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Wavelet analysis and enhancement of MR tomography and ultrasound images
Matoušek, Luděk ; Bartušek, Karel (referee) ; Smékal, Zdeněk (advisor)
Tomographic MR (Magnetic Resonance) and sonographic biosignal processing are important non-invasive diagnostic methods used in a medicine. A noise added into processed data by an amplifier of tomograph receiving part and by circuits of sonograph is resulting in a body organ diagnosis degradation. Image data are stored in a standardized DICOM medical file format. Methods using wavelet analysis for noise suppression in image data have been designed and their comparation with classical methods has been made in this work. The MATLAB was utilized for data processing and data rewriting back to the DICOM format.
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Gamified Stock Markets, Sentiment and Volatility: Evidence from the GameStop frenzy
Tran Nguyen, Thai Nhat Phi ; Krištoufek, Ladislav (advisor) ; Kočenda, Evžen (referee)
In this thesis, we study the impact of individual retail investors on the financial markets. We follow the GameStop retail trading frenzy from the beginning of 2021 and the retail investors aggregated on Reddit's r/wallstreetbets. The tools employed include natural language processing, wavelet analysis and vector error correction models. The results propose that the retail investor sentiment is highly susceptible to high volatility, extreme returns and frequent news coverage. Social media is shown to exacerbate these behavioural tendencies. We find evidence that retail investor sentiment is able to predict short-term returns for stocks specifically targeted by retail investors. The findings are, however, dependent on the investment horizon. Over long horizons, we find evidence for the reversal of the relationship. Lastly, while the effect of news and social media is similar in the long run, we show that Reddit sentiment, as opposed to news sentiment, is a significant predictor of retail targeted stocks in the near term. JEL Classification C55 C58, G12, G14, G41 Keywords Sentiment, Social media, GameStop, Reddit, Natural language processing, Wavelet analysis Title Gamified Stock Markets, Sentiment and Volatility: Evid- ence from the GameStop frenzy 1
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Natural Gas Comovement with Other Commodity Markets - A Wavelet Analysis
Otradovec, Michal ; Gutiérrez Chvalkovská, Jana (advisor) ; Kraicová, Lucie (referee)
This thesis studies the impact of shale gas on commodity and stock markets in the U.S. by employing wavelet approach and conducting a time-frequency analysis of dynamic correlations between natural gas and important representatives of commodity markets: crude oil, coal, corn, wheat, and several indices. It covers the period from 2006 to 2015 and is performed on daily data. Our thesis enlarges existing literature on comovement between natural gas with other energy commodities and stocks using wavelet coherence - a methodology which allows analyzing comovement among assets not only from a time series perspective but also over different frequencies. Financialization of natural gas and its involvement in investment portfolios under changing conditions on the U.S. gas market provide space for examination of gas proper correlation estimates in respect to other financial assets. Our results reveal natural gas comovement behaviour with examined commodities during the Financial Crisis. They show gradual decoupling between gas and crude oil prices in time. To the best of our knowledge we are the first to address natural gas using wavelet coherence in connection to agricultural commodities corn and wheat. These commodities together with natural gas are primary sources for bioethanol production being used in...
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Wind-tunnel Modelling of Turbulent Flow Inside the Street Canyon
Kellnerová, Radka ; Jaňour, Zbyněk (advisor) ; Brechler, Josef (referee) ; Jonáš, Pavel (referee)
Turbulent flow inside a street canyon was investigated in an open circuit wind tunnel and in a blow-down wind channel. Two geometries were used for comparison purposes: buildings with pitched roofs and with flat roofs. Both generate the flow of a different category, so the induced ventilation regimes are fundamentally different. Quadrant, Fourier and Wavelet analysis, Proper Orthogonal Decomposition (POD) and vortex detection methods are used to identify coherent structures in the flow and establish their impact on the ventilation of pollution. Two types of the organised motions are detected: the compact areas of sweep and ejection with the scale comparable to the size of building and the small vortices generated in the shear layer behind the building roof. POD identifies the most dominant modes with high coherency in the flow and evaluates the relative contributions of each mode to the overall kinetic energy of turbulence. Rigorous analysis of the correctness of the physical interpretation for such a decomposition is carried out. Wavelet analysis is applied to the time-series of the POD expansion coefficients in order to reveal control mechanism of the dynamics of the modes. Vorticity, calculated from the original velocity data, is decomposed by POD as well. Finally, the correlation between the vorticity...
