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Potential output. Econometric application for Czech Republic.
Kyncl, Jan ; Pánková, Václava (advisor) ; Bašta, Milan (referee)
I summarize different methods of potential output and output gap estimation including advantages and disadvantages in this thesis. I also applied two published models on real data for Czech Republic. Concerned models are Hodrick-Prescott filter and so called Production Approach. Both approaches are simultaneously used by ČNB. This thesis offers comparison between HP filter and production approach and comparison of Czech, Austrian and common EU-15 potential output and output gap. Potential output of Austria and EU-15 was obtained from OECD database. Comparison result refers to very similar progress of estimate obtained by univariate and multivariate method. It also shows different trend behavior of domestic economy against more developed EU countries, which is starting to be similar at the end of observed period.
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Seasonality on selected demographic time series over the last 10 years
Bezchlebová, Daniela ; Šimpach, Ondřej (advisor) ; Bašta, Milan (referee)
Nowadays there is a noticeable trend towards increasing number of children being born out of wedlock -- that is, not in marriage. But the term "marriage" has gained a completely different meaning than in the past. Unmarried cohabitation has become a common alternative to marriage. This is illustrated by the fact that until the end of the 1960s, the proportion of births out of wedlock is very low. The aim of this thesis is to analyse the monthly time series of the number of in-wedlock and out-of-wedlock live births in the Czech Republic over the last ten years, based on selected socio-demographic and technical characteristics, and to prove or reject the statistical significance of the occurrence of seasonal element and further quantify and simulate this element.
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Currency Trading Strategies
Krpálek, Jan ; Bašta, Milan (advisor) ; Žváčková, Lenka (referee)
My bachelor thesis is concerned with algorithmic trading on foreign exchange markets. Motivation is to create practical work which will cover basics for my ongoing work. From my perspective it is very important to describe assumptions which are necessary in order to properly understand functionality of automated trading. The initial theoretical part includes essential description of methods and tools for Technical Analysis and Money Management which are used afterwards. Further my aim is to show optimization process that is used by professional traders to achieve better and consistent trading results. Finally all calculations will be processed by the TradeStation trading platform and written in EasyLanguage. The end of my thesis includes complete algorithm, ready for immediate use.
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Analysis of climatological time series for selected places in Europe in the years 1961-2010
Míka, Tomáš ; Helman, Karel (advisor) ; Bašta, Milan (referee)
This bachelor thesis preoccupied with the analysis climatological time series mesured at seven selected meterological stations located throughout the European continent. The underlying data for this analysis were obtained from publicly available European database of ECA&D. The analysis is focused on calculation of the basic charakteristic and decomposition of time series. The aim of this bachelor thesis is to examine development of the time series of average monthly temperatures and precipation in the period 1961 - 2010 for individual weather stations and these data analyzed to compare with each other and explore similiraties and differences in temperature and precipation from individual station, not only in term of time but also terms of space. This thesis is divided into two parts. The first part is theoretical and generally discribes statistical methods. The second key part (practical) is devoted data processing and analysis of the time series.
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Wavelet Transform and its Application in the Analysis of Economic and Financial Time Series
Bašta, Milan ; Arlt, Josef (advisor) ; Málek, Jiří (referee) ; Mareš, Milan (referee)
The thesis deals with a brief compilation of the theory of Fourier transform, linear filtration and a triad of wavelet transforms -- the maximal overlap discrete wavelet transform (MODWT), the discrete wavelet transform (DWT) and the continuous wavelet transform (CWT). These transforms are among others applied to the analysis of the time-varying character of variability in the time series, to the detection of events of significant changes of variability, to the removal of noise in the time series (denoising) and to the time-scale analysis of the relationship of two time series. The analyzed time series used in this thesis are the logarithm of the Garman-Klass estimate of the historical volatility, the time series of stock returns and the logarithm of the monthly inflation rate. In some cases artificial time series are analyzed. The procedures and methods introduced in the thesis might be well implemented in the analysis of other economic and financial time series. The contribution of the thesis is a brief and easy-to-use compilation of the wavelet theory and the application of the wavelet transform to such financial and economic time series, where such an analysis tool has never been applied before. New insights into the properties of time series are thus obtained, insights, which might be hardly recovered by traditional means and methods.
