National Repository of Grey Literature 21 records found  1 - 10nextend  jump to record: Search took 0.01 seconds. 
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.
How do the efficient portfolios at various investment horizons differ?
Růžek, Pavel ; Krištoufek, Ladislav (advisor) ; Křehlík, Tomáš (referee)
The Efficient Market Theory that assumes the homogeneity of investors' ex- pectations has several shortcomings and has failed to predict development of fi- nancial markets many times, recently. Previous research, therefore, has focused more intensively on incorporation of some aspects from Behavioural Finance to their models. This thesis implements another form of heterogeneity coming from different investment horizon preferences, and investigates the impacts on the selection of the efficient portfolios compared to the original Markowitz's framework. We employed the mean-variance model adjusted for the purpose of the work, and, additionally, suggested extensions that assure robustness of the model and the highest possible objectivity of the empirical results inde- pendently on the choice of data sets. The findings from our research strongly confirmed proposed hypotheses that the efficient portfolios do differ at the var- ious investment horizons and that the efficient portfolios for long investment horizons are less risky. JEL Classification G10, G11 Keywords portfolio selection, mean-variance, optimization, investment horizons, Dow Jones Index Author's e-mail pavel.ruzek.ies@gmail.com Supervisor's e-mail kristoufek@ies-prague.org
Application of technical analysis on algorithmic trading
Šíla, Jan ; Krištoufek, Ladislav (advisor) ; Křehlík, Tomáš (referee)
The thesis takes on the question of profitability of algorithmic trading based on trend and momentum indicators and examines whether or not it is possible to acquire systematic profits. It reviews the development of relevant literature over the last 100 years to determine whether the inner workings of the market can be quantified and plausibly modelled. On three major U.S. stock indices are then tested several different strategies to determine whether in the long- term, passive investment can be outperformed by active trading. Merit of the work lies in backtesting several strategies and interpreting the results according to unique characteristics of the indices.
Spatial approaches to hedonic modelling of housing market: Prague case
Lipán, Marek ; Křehlík, Tomáš (advisor) ; Troch, Tomáš (referee)
Having at hands instruments capable of effective housing appraisal can be essential not only for the real property evaluator in a bank, policy maker or real estate agent, but also for single individual seeking for an objective way to assess the tenure choice decisions. The housing market data are of a spatial nature. We address the spatial issues by implementing spatial modelling techniques into a hedonic price model. The main focus of the thesis is put on building a kriging model, which shows to be a powerful tool in explaining and predicting the prices of housing in the Prague at market. The kriging model comes out the best from the comparison of performance with the traditional spaceless hedonic pricing model as well as the common econometric spatial models. The usefulness of our kriging model is demonstrated in a possible application as the extension of the net present value model of the optimal tenure choice for a prospective first home owner. In a simplified economic scenario we found that the optimality of the tenure choice depends on the inflation, expected holding period as well as the precise location of the flat in the Prague.
Applications of modern spectral tools in financial econometrics
Křehlík, Tomáš ; Baruník, Jozef (advisor) ; Hanousek, Jan (referee) ; Croux, Christopher (referee) ; Wang, Yao (referee)
Spectral tools in econometrics have lately experienced a renewed surge in interest. This dissertation contributes to this literature by providing conceptually different spectral-based methods and their applications to problems of modern economics. In the first part, we take a spectral decomposition of realized volatility and construct a multivariate GARCH style model that we fit by standard quasi-maximum likelihood and generalized autoregressive score procedures. We build our model on a belief that market agents obtain information in various time horizons and therefore form their expectations in various informational horizons. This behavior creates an overall volatility process that is a mixture of spectrum specific processes. We then apply the model to the currency markets, namely GBP, CHF, and EUR. With the help of the model confidence set test we show that the multi-scale model and the generalized autoregressive score based models produce forecasts that are in most cases superior to the competing models. Moreover, we find that most of the information for future volatility comes from the high frequency part of the spectra representing the very short investment horizons. In the second part, we provide a spectral decomposition of a system multivariate connectedness measure based on Diebold and Yilmaz...
