|
|
Analýza indexů akciových trhů a režimů na komoditních trzích
Kuchina, Elena ; Cahlík, Tomáš (advisor) ; Máša, Petr (referee) ; Lukáčik, Martin (referee)
The thesis focuses on the identification of the typical scenarios of the mutual relations among the stock markets considering different regimes on the commodity markets. For the identified scenarios the investment recommendations have been suggested. Considering different regimes the commodity markets go through and the mutual linkage among the stock markets during different situations on the commodity markets, six scenarios of the stock markets' mutual relations have been analyzed. It was shown that during most unstable period, when highly volatile regime prevails simultaneously on the energy, precious metals and non-energy commodity markets, the whole economy becomes to be more tied: the stock market indices demonstrate stronger interdependence, and as a consequence the benefits of diversification begin to fail. During the simultaneous presence of low volatility on all three analyzed commodity markets the agreement between occurrences of highly volatile state of most stock markets, besides the indices within the European region (DAX, CAC 40, IBEX 35), is rather weak. Similarly the correlation within regions and with other regions is weaker comparing with other situations on the commodity markets, so the standard investment strategy can be kept. It was also shown that the interdependence among the stock markets during the period of high volatility on the energy market differs depending on the source underlying the oil price shocks causing higher volatility. The regimes prevailing on the commodity and stock markets during different time periods have been detected by applying Hidden Markov Model methodology. To examine the similarity between the stock market indices in terms of highly volatile regimes' occurrences, Jaccard's similarity coefficient is employed. The correlation among the stock markets was computed by Spearman correlation coefficient. The final part of research is devoted to the model-based approach used to analyze the dependence of the movement direction of SSEC index on other stock market indices between two trading days during different situations on the commodity markets. The dependency analysis was performed by applying Stochastic Gradient Boosting methodology.
|
|
|
Hedge Effectiveness in Copper Futures Market: Case study for "Erdenet" Mining Co.Ltd in Mongolia
Khurelbaatar, Baigali ; Krištoufek, Ladislav (advisor) ; Serdarevič, Goran (referee)
The objective of the thesis is to analyze the copper futures market in London Metal Exchange (LME) and to recommend appropriate hedging strategy in copper futures market to the Erdenet Mining Corporation in Mongolia. It uses daily official settlement copper prices of LME in the spot and 3 month futures markets from 2000-2014. Initially, we use cointegration test and ECM to investigate the copper market efficiency. Then OLS, ECM, GARCH, EGARCH and ECM-GARCH models are employed to compute different optimum hedge ratios. Finally, the hedge effectiveness is measured based on minimization of the value of AIC and SBIC. Our result indicate that copper futures market is inefficient. Hedge effectiveness comparison concludes that ECM model gives the best hedging performance. However, ECM-GARCH is accounted to be the best model for hedging strategy since it captures the time-varying conditional heteroscedasticity to ECM model. Powered by TCPDF (www.tcpdf.org)
|
|
|
Přímé zahraniční investice do těžebního průmyslu v Africe
Král, Jakub ; Štěrbová, Ludmila (advisor) ; Halík, Jaroslav (referee)
The goal of this diploma thesis is to analyse the trend of foreign direct investment into mining industry in Africa. In this thesis, I focus solemnly on the extraction of minerals, excluding the oil and gas industry. The analysis looks at the FDI from a historical perspective in the new millennium up to the current situation, which is characteristic for low commodity prices, which subsequently depress the activities of mining corporations. Furthermore, the important part of the thesis is also the projection of future development of FDI, the analysis of the correlation between commodity prices and FDI development and the research of African investment environment. A brief case study regarding the real-life foreign direct investment into copper mining projects in Democratic Republic of the Congo is carried out in the end of this thesis. In this case study I present details about this project, however, also the professional opinion of co-head of mining division at Trafigura, Emmanuel Henry, on the investment environment in Africa in regard to the mining industry and his feelings about the future development of the investment.