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The study of the relationship between average realized stock returns and the risk of stock investment
Řípa, Daniel ; Bašta, Milan (advisor) ; Cícha, Martin (referee)
Bachelor thesis deals with the topic of average return rates of stock investments and assessment of their risk. The aim of this work is a comparison of two alternative approaches of risk measurement. Twenty years long time series of 30 stocks' returns from 1991 to 2010 are first used to analyze a relationship between average realized returns and standard deviations of the returns. Variety of computational algorithms is used in attempt to generalize this relationship. Analysis of the full length time series does not seem to discover a significant mutual relationship in the analyzed dataset. However, by analogically employing the algorithm of the CAPM analysis a significant and positive linear relationship between standard deviations and realized returns was found. Furthermore, two-step regression algorithm introduced by Fama & MacBeth is used to test the validity of CAPM model. This method led to the conclusion that CAPM cannot be rejected within the analyzed dataset. Moreover, strong positive linear relationship was found between the estimates of standard deviation and beta coefficients, which may be explained by the lack of variability in correlation between individual assets' and market portfolio's returns.
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Application of technical analysis indicators on a market data
Tabiš, Peter ; Trešl, Jiří (advisor) ; Bašta, Milan (referee)
The purpose of the thesis is test of current technical analysis indicators with the support of basic statistical software (Excel and PASW STATISTICS). During the test we will apply the correlation process in order to find two less similar markets. Subsequently, we will use these markets for testing the individual indicators of the analysis. The chosen indicators are those of the highest popularity as far as the profit/loss analysis is considered.
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Linear relation in stock time series
Nemčíková, Lucia ; Bašta, Milan (advisor) ; Helman, Karel (referee)
The aim of this Bachelor's Thesis is to verify the hypothesis of absence of linear relations between logarithmic returns in the stock time series, determined from the efficient markets hypothesis and the existence of linear relations between the squares of returns. I used regression analysis and conditional heteroskedasticity ARCH test of linear type, to achieve the results. My own analysis proved that even if there is a linear relation between logarithmic returns, the relation is not significant. On the other hand the linear relation between squares of returns is significant with tendency to be strong, what is a necessary condition for the use of a linear model of volatility.
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Analysis of Temperature Time Series Measured by Stations Praha - Ruzyně and Brno - Tuřany between 1999 and 2008
Vraná, Lenka ; Helman, Karel (advisor) ; Bašta, Milan (referee)
This thesis is focused on analyzing time series of monthly average air temperatures measured at 7 AM, 2 PM and 9 PM, by climatological stations Brno - Tuřany and Praha - Ruzyně. The objective of this thesis is to employ basic time series analysis methods and to apply statistical software, concretely SPSS Statistics 17.0 and Statgraphics Centurion XVI. It deals especially with calculation of basic characteristics, time series decomposition (classical model) and description of their trend and seasonal component. This thesis examines if there is any resemblance in the progress of the series, which were measured by the same station at different times or at the same time by different stations. The thesis is divided into two parts. In the first part, there is a theoretical description of time series analysis methods and the analysis itself is in the second part.
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Statistical analysis of students' success rate in 4ST201
Vanišová, Adéla ; Malá, Ivana (advisor) ; Bašta, Milan (referee)
The main goal of this thesis is the statistical comparison of results from students who attended the course 4ST201. The data used are for the winter semester of the academic year 2008/2009. This thesis is focused on the results throughout semester and the final exam. The thesis is divided into two main chapters. The first part is a theoretical base for the calculation and it also contains information about data I worked with. The second part is a practical part and it is focused on interpretation of the results of the analysis where I examined the students' results from different aspects and tested hypotheses about interdependencies. In the conclusion findings from all calculations are summarized.
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