National Repository of Grey Literature 12 records found  1 - 10next  jump to record: Search took 0.00 seconds. 
Multi-agent Network Models of Financial Stability
Klinger, Tomáš ; Teplý, Petr (advisor) ; Tripe, David (referee) ; Stavárek, Daniel (referee) ; Jakubík, Petr (referee)
The thesis focuses on banking regulation and on the nexus between financial sovereign crises. After illustrating the main mechanisms on the recent financial crisis, we construct several multi-agent network models of a financial system for testing its stability under different parameters. In the first part, we focus on the rationale for banking regulation and we describe its development including the recently introduced Basel III measures. The main conclusion of this part is that regulation is to a large extent influenced by the banks and it does not always secure financial system stability. In the second part, we build an agent-based model which enables us to simulate the impacts of various types of negative shocks given various settings of the banking system and the regulatory environment, including the capital and liquidity measures. Our simulations show firstly that sufficient capital buffers are crucial for systemic stability, secondly that the discretionary measures have little effect once a crisis breaks out and thirdly that liquidity measures are a relevant regulatory tool. In the third part, the model is extended so that it allows for testing effects of state support on systemic stability is tested with various parameter settings in Monte Carlo simulations and for testing of feedback loops in which...
The asymmetric dominance effect: Three-attribute phantom alternative at play
Žofák, Petr ; Matoušek, Jindřich (advisor) ; Klinger, Tomáš (referee)
In this thesis I investigate asymmetric dominance effect in hypothetical consumer choice. The main goal of this study is to determine if asymmetrically dominated unavailable alternative (phantom decoy) can cause preference shifts toward the target option which dominates it in scenario employing choice items defined on three numerical attributes. To date, previous research of consumer choice only studied asymmetric dominance effect induced by phantom decoy in scenarios utilizing two-attribute choice items. Secondary aim of this study is to determine if the same but available three-attribute decoy causes similar asymmetric dominance effect as the phantom decoy. I also examine differences in choice shares of choice items between two scenarios, both employing two choice items defined on two and three attributes, respectively, where the third distinguishing attribute serves to evoke perception of numerically expressed customer feedback on the choice items. For these purposes, I designed an experiment in a form of online questionnaire on free survey websites, which was filled by participants via the internet. I found significant asymmetric dominance effect caused by a presence of the phantom decoy. In case of the available decoy, no preference shifts were observed. Statistical analysis revealed no significant...
Housing Stock Analysis in the Regions of the Czech Republic
Bendžíková, Iva ; Hlaváček, Michal (advisor) ; Klinger, Tomáš (referee)
Housing capacity forms an important part of life of every society, and therefore it is important and interesting to examine this phenomenon more closely. The most comprehensive amount of data on this phenomenon provides Population and Housing Census conducted regularly by the Czech Statistical Office. The main objective of this work, using these and many other available sources, that are not only from the Czech Statistical Office, is a detailed analysis of the housing and residential capacity of the Czech Republic, that enable a global view on the issue. First, I focused on financing of the housing needs as a key factor for further development of the housing capacity. Then I looked at individual parameters, which characterized apartments and houses and circumstances that affect their appearance. Subsequently I examined the factors that influence the number of dwellings completed using real quarterly data from the Czech environment from the period 2000-2015. Regression analysis demonstrated the expected effect of variables such as average gross monthly wages and gross domestic product. But surprisingly, net migration and natural increase of population became a significant variable, which confirmed the influence of socioeconomic factors in the development and expansion of the housing capacity.
Agent-Based Model of the Software Market
Bureš, Michal ; Kukačka, Jiří (advisor) ; Klinger, Tomáš (referee)
In this thesis we apply agent-based modelling methodology on the software market. We derive and implement an original model of the market as the research in this field seems negligible. The work focuses mainly on the derivation of the model and explanation of the methodology. Specific features of the software market are discussed and presented as assumptions of the model. Based on these principles we construct a model of the software market with complex customer behaviour. In the end we test our model in an application we developed solely for this purpose. Responses of the model to dynamic modifications of individual parameters are tested using the application. A simple case scenario in which we apply the model on the dynamic market of game engines is presented. Powered by TCPDF (
Pricing in the Airline Industry
Kašpar, Petr ; Vacek, Pavel (advisor) ; Klinger, Tomáš (referee)
The main goal of this thesis is to introduce the low-cost airline model and the concept of predatory pricing together with their basic elements. For good understanding of the topic, the thesis introduces basic requirements that have to be satisfied in order for the pricing to be classified as predatory and means of testing for their presence. The theoretical background is further analysed in the review of six antitrust policies dealing with predatory pricing. Last, two predatory cases from the airline industry are reviewed in order to show the approach that is given allegations of predatory pricing in practice. JEL Classificiation K21, L41, L93 Keywords antitrust, predatory pricing, low-cost airlines Author's email Supervisor's email
Determinants of Executive Compensation in Czech Companies
Keše, Tibor ; Geršl, Adam (advisor) ; Klinger, Tomáš (referee)
