the truss structure. Both proposals have composite deck. The structure is designed from steel S355 and concrete C35/45. The load bearing structure is designed in accordance with applicable technical standards.
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Steel foot-bridge
Pauer, Jan ; Barnat, Jan (referee) ; Štrba, Michal (advisor)
The diploma thesis describes the design and assessment of steel footbridge for pedestrians and cyclists across the river Svratka in Brno. As the main material of structural elements was used steel S355. In the beginning is deal with two variants of structural system, which are compared with each other and the better variant is chosen. The main structural system of chosen variant consist of two parabolic arches bend down to each other on which is suspended by suspenders intermediate deck. The deck consist of two steel beams with floor beams and composite cencrete slab. The span length is 50 m.
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Coffee Trading on Commodity Markets
Kašička, Jan ; Málek, Jiří (advisor) ; Fičura, Milan (referee)
This thesis offers a comprehensive view of coffee trading on commodity markets. To describe the behavior of prices and their volatility, ARCH and GARCH models are used. These models analyse coffee prices of selected regions in Ethiopia, the birth place of coffee. The thesis connects the characteristics of soft commodity with current knowledge of financial econometrics. It also describes the effects of changes in exchange rates and oil prices on the price of coffee. Price volatility is examined with regard to deregulation and reforms on this market within the last three decades. Developments in the developing world caused a significant need for the progression and identification with the hedging instruments. These are closely linked to the globalized market with coffee, so it is conversely possible to absorb the shocks on small growers, who are significantly impacted by the globalized world.
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The multipurpose hall in Tábor
Tomeš, Martin ; Sýkora, Karel (referee) ; Šmak, Milan (advisor)
In my project I focused on the design of the sports hall in Tabor. As the main construction material was used glued laminated timber. the associated structure was used steel. the structure has a span of 45 meters and a length of 60 m, height of 15.5 meters. For a given type konstruckce I decided for economic reasons to curved beams of glulam supported at the ends.
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Footbridge across the Berounka
Zlatuška, Karel ; Romportl, Tomáš (referee) ; Stráský, Jiří (advisor)
The diploma thesis deals with design of plan – curved footbridge over Berounka river near the town of Čivice. Three different options were developed. First option includes a single – beam prestressed integral construction with haunches. The second option includes suspension footbridge construction, where the bridge deck is suspended at one side. In the third option the main span is built from concrete segments. Those are suspended on a pair of steel arches. The access ramps are cast – in – place, and they are supported by round steel piers. This variant was finally chosen as the best one and it was further processed. The construction was analyzed with Scia Engineer 2015 software, considering the construction process. The footbridge was loaded with dead loads and live loads including traffic and thermal actions. The internal forces were calculated and the construction was assess to the serviceability and ultimate limit states. In terms of serviceability, stress in concrete sections and deformations were checked. In terms of the ultimate limit state, the ultimate load capacities were calculated. The steel arches and piers were checked for possibility of loss of stability by buckling. The loss of stability was also checked by the software. Finally the dynamic behaviour of the construction was assessed, especially the harmonic excitation response. Then the construction plan and the drawings were made. The drawings include overview drawings and detailed drawings.
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Steel Footbridge
Janíková, Dita ; Barnat, Jan (referee) ; Bajer, Miroslav (advisor)
The diploma thesis is focused on a design and appraisal of a steel load bearing construction of footbridge. The footbridge builds a new bridge across the river Ostravice in Sviadnov at Frýdek-Místek. The main subject of the diploma thesis was preparation of three variants for the footbridge. All variants were evaluated and the best one was elaborated in depth. It is a footbridge with a total span of 57 metres with a load bearing construction created two arches bent down to each orther. There is an orthotropic bridge deck with main outer lenghthways girders on the arches.
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Static verification and alternative design of steel structure of winter sport stadium in Znojmo
Strnadlová, Kateřina ; Melcher, Jindřich (referee) ; Karmazínová, Marcela (advisor)
The subject of this thesis is the recalculation and alternative construction design of roofing winter stadium in Znojmo. The building has a rectangular plan with dimensions of 84 x 63 m. The existing roof structure consists of truss purlins and main truss with parabolic chord, which are carried out by a pair of steel arch with a span of 84 m. The new design is processed in two options. The first option is the structure formed by triangular arch truss girder with truss purlins. The second option is a steel lamellar vault formed by vierendeel beams. After evaluating the design options was for a detailed solution chosen the first option.
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Fingerprint Classification
Kostiha, Martin ; Orság, Filip (referee) ; Drahanský, Martin (advisor)
Automatic identification based on fingerprints requires the input fingerprint to be matched with a large number of fingerprints stored in a database. Fingerprint classification provides an important indexing mechanism in fingerprint databases that reduces the search time and computational complexity. This thesis is dealing with Galton-Henry's classification system. The classification method is based on orientation field and detection singularities using Poinaceré index.
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