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Graphs, Graph Algorithms and their Use in Finding the Shortest Path
Ott, Lukáš ; Moravec, Petr (referee) ; Bobalová, Martina (advisor)
This Bachelor thesis concentrates on introducing graphs and graph algorithms theories for finding the shortest path and consequential implementation of acquired pieces of knowledge into program MS Excel 2003 using VBA language. Chart theory applies to everything, from small problems to complex actions. If we are able to understand the basic pieces of knowledge presented in this thesis, we will also be able to put them into practice.
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Portfolio Construction Using Hierarchical Clustering
Fučík, Vojtěch ; Krištoufek, Ladislav (advisor) ; Baruník, Jozef (referee)
Hlavním cílem této práce je vyložit a zejména propojit existující metodologii filtrování korelačních matic, grafových algoritmů aplikovaných na minimální kostry grafu, hierarchického shlukování a analýzy hlavních komponent, pro vytvoření kvantitativních investičních strategií. Namísto tradičního použití časových řad akciových výnosů je užito reziduí z faktorových modelů. Tato rezidua jsou klíčovým vstupem pro všechny používané algoritmy k výpočtu pravděpodobnosti středovosti dané akcie. Pravděpodobnost středovosti je nekonvenční ukazatel pravděpodobnosti, kde hodnota blízko 1 značí vysokou pravděpodobnost středovosti dané akcie v dané ekonomické síti. Na základě této míry pravděpodobnosti je vybudováno několik investičních strategií, které jsou dále testován hlavních amerických akciových indexů. Nemůže být generalizováno, že periferní strategie dosahují konzistentně lepších výsledků než středové strategie. Zatímco při použití klasického Markowitzova optimalizačního procesu jsou zisky stabilní a potenciál průměrný, oba typy vybudovaných strategií (středové i periferní) sdílí vysoký potenciál zisku, který je ovšem vykoupen vysokou volatilitou.
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Food vs. Fuel: The Role of Bioenergy
Filip, Ondřej ; Janda, Karel (advisor) ; Pertold-Gebicka, Barbara (referee)
This thesis studies the relationship between the first generation biofuels and selected commodities and assets in the USA, Europe, and Brazil. It is the first attempt to combine the taxonomy and wavelet analyses in a single research application. Our unique dataset comprises 32 weekly price series covering the 2003--2015 time period. First, we employ a method of minimum spanning trees and hierarchical trees to model a biofuel-related price network. We demonstrate a development phase shift between Brazilian and the US/EU biofuel industries. We reveal a strong and stable connection between Brazilian ethanol and its main production factor, local sugarcane. We further find that US ethanol is closely linked to corn. In the contrary, European biodiesel exhibits only moderate ties to its production factors. Subsequent wavelet analysis scrutinizes the identified price connections both in time and frequency domains. Both Brazilian and US ethanols are found to be positively related to their respective feedstock commodities. In particular, feedstock proves to lead the price of the biofuel and not vice versa. Moreover, the dynamics remains qualitatively unchanged when controlled for the influence of crude oil.
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Food vs. Fuel: The Role of Bioenergy
Filip, Ondřej ; Janda, Karel (advisor) ; Pertold-Gebicka, Barbara (referee)
Bibliographic entry Filip, O. (2015): "Food vs. Fuel: The Role of Bioenergy." (Unpublished master's thesis). Charles University in Prague. Supervisor: prof. Ing. Karel Janda M.A., Dr., Ph. D. Length: 121,976 characters Abstract This thesis studies the relationship between the first generation biofuels and selected commodities and assets in the USA, Europe, and Brazil. It is the first attempt to combine the taxonomy and wavelet analyses in a single research application. Our unique dataset comprises 32 weekly price series covering the 2003-2015 time period. First, we employ a method of minimum spanning trees and hierarchical trees to model a biofuel-related price network. We demonstrate a development phase shift between Brazilian and the US/EU biofuel industries. We reveal a strong and stable connection between Brazilian ethanol and its main production factor, local sugarcane. We further find that US ethanol is closely linked to corn. In the contrary, European biodiesel exhibits only moderate ties to its production factors. Subsequent wavelet analysis scrutinizes the identified price connections both in time and frequency domains. Both Brazilian and US ethanols are found to be positively related to their respective feedstock commodities. In particular, feedstock proves to lead the price of the biofuel and not...
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Graphs, Graph Algorithms and their Use in Finding the Shortest Path
Ott, Lukáš ; Moravec, Petr (referee) ; Bobalová, Martina (advisor)
This Bachelor thesis concentrates on introducing graphs and graph algorithms theories for finding the shortest path and consequential implementation of acquired pieces of knowledge into program MS Excel 2003 using VBA language. Chart theory applies to everything, from small problems to complex actions. If we are able to understand the basic pieces of knowledge presented in this thesis, we will also be able to put them into practice.
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