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Investing in Commodities through Futures Contracts
Králík, Patrik ; Bílek, Michael (referee) ; Rejnuš, Oldřich (advisor)
The diploma thesis focuses on the analysis and comparison of selected commodities in order to create an investment recommendation to diversify the hedge fund's equity portfolio. The theoretical part deals with issues related to the investment portfolio, commodities, trading through futures contracts and explains the applied analytical methods. In the practical part, commodities are first selected, which are then analyzed by selected methods and finally compared by a comparative method. The last part of the work contains, based on the results, a proposal to expand the investment portfolio and the process of making investments through commodity futures contracts.
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Futures Trading of Commodities as a Retail Trader
Burša, Petr ; Hrabec, Vojtěch (referee) ; Rejnuš, Oldřich (advisor)
The goal of this thesis “Futures trading of commodities as a retail trader” is creation of investment suggestion, based on analysis of possibilities, markets and factors influencing the price. In the first part are defined basic terms and information for better orientation on the futures commodity market. In the next part are analysis of the major commodity markets, groups of commodities and detailed analysis of interest commodities – gold and silver. The last third part of the thesis engage in creation of strategy for trading of commodity futures on gold and silver, which is the basic element for the final investment suggestion.
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Investing in Commodities through Futures Contracts
Králík, Patrik ; Bílek, Michael (referee) ; Rejnuš, Oldřich (advisor)
The diploma thesis focuses on the analysis and comparison of selected commodities in order to create an investment recommendation to diversify the hedge fund's equity portfolio. The theoretical part deals with issues related to the investment portfolio, commodities, trading through futures contracts and explains the applied analytical methods. In the practical part, commodities are first selected, which are then analyzed by selected methods and finally compared by a comparative method. The last part of the work contains, based on the results, a proposal to expand the investment portfolio and the process of making investments through commodity futures contracts.
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Futures Trading of Commodities as a Retail Trader
Burša, Petr ; Hrabec, Vojtěch (referee) ; Rejnuš, Oldřich (advisor)
The goal of this thesis “Futures trading of commodities as a retail trader” is creation of investment suggestion, based on analysis of possibilities, markets and factors influencing the price. In the first part are defined basic terms and information for better orientation on the futures commodity market. In the next part are analysis of the major commodity markets, groups of commodities and detailed analysis of interest commodities – gold and silver. The last third part of the thesis engage in creation of strategy for trading of commodity futures on gold and silver, which is the basic element for the final investment suggestion.
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Range-based volatility estimation and forecasting
Benčík, Daniel ; Baruník, Jozef (advisor) ; Krištoufek, Ladislav (referee)
In this thesis, we analyze new possibilities in predicting daily ranges, i.e. the differences between daily high and low prices. The main focus of our work lies in investigating how models commonly used for daily ranges modeling can be enhanced to provide better forecasts. In this respect, we explore the added benefit of using more efficient volatility measures as predictors of daily ranges. Volatility measures considered in this work include realized measures of variance (realized range, realized variance) and range-based volatility measures (Parkinson, Garman & Klass, Rogers & Satchell, etc). As a subtask, we empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to simple daily ranges. As another venue of research in this work, we analyze the added benefit of slicing the trading day into different sessions based on trading activity (e.g. Asian, European and American session). In this setting we analyze whether whole-day volatility measures reliably aggregate information coming from all trading sessions. We are led by intuition that different sessions exhibit significantly different characteristics due to different order book thicknesses and trading activity in general. Thus these sessions are expected to provide valuable information concealed in...
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Trader`s risks in wholesale energy market
Martinec, Adam ; Paholok, Igor (advisor)
Bachelor thesis focuses on analysis of risks borne by traders in wholesale energy market. It describes position of traders in energy exchange and OTC electricity market. It determines size of four basic financial risks (credit risk, market risk, liquidity risk and operational risk) depending on kind of the market. The last part of the thesis is dedicated to the determination of circumstances favoring the Power Exchang Central Europe over the OTC market, using the implementation of Credit Value Adjustment.
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Analýza vstupních a výstupních signálů aplikovaná na futures trhy
Vandas, Martin ; Dvořák, Petr (advisor)
This bachelor thesis is based on creating a simple speculation strategy applied for futures markets. The first part of this work describes futures contracts, characteristics of subjects who trade with them and risks connected with futures trading. The next parts present entry and exit signals of modelled trading strategy and their effects on the final measured results. The goal of this work is to find out, which part of the process of creating strategies is more important and whether the combination of both ensures better trading results, concerning other important factors.
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Výběr délky regresoru
Křivánek, O. ; Zeman, Jan
This research report is closely connected to the long time running research of the usage of the theory of Bayesian learning, stochastic dynamic programming and its approximations in futures dealing problem. This report describes tuning of one selectable parameter, which occurs in the new-designed algortihm called iterations-spread-in-time strategy. Experiment is done on real economic data on 35 selected futures markets. The main criterion of succes is the so-called net profit and also comparison with the previous experiments.
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Vylešpení modelu dynamického rozhodování pomocí metody "Iteration spread in time"
Divišová, L. ; Zeman, Jan
In the present work we study the problem of ¯nding the best de- cision based on our previous experience with the system. To solve this task, we use the dynamic programming and its approximations. In the work we summarize the theory needed for usage of the dynamic programming and we deal with its application on futures dealing trying to ¯nd best strategy, id est a sequence of decisions, maximizing our gain or minimizing the loss function. We introduce notion "Bellman function", explain why the approximation of this function is needed, demonstrate one of already tested approximation methods together with its results and we try to propose a method that would lead to the best approximation in suitable time and with available computation aids.
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Dynamic decision making based on iterations-spread-in-time strategy
Šindelář, Jan ; Křivánek, O.
This article describes a formal approach to decision making optimization in commodity futures markets. Our aim was to design optimal decision strategy generating decision at a given time. It contains theoretical description of estimation using Bayesian learning and approximate methods of dynamic programming. Finally, the original decision strategy using approximate methods of dynamic programming was designed. This strategy was tested by a series of experiments indicating our ability to construct pro table trading machine.
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