In this thesis we assess executive compensation in the Czech Republic. Our study adds to scarce literature written on this topic regarding the Czech environment. We analyze a dataset of 100 large Czech companies, we try to find the factors influencing income of Czech managers and we compare our results to existing empirical research. We found that factors such as company's size, performance or concentration and nature of ownership are determinants of the level of executive compensation. Furthermore, we find that annual growth in managerial income is to some extent sensitive to annual performance of the company. We conclude that the environment of executive compensation in the Czech Republic fits predictions of both underlying theories, optimal contracting and rent extraction view, and the compensation culture seems comparable to other countries. JEL Classification J31, M52, L25 Keywords Executive compensation, optimal contracting, rent extraction, performance sensitivity
The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market
Staněk, Filip ; Kukačka, Jiří (advisor) ; Klinger, Tomáš (referee)
In this thesis, we assess the impact of the Tobin tax on key statistics of exchange rate returns with use of a heterogeneous agent based model. The answer to the question of how transaction costs affect exchange rate dynamics is not only interesting from a theoretical point of view but also has practical implications as several regulators are contemplating imposition of such a tax nowadays. Motivated by the recent research showing the great importance of the mar- ket micro structure, we choose to explore the impact of the tax in a market cleared by the Walrasian auctioneer. This settings, as we argue, could resem- ble the two layered structure of the real foreign exchanges more closely than a price impact function which is often adopted in studies regarding the Tobin tax. To assess the impact of the tax, we extend the model of De Grauwe & Grimaldi (2004) by the inclusion of transaction costs. The original model con- sists of boundedly rational agents who use a blend of fundamental and technical analysis to predict the future exchange rate. An ongoing competition between the forecasting rules creates chaotic price movements not dissimilar to the ones observed in the real foreign exchanges. We use computational methods to assess the effect of the Tobin tax within the model and find that the Tobin tax is...
Prospect Theory and Inertia in a Heterogeneous Agent Model
Polách, Jan ; Kukačka, Jiří (advisor) ; Klinger, Tomáš (referee)
Using the Heterogeneous Agent Model framework, we develop and incorporate an extension based on Prospect Theory into a popular agent-based asset pric- ing model. The extension covers the phenomenon of loss aversion manifested mainly in risk aversion and asymmetric treatment of gains and losses. Ad- ditionally, we explore a special case of the model's intrinsic dynamics termed Asynchronous Updating that affects agents' selection of trading strategies and mimics the investor inertia effect. Using Monte Carlo methods, we investigate behavior and statistical properties of the extended versions of the model and assess relevance of the extensions with respect to empirical data and stylized facts of financial time series. We find that the Prospect Theory extension is fea- sible, that it keeps the essential underlying mechanics of the model intact, and that it changes the model's dynamics considerably. Moreover, the extension shifts the model closer to the behavior of real-world stock markets. Contrar- ily, the Asynchronous Updating feature does not produce statistically different empirical distributions of most of the main variables. However, it dramati- cally increases chances of fundamentalists to survive in the market even when changes to more profitable strategies are increasingly facile. Bibliographic...
Agent-based modeling of dual currency economy
Vlk, Bořivoj ; Skuhrovec, Jiří (advisor) ; Klinger, Tomáš (referee)
1 Abstract Thesis describes close relationship between Dynamic programming and rein- forcement learning algorithms on the example of a model of a dual currency economy. Dynamic programming is methodology used for deriving equilibria of Search-Theoretic equilibrium monetary models, which provide evidence for emergence of fiat currency or emergence of internationally circulating curren- cies without any human institutions. Particular previously published Search- Theoretic framework of dual currency economy is used as a background for de- velopment of Agent-based Computational model. Both models are compared based on their ability to reach specified equilibria and their assumptions, with the conclusion, that models are closely related and with the same assumptions would have the same results. Agent-based model also provides possibility of relaxing assumptions on perfect information distribution and static environ- ment. In this setting, the model will reach different equilibria, that correspond better to the real human behavior, observed in previously published laboratory experiments. JEL Classification D83, E40 Keywords Agent-based Modeling, Currency, Currency switch, Dollarization Author's e-mail Supervisor's e-mail
Systemic risk and sovereign crises: modelling interconnections in the financial system
Klinger, Tomáš ; Teplý, Petr (advisor) ; Jakubík, Petr (referee)
This thesis focuses on the link between financial system and sovereign debt crises through sovereign support to banks on one hand and banks' exposures to weak sovereigns on the other. After illustrating the main relationships on the recent financial crisis, we construct an agent-based network model of an artificial financial system allowing us to analyse the effects of state support on systemic stability and the feedback loops of risk transfer back into the financial system. First, the model is tested with various parameter settings in Monte Carlo simulations and second, it is calibrated to the real world data using a unique dataset put together from various sources. Our analyses yield the following key results: Firstly, in the short term, all the support measures improve the systemic stability. Secondly, in the longer run, the effects of state support depend on several parameters but still there are settings in which it significantly mitigates the systemic crisis. Finally, there are differences among the effects of the different types of support measures.

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