|
|
| |
|
|
Application of Statistical Methods for Trading in the Currency and Commodity Market
Kepák, Jakub ; Chalásová, Kristýna (referee) ; Doubravský, Karel (advisor)
The topic of Bachelor's thesis "Application of statistical methods for trading in the currency and commodity market" is a practical utilization of statistical methods, also known under the term "technical analysis", for trading in financial or commodity market. Thesis is divided into three main chapters. The first chapter contains theoretical ground for understanding the practical part. The second chapter contains the execution of simulation of strategies on historical data. In the final chapter of the thesis, a suggestion for improvement of the results is placed. The thesis aims to evaluate the results of strategies and proposes suggestions for their improvement.
|
|
|
Automated Trading System for Commodity Markets
Kliment, Vojtěch ; Novotná, Veronika (referee) ; Budík, Jan (advisor)
This master’s thesis primary deals with a design and a development of own automated trading system which is specialized for commodity markets, especially corn, soybean, wheat and slightly for gold. You can find theoretical basics of technical analysis here, then technical indicators, risk management and trading systems themselves. System is completely designed and programmed in MetaTrader trading platform with using programming language MQL and genetic algorithms. The output of this thesis is portfolio containing six trading strategies which achieved totally 42,4 % increase in three months at the end of year 2014.
|
|
|
The Use of Artificial Intelligence on Commodity Markets
Volf, Petr ; Geroč, Ján (referee) ; Dostál, Petr (advisor)
Tato diplomová práce se zabývá problematikou obchodování na komoditních trzích. Řešení problematiky spočívá ve využití umělé inteligence, konkrétně neuronových sítí, k technické analýze vývoje ceny vybrané komodity a snaze o co nejpřesnější predikci budoucího vývoje ceny pro podporu investičního rozhodování. Model neuronové sítě je vytvořen a použit pro predikci v programu MATLAB.
|
|
|
The Proposal of Marketing Management of Company
Dojmazov, Petr ; Ing. Lucie Zumrová, Ph.D (referee) ; Šimberová, Iveta (advisor)
The goal of this diploma thesis is the analysis of current situation of communication agency Aetna, s.r.o., and following suggestion of a suitable strategy, which should provide successful development of the company and its implementation in the market of communication agencies. The emphasis was put especially on the analysis of the current situation and on the basis of its evaluation, new vision and new direction for the agency to follow in order to be successful and competitive even in the future.
|
|
|
Investing in commodities
Václavík, Michael ; Drozen, František (advisor) ; Šípek, Ladislav (referee)
The purpose of this bachelor thesis is analysis of selected commodity -- cocoa beans, evaluation of the possibilities of investing in the commodity with focus on the most famous financial derivatives -- futures. The first chapter, so called theoretical part is focused on matters of commodity market -- stock market and its participants, analysis of the market and investment opportunities on the commodities market, especially with futures. The second chapter focuses on the cocoa beans market analysis, the most important participants and with the help of fundamental analysis the most important factors influencing supply and demand for the cocoa beans, their impact on the price development. The conclusion summarizes the basic knowledge and evaluates investment opportunities primarily for the smaller investor.
|
|
|
Trade with selected commodities with focus on fair trade
Pokorná, Iveta ; Jiránková, Martina (advisor) ; Pavlík, Petr (referee)
Using the example of three commodities and three countries, the purpose of the thesis "Trade with selected commodities with focus on fair trade" is to analyse a chosen commodity market in different states. Focusing on developing countries, the work aims to confirm the validity of theoretical models of the international trade. Moreover, extra attention is paid to the alternative concept of fair trade. The thesis is divided into four chapters with the first giving the theoretical basis for the consequential analysis. The second chapter deals with the fair trade movement, the third part examines the concrete industry in the particular country, and the last chapter studies the consequences of fair trade on producers in the Sub-Saharan region.
|
guest ::
