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Effective Network Anomaly Detection Using DNS Data
Fomiczew, Jiří ; Žádník, Martin (referee) ; Kováčik, Michal (advisor)
This thesis describes the design and implementation of system for effective detection of network anomaly using DNS data. Effective detection is accomplished by combination and cooperation of detectors and detection techniques. Flow data in NetFlow and IPFIX formats are used as input for detection. Also packets in pcap format can be used. Main focus is put on detection of DNS tunneling. Thesis also describes Domain Name System (DNS) and anomalies associated with DNS.
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Anomalies of financial markets
Máčayová, Miroslava ; Stádník, Bohumil (advisor) ; Vacek, Vladislav (referee)
Theory of efficient markets generally describes financial market as a place with perfect rationality and awareness. According to this theory, the price of each instrument fully reflects all available information, therefore denies the existence of poorly rated stocks. Against this doctrine stands the theory of behavioral finance, which describes, that individuals on financial markets do not always act in rational way, and their behavior is affected with emotions. This psychological phenomenon has the consequence that on the financial market are visible certain anomalies. There are a lot of explanations of these abnormalities. One of the assumptions is that the prices of instruments tend to rise more slowly than fall. This different is in my work explained by the theory of black swan - the existence of unexpected, but the price-setting information. Another psychological theory causing the abnormalities is called the round number effect, which describes that investors consciously or subconsciously tend to perceive the rounded amounts differently than others. Empirical results of my thesis largely demonstrated that the two psychological effects mentioned to some extend contribute to the existence of deviations from normal, and confirm the occurrence of irrationality on financial market.
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The Influence of Weather and Calendar Cycles on Trading Volumes at World Stock Exchanges
Kovaľová, Andrea ; Vozárová, Pavla (advisor) ; Slaný, Martin (referee)
Studies investigating stock-exchange anomalies -- mainly with respect to returns and volatility -- have been emerging in recent years and decades. This work explores whether weather conditions, days of the week, length of daylight, seasonal affective disorder, holidays, and lunar phase affect trading volume. Segmented into two parts, the work primarily analyses time-series cross-sectional data covering 12 major stock exchanges and spanning from January 2010 to March 2015. The other part of the work focuses on a detailed analysis of the New York Stock Exchange using only time-series data obtained for the time period from January 2001 to December 2009. Additionally, this period is further split to two time spans as the NYSE fundamentally changed its trading system during the period in question. We find strong evidence of the Monday effect -- manifested in low trading volume on Mondays -- recognizable in the time-series cross-sectional part of the analysis, as well as in the time-series part. Other aforementioned anomalies either do not affect the trading volume significantly or their effect is statistically significant only in one of the two parts of the analysis.
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Financial market anomalies
ŠAFÁŘOVÁ, Michaela
This bachelor thesis is focused on two types of anomalies which occur on financial markets. The theoretical part mainly focuses on the efficient markets theory, and on the topic of behavioural finance which also include individual theories associated with them. Furthermore, theoretical part analyses different kinds of anomalies, focusing primarily on the Monday and the January effect. Analytical part tests both the January and the Monday effects in selected companies, trading with its shares on the Prague Stock Exchange. The influence of the January and the Monday effect wasn´t proved in this bachelor thesis.
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Financial market anomalies
Uherek, Jiří ; Havlíček, David (advisor) ; Janda, Karel (referee)
The bachelor thesis is focused on the most known financial markets anomalies. In the first part the efficient market hypothesis is described as traditional theory of finance. The most known financial markets anomalies are listed and analyzed in the second part of this thesis. In this part is also offered an explanation of these anomalies from the point of view of behavioral finance. The final section analyses particular anomaly -- the weekend effect. The analysis confirmed the occurrence of weekend effect on different markets. The conclusion based on research of several trading strategies is that there is not possible to gain excess return from knowledge of weekend effect. The analysis also confirmed the change of return patterns in last decade.
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Stock Portfolio Construction and Fundamentals
Bastin, Jan ; Musílek, Petr (advisor) ; Witzany, Jiří (referee)
The final thesis deals with the construction of a stock portfolio. The traditional portfolio theory models of Markowitz and Sharpe and anomalies based on fundamentals are shown and applied in Germany. In the first part, portfolio theory and fundamentals are explained. The mathematical model is demonstrated in the second part. Empirical results are shown in the last part.
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Analysis of calendar effects on the Prague Stock Exchange
Janek, Libor ; Havlíček, David (advisor)
This bachelor thesis is focus on the efficient market theory, the behavioral finance and on the testing of various calendar effects in the capital markets. In the first chapter the efficient market theory is described, followed by the explanation of the behavioral finance in chapter two. In the analytical part, effect of day in week (the Monday effect or week effect), effect day in month and effect month in year (the January effect) are examined on the PX index using data from the Prague Stock Exchange.
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Financial market anomalies
Gavrylyuk, Zinayida ; Havlíček, David (advisor)
This bachelor thesis is focused on the analysis of some well-known financial market anomalies. The first part deals with the efficient market theory which is confronted with the basic ideas of behavioral finance. It is followed by the more-detailed description and analysis of three selected anomalies: the December effect, the momentum effect, and the underpricing of IPO. Analytical part tests the occurrence of anomalies on selected equity markets and deals with the possibilities to exploit them. There was not found any statistically significant evidence of influence of the December effect and the momentum effect on stock returns. But there were found significant differences in underpricing of IPO across sectors of the U. S. industry. The thesis provides an overview of the characteristics and occurrence of selected market abnormalities and opens the door to a more detailed analysis.
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