|
|
Comovement of Stock Markets and Commodities: A Wavelet Analysis
Vavřina, Marek ; Vácha, Lukáš (advisor) ; Princ, Michael (referee)
The thesis applies the wavelet analysis to four developed stock market indices (USA, UK, Germany and Japan), four developing stock market indices (Brazil, China, India, Russia) and four commodities (Gold, Crude oil, Heating oil and Natural gas) and it aims to reveal how they comoved in the period of the Global financial crisis, which began in the USA as the Subprime mortgage crisis. Also the potential presence of contagion caused by the bankruptcy of Lehman Brothers bank is investigated. In addition the Granger causality test is applied to give a different perspective and to extend the analysis. Empirical results revealed that the wavelet correlation of stock markets and commodities differ significantly when talking about the short-term and the long-term horizon. This information can be utilized in the portfolio analysis. The wavelet analysis revealed contagion coming from the USA to the German and Brazil stock market, Crude oil and Heating oil market after the bankruptcy of Lehman Brothers. The Granger causality test indicates that there is a very strong causal relationship between stock markets and commodities and it differs at different scales.
|
|
|
Crude oil co-movement with other representatives of energy and non-energy commodity markets
Mustivaya, Julia ; Baruník, Jozef (advisor) ; Jánský, Ivo (referee)
Financialization of crude oil and its frequent inclusion into investment portfo- lios raise the demand for proper correlation estimates of this commodity and other financial assets. This thesis particularly examines the co-movement of crude oil price with prices of four other representatives of commodity market (gasoline, natural gas, gold and Industrials Index). It contributes to the exist- ing literature by the results obtained from application of wavelet coherence, which allows uncovering dynamics of interconnection between commodity prices in time as well as over different frequencies. Analysis brings many in- teresting findings and practical implications. Among others, it specifies the investment horizons that should be considered to maximize diversification properties of studied commodities. 1
|
|
|
Condition monitoring of thrust ball bearings using continuous AE
Chlada, Milan ; Nohal, L. ; Převorovský, Zdeněk
Fast and reliable analysis of continuous AE recorded during endurance tests on flat washer parts reliably simulating critical rolling contact fatigue of the full-scale bearings is presented in the paper. Two channels of continuous AE signal were partially recorded within whole specimen lifetime tests and compared with other experimental parameters as vibration rate or temperature. As an alternative to classical spectrogram analysis, we proposed to use histograms of time intervals between threshold amplitudes crossings in various frequency bands represented by the wavelet decomposition. Results obtained on long-time records are discussed, illustrating advantages of proposed AE signal processing, which can be done in real time to observe the processes before the onset of the final damage on the surface of the specimen more precisely than vibrodiagnostics.
|
|
|
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.
|
|
|
Multilevel Analysis of Continuous Acoustic Emission Records
Chlada, Milan ; Převorovský, Zdeněk
The latest acoustic emission (AE) systems provide continuous recording of high-frequency signals registered during longtime monitoring of various processes in materials. Recorded data represent extremely large amount of information to analyze, however, it reflects the health of the structure. Therefore, in the last years the attention is paid to the diagnostic method of continuous AE also as a part of Structural Health Monitoring (SHM) systems. For example it can disclose the early damage phases (cracks) or certain imperfections in rotating gearboxes, the leakage of liquids from pressure vessels and many other material defects. This method requires new signal processing and analysis approaches, which are different from the burst AE. The paper deals with the analysis of continuous AE, recorded during the test of renovated gearbox at different flight modes. As an alternative to classical spectrogram, so-called multilevel countogram based on the signal wavelet decomposition is proposed and discussed.
|
|
| |
|
| |
|
|
Wavelet and POD Analysis of Turbulent Flow Within Street Canyon
Kellnerová, Radka ; Kukačka, Libor ; Uruba, Václav ; Antoš, Pavel ; Odin, J. ; Jaňour, Zbyněk
Wavelet analysis of flow inside the street canyon is applied on highrepetition PIV and high-frequency hot wire data. Experiment is performed in windchannel with floor covered by series of street canyons.The passage of sweep and ejection events is detected as being long-term signature in lower frequencies. The passage of vortex is recognizable as circular patterns in higher frequencies on Wavelet spectrum.When using velocity vectors as input data, proper orthogonal decomposition (POD) reveals the most dominant modes in terms of turbulent kinetic energy.
|
|
|
Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data
Baruník, Jozef ; Vácha, Lukáš ; Krištoufek, Ladislav
In this paper, we contribute to the literature on international stock market comovement and contagion. The novelty of our approach lies in usage of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock market returns in completely different way. Major part of economic time series analysis is done in time or frequency domain separately. Wavelet analysis can combine these two funda- mental approaches, so we can work in time-frequency domain. Using wavelet coherence, we have found very interesting dynamics of cross-correlations be- tween Central European and Western European stock markets. We analyze the high-frequency (5 minute) and low-frequency (daily) data of Czech (PX), Hungarian (BUX) and Polish (WIG) stock indices with a benchmark of German stock index (DAX) on the period of 2008-2009. Our findings provide possibility of a new approach to financial risk modeling.
|
|
|
Turbulent Boundary Layer generated Over Two Urban Roughnesses
Kellnerová, Radka ; Jaňour, Zbyněk
As a basis for PIV measurement, turbulent characteristics of a flow were investigated by LDA over two different types of urban roughness in wind-tunnel. The roughness consists from long series of street canyons with unit aspect ratio. Different shapes of roof - flat and pitched - provide a different internal boundary layer above canyons. The latter one, generated by pitched roofs, is significantly more turbulent and thus slower then above flat roofs. Momentum flux and corresponding transport exhibits the largest deviation specially at the roof level. Ventilation in the streets is therefore distinct from each other. Quadrant analysis was applied for vertical profiles and cross-sectional areas in canyons in order to detect a domination of sweep or ejection events and to find a linkage to the third moment of velocity for both cases. The overall goal of the project is to find any of coherent structure produced by the roof edge as a low momentum region or an ejection formed by hairpin.
|
guest ::
