National Repository of Grey Literature 77 records found  1 - 10nextend  jump to record: Search took 0.00 seconds. 
Using spin model to determine FTTx connectivity market potential in the Czech Republic
Munduch, Pavel ; Krištoufek, Ladislav (advisor) ; Červinka, Michal (referee)
The our thesis "Using spin model to determine FTTx connectivity market po- tential in the Czech Republic", we firstly map the current landscape of the Czech broadband technology market. Additionally, we present an overview of Ising model's interdisciplinary applications. Afterwards, we describe the dy- namics of the Ising model and in particular we study the convergence tendencies of Ising model generated series as well as the spin positioning in the Ising model lattices based on the input parameters. Consequently, we assume the spins in the model to represent the fiber tech- nology and alternative technology and thus we link the Ising model, its parame- ters and outputs to the problem of fiber connectivity potential. Apart from the standard input parameters of the Ising model, we also introduce variability in terms of the distribution of the initial lattice and we define four archetypes to represent real market situations. Ultimately, we describe the sets of parameters for which the market appears to have the most potential of fiber deployment. JEL Classification A12, C6, C15 Keywords Ising model, econophysics, fiber technology, broadband connection Title Using spin model to determine FTTx connectiv- ity market potential in the Czech Republic
What is My Car Worth? Hedonic Price Analysis of the German Used Car Market
Doležalová, Radka ; Polák, Petr (advisor) ; Červinka, Michal (referee)
Valuation of used cars, affected by various technical attributes and information asymmetry, is the key objective of all agents operating on the automobile mar- ket. This thesis, focusing on a hedonic price analysis, aims to determine basic as well as additional attributes as determinants of a used car market price. In addition, the analysis sheds light upon novel attributes (service records, cigarette smoke pollution of a vehicle interior, selling channel factor in the e- commerce environment, and a German geographical division). The hedonic price research uses the unique data sample of the German used car market, extracted from the database of the e-commerce platform AutoScout24 com- prised of almost 51 thousand vehicles and 57 attributes. The model selection is specified by the incorporation of the Bayesian model averaging approach. The research proves the complexity of a valuation of a used vehicle in a term of a substantial number of relevant variables. The most interesting innovative conclusions are non-significant effect of selling channels and small local price differences among two German regions. Remarkable are also the significant effect of the status of previous owners, bodywork colour, and smoke pollution. The estimated vehicle lifespan of 10 years shows that cars have shorter than...
Determinants of overall domestic performance of a motion picture
Derco, Martin ; Červinka, Michal (advisor) ; Kučera, Tomáš (referee)
A multi-billion film and television industry is a non-negligible component of both national and global economies, employing hundreds of thousands workers in the domestic market alone. An average major motion picture of recent years amounts to a hundred million U.S. dollars investment. The study explores the determinants of box office revenues. Firstly, the domestic film market is described, and related literature is reviewed. Secondly, using a unique cross-sectional dataset obtained from major publicly available sources we construct several models which should provide us with explanatory information on what factors relate to a theatrical success in terms of revenues. The log-log OLS regression is employed to estimate the impact of key determinants of film's profitability. In conclusion the evaluation of hypotheses is provided alongside with several suggestions on future research and film production. Keywords film industry, film, OLS regression, box office revenues
A simulation based analysis of price elasticity of demand
Kubišta, Michal ; Stráský, Josef (advisor) ; Červinka, Michal (referee)
i Abstract In this work, we describe a novel methodology to analyse the price elasticity of demand. This method combines an artificial neural network that serves as the model of the behaviour of the customers and a subsequent simulation based on this model. We present the validation of our approach using a real-world dataset obtained from an e-commerce retailer and demonstrate its advantages, notably the ability to estimate the elasticity in distinct price points and the inclusion of the complete pricing situations (not only product's own price). JEL Classification C45, C44, C15, D12 Keywords price elasticity of demand, artificial neural net- work, agent-based model Title A simulation based analysis of price elasticity of demand Author's e-mail Supervisor's e-mail
Can Model Combination Improve Volatility Forecasting?
Tyuleubekov, Sabyrzhan ; Baruník, Jozef (advisor) ; Červinka, Michal (referee)
Nowadays, there is a wide range of forecasting methods and forecasters encounter several challenges during selection of an optimal method for volatility forecasting. In order to make use of wide selection of forecasts, this thesis tests multiple forecast combination methods. Notwithstanding, there exists a plethora of forecast combination literature, combination of traditional methods with machine learning methods is relatively rare. We implement the following combination techniques: (1) simple mean forecast combination, (2) OLS combination, (3) ARIMA on OLS combined fit, (4) NNAR on OLS combined fit and (5) KNN regression on OLS combined fit. To our best knowledge, the latter two combination techniques are not yet researched in academic literature. Additionally, this thesis should help a forecaster with three choice complication causes: (1) choice of volatility proxy, (2) choice of forecast accuracy measure and (3) choice of training sample length. We found that squared and absolute return volatility proxies are much less efficient than Parkinson and Garman-Klass volatility proxies. Likewise, we show that forecast accuracy measure (RMSE, MAE or MAPE) influences optimal forecasts ranking. Finally, we found that though forecast quality does not depend on training sample length, we see that forecast...