Stock market prediction using Twitter
Hynek, Jan ; Krištoufek, Ladislav (advisor) ; Křehlík, Tomáš (referee)
In this work I examine the short-time relationship of Twitter on the markets. I had been downloading English tweets in the period between 9th March and 4th April and also tweets containing words and hashtags "apple", "microsoft", "boe- ing", "cocacola". Afterwards, I investigate the predictive power of frequency of individal words on the marke using multinomial and binomial penalised logistic regression. I conclude that this method cannot be used for prediction, but can provide interesting insight ex-post. 1
Connectedness of high-frequency data
Petras, Petr ; Křehlík, Tomáš (advisor) ; Maršál, Aleš (referee)
This work combines discrete and continuous methods while modeling connect- edness of financial tick data. As discrete method we are using vector autore- gression. For continuous domain Hawkes process is used, which is special case of point process. We found out that financial assets are connected in non- symmetrical fashion. By using two methodologies we were able to model bet- ter how are the series connected. We confirmed existence of price leader in our three stock portfolio and modeled connectedness of jumps between stocks. As conclusion we state that both methods yields important results about price nature on the market and should be used together or at least with awareness of second approach. JEL Classification C32, G11, G14 Keywords Vector Autoregression, Hawkes process, High- frequency analysis, Connectedness Author's e-mail petr.petras@email.cz Supervisor's e-mail krehlik@utia.cas.cz
Spatial approaches to hedonic modelling of housing market: Prague case
Lipán, Marek ; Křehlík, Tomáš (advisor) ; Troch, Tomáš (referee)
Having at hands instruments capable of effective housing appraisal can be essential not only for the real property evaluator in a bank, policy maker or real estate agent, but also for single individual seeking for an objective way to assess the tenure choice decisions. The housing market data are of a spatial nature. We address the spatial issues by implementing spatial modelling techniques into a hedonic price model. The main focus of the thesis is put on building a kriging model, which shows to be a powerful tool in explaining and predicting the prices of housing in the Prague at market. The kriging model comes out the best from the comparison of performance with the traditional spaceless hedonic pricing model as well as the common econometric spatial models. The usefulness of our kriging model is demonstrated in a possible application as the extension of the net present value model of the optimal tenure choice for a prospective first home owner. In a simplified economic scenario we found that the optimality of the tenure choice depends on the inflation, expected holding period as well as the precise location of the flat in the Prague.
European Stock Markets Integration
Vildová, Tereza ; Princ, Michael (advisor) ; Křehlík, Tomáš (referee)
This thesis examines the integration of European stock markets, focusing on the affect of the EU and Eurozone. Moreover, the thesis analyses whether increasing integration is a local trend possibly caused by the EU and Eurozone, or whether either the Japanese or American stock market gets more integrated with the European ones as well. We study the integration using weekly data of eighteen European stock markets and stock markets of Japan and the US over the horizon of twenty years. The method used is an extension by Klöessner and Wagner (2012) of a method originally introduced by Diebold and Yilmaz (2009). We find a positive effect of the EU on the integration of the stock markets. Also, the integration is rather local as the American and Japanese stock markets are proved to not have a higher increase in integration with the European stock markets that they have with each other. Finally, we find the Eurozone does not have an immediate positive effect on the integration of the stock markets. Keywords Stock markets integration, Spillovers, EU, Eurozone, Diebold and Yilmaz Author's e-mail vildova.t@email.cz Supervisor's e-mail mp.princ@seznam.cz
Is it worth investing in Czech mutual funds?
Sedlačík, Adam ; Křehlík, Tomáš (advisor) ; Pištora, Vojtěch (referee)
In the Czech Republic many people do not invest. Therefore, we try to find out whether Czech mutual funds offer a good opportunity for investment on the Czech market in comparison with American funds. We use Sharpe ratio, Treynor index, Jensen's alpha and Modern portfolio theory to find this out. We conclude that Czech bond mutual funds are safe place to put your money in even though they provide small but almost certain returns. Czech stock funds perform worse than their American counterparts in terms of Sharpe ratio, Treynor index and Jesen's alpha. Applying modern portfolio theory proved to be beneficial in case of mutual funds in the Czech Republic. Powered by TCPDF (www.tcpdf.org)

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