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Portfolio Optimization Using Metaheuristics
Haviar, Martin ; Doubravský, Karel (referee) ; Budík, Jan (advisor)
This thesis deals with design and implementation of an investment model, which applies methods of Post-modern portfolio theory. Particle swarm optimization (PSO) metaheuristic was used for portfolio optimization and the parameters were analyzed with several experiments. Johnsons SU distribution was used for estimation of future returns as it proved to be the best of analyzed distributions. The result is software application written in Python, which is tested for stability and performance of model in extreme situations.
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Algorithmization for decision support
Šišlák, Petr ; Budík, Jan (referee) ; Dostál, Petr (advisor)
The bachelor thesis is focused on the development of price indicators, which are used for effective trading on the stock exchange. Part of the work is a technical analysis of the selected currency pair at a chosen time and based on the results of create effective indicators and test them at different time intervals.
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Automatic trading system for trading with commodities
Brábník, Petr ; Stoklásek, Libor (referee) ; Budík, Jan (advisor)
This thesis deals with problems of automatic trading system for trading on commodity exchange. Automated trading system for the purpose of this thesis is based on the principle of adaptive moving average. This principle is processed initially at a theoretical level, then the thesis analyzes the problem of making automated trading system and risks of online trading. The final section describes implementation and testing of automatic trading system.
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Automatic Trading System for Currency Pairs Using Technical Analysis
Padyšák, Jan ; Stoklásek, Libor (referee) ; Budík, Jan (advisor)
The aim of this work is to create an automated trading system for trading currency pairs using technical indicators and technical analysis. The proposed trading system is tested and optimized on historical price data. To verify the robustness of the proposed system was used walk-forward analysis. Automatic trading system also uses rules for position sizing and risk management of open positions. Created system is profitabel on historical price data and also in the walk-forward analysis.
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The Investment Models in an Environment of Financial Markets
Krňávek, Jan ; Lukeš, Zdeněk (referee) ; Budík, Jan (advisor)
The thesis deals with the optimization of the selected investment portfolio. Solver suggests automated investment model that will use advanced algorithms based on artificial intelligence and principles of technical analysis. Optimization of parameters and verifying the performance of the investment model is realized on historical market data. The result of this thesis is optimized investment model with an emphasis on maximizing profits and stability. The thesis is realized in an environment Python programming language and freely available analytical libraries.
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Use of Automated Trading Systems on Commodity Markets
Herich, Martin ; Ondo, Ondrej (referee) ; Budík, Jan (advisor)
Focus of master's thesis is usability of automated trading of commodities with automated trading systems – expert advisors. Thesis describe theoretical background of commodity markets, trading principles, technical analysis of market, design and implementation of strategy as expert advisor. In conclusion, results are analyzed.
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Investment Strategy Based on Bollinger Bands
Borek, Martin ; Horinová, Jana (referee) ; Budík, Jan (advisor)
This thesis deals with the automatization and comparison of two different strategies for the forex markets, based on the indicator, one from the tools of technical analysis, called Bollinger Bands. Both strategies are first optimized and then compared. Automatization of strategies will be implemented by? using the Meta Quotes Language for MetaTrader broker and its testing will be done on historical data. The goal with this thesis is the operational objective application of the better strategy in the environment of real market.
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Management of free capital on the financial market
Malo, Dominik ; Dostál, Petr (referee) ; Budík, Jan (advisor)
This diploma thesis deals with the management of free capital of a selected company on the financial market with a focus on mutual funds and ETFs. The result is the construction and analysis of the potential appreciation of the investment strategy interpreted through historical data and a comparison of the results with alternative options for the appreciation of financial capital, especially in the form of mutual funds.
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Design and Optimization of Automatic Trading System for Forex
Dufek, Radim ; Menšík, Jakub (referee) ; Budík, Jan (advisor)
This thesis deals with the design and optimization of an automatic trading system based on trend indicators. This thesis describes entire proces of system development from its parts to the whole system. It focuses on the optimization of each part and the complete system. This thesis also describes the testing proces of the systém on historical data and its application on the latest data.
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