Pricing Options Using Monte Carlo Simulation
Dutton, Ryan ; Dědek, Oldřich (advisor) ; Červinka, Michal (referee)
Monte Carlo simulation is a valuable tool in computational finance. It is widely used to evaluate portfolio management rules, to price derivatives, to simulate hedging strategies, and to estimate Value at Risk. The purpose of this thesis is to develop the mathematical foundation and an algorithmic structure to carry out Monte Carlo simulation to price a European call option, investigate Black-Scholes model to look into the parallel between Monte Carlo simulation and Black-Scholes model, provide a solution for Black-Scholes model using Lognormal distribution of a stock price rather than solving Black-Scholes original partial differential equation, and finally compare the results of Monte Carlo simulation with Black- Scholes closed-form formula. Author's contribution can be best described as developing the mathematical foundation and the algorithm for Monte Carlo simulation, comparing the simulation results with the Black-Scholes model, and investigating how path-dependent options can be implemented using simulation when closed-form formulas may not be available. JEL Classification C02, C6, G12, G17 Keywords Monte Carlo simulation, Option pricing, Black-Scholes model Author's e-mail Supervisor's e-mail
At the right time, in the right factor. Can factors be timed?
Nosek, Jiří ; Hronec, Martin (advisor) ; Červinka, Michal (referee)
This thesis examines the controversial prospect of Factor timing. We use Thompson Reuters data that allow us to construct international risk-factors and respective predictive signals and we test the capacity of these signals to time factors using the Kelly Criterion formula to determine the optimal fraction of capital to invest. Concerning the United States market, we showed that among all signals that we used only the Value Spread seems to contain some predictive power for all the factors in the study. All other timing signals were almost uniformly disappointing and were unable to time any of the factors. We further showed that timing strategies performed much better in the intentional setting, often outperforming the passive buy-and- hold approach. JEL Classification G12, G14, G17, G19 Keywords factors, factor timing, time-series, Kelly crite- rion, empirical analysis Title At the right time, in the right factor. Can factors be timed? Author's e-mail Supervisor's e-mail 1
Trading volume and expected stock returns: a meta-analysis
Bajzík, Josef ; Havránek, Tomáš (advisor) ; Červinka, Michal (referee)
I investigate the relationship between expected stock returns and trading volume. I collect together 522 estimates from 46 studies and conduct the first meta-analysis in this field. Use of Bayesian model averaging and Frequentist model averaging help me to discover the most influential factors that affect the return-volume relationship, since I control for more than 50 differences among primary articles such as midyear and type of data, length of the primary dataset, size of market, or model employed. In the end, I find out that the relation between expected stock returns and trading volume is rather negligible. On the other hand, the contemporaneous relation between returns and volume is positive. These two findings cut the mixed results from previously written studies. Moreover, the investigated relationship is influenced by the size of country of interest and the level of its development. Besides the primary studies that employ higher data frequency provide substantially larger estimates than the studies with data from longer time periods. On the contrary, there is no difference among different estimation methodologies used. Finally, I employ classical and modern techniques such as stem-based methodology for publication bias detection, and I find evidence for it in this field. 1
Relationship of Economic Growth and Pollution in the Czech Republic
Moldan, Martin ; Červinka, Michal (advisor) ; Valíčková, Petra (referee)
The Environmental Kuznets Curve (EKC) is a hypothesized relationship between GDP per capita and pollution. It suggests that the relationship has a shape of a concave quadratic function-i.e. that firstly, with increasing GDP per capita, levels of pollution increase. And then, from some level of GDP per capita, as GDP per capita rises, levels of pollution decrease. This bachelor thesis examines whether the EKC holds for the Czech Republic or not. It uses panel data on air pollution for the period 1995-2017, in particular concentrations SO2 and NOx. This analysis is conducted using the fixed effects method. The results of this bachelor thesis suggest that for the case of SO2, there is a relationship between GDP per capita and the pollutant's concentrations. However, this relationship does not change over time significantly. Moreover, for the case of NOx, the relationship between the pollutant's concentrations and GDP per capita is not significant, hence, the EKC hypothesis can be rejected for both examined pollutants.

National Repository of Grey Literature : 77 records found   1 - 10nextend  jump to record:
See also: similar author names
1 Červinka, Marek
4 Červinka, Martin
1 Červinka, Milan
4 Červinka, Miroslav
Interested in being notified about new results for this query?
Subscribe to the RSS feed.