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Volatility and Skewness Spillover Effects: Multiresolution Analysis
Frýd, Lukáš ; Vácha, Lukáš (advisor) ; Baruník, Jozef (referee)
The thesis investigates volatility and skewness spillover effects among seven world stock indices and WTI oil under the assumption of the presence of heterogeneous investors. The data sample covers the period from January 1990 to July 2016. The questions addressed in the thesis are twofold: firstly, the dependency of the spillover effect for both the moments-volatility and skewness-on different investments horizons is tested. Further, it is mea- sured whether the inclusion of skewness into has an impact on the volatility spillovers. The decomposition to the different investment horizons is per- formed by the wavelet transformation. Conditional volatility and skewness were estimated by GAS model, which is capable to dynamize static parame- ters from Skewed t distribution. Empirical results suggest significant spillover effects from both volatil- ity and skewness. Another important result is that skewness has a non- significant impact on the volatility spillover effects. Further, it has been found that spillover effects for both the moments are time-scale dependent: the higher investment horizons are associated with higher spillover effects. Additionally, our results support the evidence of the significant impact of the financial crisis in 2008 on the structure of markets. From 2008, there are stronger volatility...
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Natural Gas Comovement with Other Commodity Markets - A Wavelet Analysis
Otradovec, Michal ; Gutiérrez Chvalkovská, Jana (advisor) ; Kraicová, Lucie (referee)
This thesis studies the impact of shale gas on commodity and stock markets in the U.S. by employing wavelet approach and conducting a time-frequency analysis of dynamic correlations between natural gas and important representatives of commodity markets: crude oil, coal, corn, wheat, and several indices. It covers the period from 2006 to 2015 and is performed on daily data. Our thesis enlarges existing literature on comovement between natural gas with other energy commodities and stocks using wavelet coherence - a methodology which allows analyzing comovement among assets not only from a time series perspective but also over different frequencies. Financialization of natural gas and its involvement in investment portfolios under changing conditions on the U.S. gas market provide space for examination of gas proper correlation estimates in respect to other financial assets. Our results reveal natural gas comovement behaviour with examined commodities during the Financial Crisis. They show gradual decoupling between gas and crude oil prices in time. To the best of our knowledge we are the first to address natural gas using wavelet coherence in connection to agricultural commodities corn and wheat. These commodities together with natural gas are primary sources for bioethanol production being used in...
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Measuring systemic risk in time-frequency domain
Muzikářová, Ivana ; Baruník, Jozef (advisor) ; Bauer, Michal (referee)
This thesis provides an analysis of systemic risk in the US banking sector. We use conditional value at risk (∆CoVaR), marginal expected shortfall (MES) and cross-quantilogram (CQ) to statistically measure tail-dependence in return series of individual institutions and the system as a whole. Wavelet multireso- lution analysis is used to study systemic risk in the time-frequency domain. De- composition of returns on different scales allows us to isolate cycles of 2-8 days, 8-32 days and 32-64 days and analyze co-movement patterns which would oth- erwise stay hidden. Empirical results demonstrate that filtering out short-term noise from the return series improves the forecast power of ∆CoVaR. Eventu- ally, we investigate the connection between statistical measures of systemic risk and fundamental characteristics of institutions (size, leverage, market to book ratio) and conclude that size is the most robust determinant of systemic risk.
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Time-frequency analysis of technology IPOs
Kuš, Martin ; Vácha, Lukáš (advisor) ; Seman, Vojtěch (referee)
In our work, we focus on the dynamics of the volatility and co-movement during the first year of public trading. We use the wavelet analysis to investigate the return volatility of the technology stocks an their co-movement with the market in the time-frequency space. We employ the data sampled on multiple frequencies, ranging from 1 second high-frequency to daily data. We present three main findings. First, we identify gradual decline of the return volatility on all but the shortest investment horizons. Second, we do not find a convincing evidence that the technology stocks synchronize with the rest of the market as they get mature. Third, the different nature of the synchronization with the NASDAQ and S&P 500 indices is also not confirmed. JEL Classification C22, C32, C58, G19 Keywords IPO, technology stocks, wavelet analysis Author's e-mail martin.kus@outlook.com Supervisor's e-mail vachal@utia.cas.cz
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Wind-tunnel Modelling of Turbulent Flow Inside the Street Canyon
Kellnerová, Radka ; Jaňour, Zbyněk (advisor) ; Brechler, Josef (referee) ; Jonáš, Pavel (referee)
Turbulent flow inside a street canyon was investigated in an open circuit wind tunnel and in a blow-down wind channel. Two geometries were used for comparison purposes: buildings with pitched roofs and with flat roofs. Both generate the flow of a different category, so the induced ventilation regimes are fundamentally different. Quadrant, Fourier and Wavelet analysis, Proper Orthogonal Decomposition (POD) and vortex detection methods are used to identify coherent structures in the flow and establish their impact on the ventilation of pollution. Two types of the organised motions are detected: the compact areas of sweep and ejection with the scale comparable to the size of building and the small vortices generated in the shear layer behind the building roof. POD identifies the most dominant modes with high coherency in the flow and evaluates the relative contributions of each mode to the overall kinetic energy of turbulence. Rigorous analysis of the correctness of the physical interpretation for such a decomposition is carried out. Wavelet analysis is applied to the time-series of the POD expansion coefficients in order to reveal control mechanism of the dynamics of the modes. Vorticity, calculated from the original velocity data, is decomposed by POD as well. Finally, the correlation between the vorticity...
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