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Procedural Generation of Dungeon Type Structures
Šipoš, Marek ; Rychlý, Marek (referee) ; Bartík, Vladimír (advisor)
The main aim of this bachelor thesis was to design and develop a library for procedural generation of dungeons and web application for its practical use. The library offers a configuration interface, output generation according to this configuration and file support. The web application allows the visualization of the obtained input. The implementation was done in Java language.
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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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Application of graph theory to the design and optimization data network architectures
Římský, Adam ; Trzos, Michal (referee) ; Novotný, Vít (advisor)
This masters'sthesis deals with graph theory and utilization of this theory for design and optimization of data network structures. Introduction chapter describes graph theory in general view, i.e. fundamental terms used for graph description, graph distinguishing, etc. Next part describes graph algorithms, for example a shortest path finding. After this I write about actual routing protocols where the graph algorithms are used. Last but one part deals with queuing theory and final part describes practical presentation of using graph theory for design and optimization of data network structure in Matlab programme environment.
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Portfolio selection based on hierarchical structure of its components
Ševinský, Robert ; Krištoufek, Ladislav (advisor) ; Rusnák, Marek (referee)
This thesis investigate empirical performance of three portfolio selection and covariance matrix models. The goal is to find a strategy that outperform equally weighted portfolio in the long run and survives even in times of finan- cial distress. Two models based on Markowitz approach absolutely failed in this context, however the last approach based on network analysis indeed out- perform the market even after risk adjustment of returns. Moreover this model have sparse transaction matrix throughout time, therefore exhibit excellent properties even in the presence of transaction costs. Results for network based portfolio were obtained from running a back test on 160 member companies of S&P 500 index for 6'000 trading days. JEL Classification G11, G32, C10 Keywords Portfolio selection, Minimum spanning tree, Transaction costs, Covariance matrix Author's e-mail r.sevinsky@gmail.com Supervisor's e-mail kristoufek@ies-prague.org
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Procedural Generation of Dungeon Type Structures
Šipoš, Marek ; Rychlý, Marek (referee) ; Bartík, Vladimír (advisor)
The main aim of this bachelor thesis was to design and develop a library for procedural generation of dungeons and web application for its practical use. The library offers a configuration interface, output generation according to this configuration and file support. The web application allows the visualization of the obtained input. The implementation was done in Java language.
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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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Portfolio selection based on hierarchical structure of its components
Ševinský, Robert ; Krištoufek, Ladislav (advisor) ; Rusnák, Marek (referee)
This thesis investigate empirical performance of three portfolio selection and covariance matrix models. The goal is to find a strategy that outperform equally weighted portfolio in the long run and survives even in times of finan- cial distress. Two models based on Markowitz approach absolutely failed in this context, however the last approach based on network analysis indeed out- perform the market even after risk adjustment of returns. Moreover this model have sparse transaction matrix throughout time, therefore exhibit excellent properties even in the presence of transaction costs. Results for network based portfolio were obtained from running a back test on 160 member companies of S&P 500 index for 6'000 trading days. JEL Classification G11, G32, C10 Keywords Portfolio selection, Minimum spanning tree, Transaction costs, Covariance matrix Author's e-mail r.sevinsky@gmail.com Supervisor's e-mail kristoufek@ies-prague.org
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Hierarchical Structure Analysis with Applications to the EU Member States Convergence
Fučík, Vojtěch ; Krištoufek, Ladislav (advisor) ; Bobková, Božena (referee)
The main objective of this thesis is to summarize and possibly extend the existing methodology on correlation matrix filtering, hierarchical clustering and topological classification in the economic networks. In the thesis we use classical MST/HT approach supplemented by edges stability analysis and centrality measures analysis. Graphical objects MST and HT enable us to find relations among the elements of the network. Centrality measures anal- ysis helps us to find the hubs in the network and stability analysis determines the reliability of the resulting model. Presented methodology is then utilized for convergence analysis in the EU and for analysis of clusters in the EU's MSTs and HTs. We detected large clusters of former communist countries for every economic indicator, clusters based on geographical location such as Nordic, Baltic, BENELUX or former ECSC countries and a cluster of PIGS countries. We also found that Spain plays a role of a central node in debt/deficit indicator analysis which made us to express our concerns about potential future problems. 1
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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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