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Unorthodox measures of economic performance
Křehlík, Tomáš ; Zápal, Jan (advisor) ; Jeřábek, Jakub (referee)
Assessing long-term economic performance is persistent problem of current economics. Various methods exist, most often in form of indices (Sustainable society index, Ecological footprint, Urban Sustainability index, etc.), which however suffer from many issues (monetization, weighting). In recent years assessment method called NAIADE based on fuzzy logic and multi-criteria decision analysis has been developed. It deals with many problems of aforementioned indices. This approach has not yet been applied to data of many countries. Goal of my bachelor's thesis is to give overview of currently used indices, introduce multi-criteria decision analysis, perform computation of NAIADE and discuss rankings of the Czech Republic in international perspective.
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Robust Estimator of Persistence in Financial Time Series
Jeřábek, Jakub ; Hanzák, Tomáš (referee) ; Vošvrda, Miloslav (advisor)
The goal of this thesis is to develop a novel robust log-periodogram regression method to detect the presence of long memory in time series. By the use of the Least Trimmed Squares regression we obtain an estimator that is less sensitive to outliers and leverage points, which is highly desirable particularly because the Periodogram estimator itself is prone to such inhomogeneities. In a Monte Carlo study, the new estimator provides smaller bias than the classical Least Squares log-Periodogram estimator. On the other hand the variability of estimation is increased. The proposed estimator is compared to existing long memory estimators on a case study of international currency exchange rates.
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Multifractal nature of financial markets and its relationship to market efficiency
Jeřábek, Jakub ; Vošvrda, Miloslav (advisor) ; Krištoufek, Ladislav (referee)
The thesis shows the relationship between the persistence in the financial markets returns and their efficiency. It interprets the efficient markets hypothesis and provides various time series models for the analysis of financial markets. The concept of long memory is broadly presented and two main types of methods to estimate long memory are analysed - time domain and frequency domain methods. A Monte Carlo study is used to compare the methods and selected estimators are then used on real world data - exchange rate and stock market series. There is no evidence of long memory in the returns but the stock market volatilities show clear signs of persistence.
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Coupled transport processes
Jeřábek, Jakub ; Kuráž, Michal (advisor) ; Lukáš, Lukáš (referee)
The objective of this thesis was to implement a new module to the DRUtES model code, which allows to calculate coupled transport of moisture, temperature and miscible substance in a variably saturated porous media. The main part of the practical phase of the thesis was to implement appropriate constitutive relationships describing a coupled transport to the Galerkin finite elements scheme previously implemented in the DRUtES model. Besides this, a corresponding configuration files were made to assign parameters of the model into program data structures as well as a little bit of other programming work elsewhere in the code. Numerical solution of each transport equation was compared with its analytical solution. 1D moisture transport with the Philips semi-analytic solution of diffusive form of Richards equation. 2D temperature and miscible substance transport with an analytical solution of advection-dispersion equation. This comparisons suggested that the implementation was correct. The coupling of these processes was compared with a reference numerical solution. In this case was the fitness of results assessed in more qualitative manner with a literature. Before use of this coupled model to solve a real world problem, I would recommend to make a similar assessment with the real data.
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