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A Critical Analysis of a Trading Strategy on the Capital Market
Novák, Radomír ; MSc, Petr Novotný, (referee) ; Škapa, Stanislav (advisor)
Diplomová práce se zaměřuje na vymezení teoretické a praktické podstaty intradenního obchodování. To jest použití nástrojů technické analýzy, představení obchodních systémů, výběr brokera a aplikace poznatků a softwarové podpory při uskutečňování obchodů na termínových trzích s důrazem na podkladový nástroj – indexy. Jako o velice důležité součásti intradenního obchodování je také pojednáno o psychologii tradingu, která navzdory své zdánlivé nepodstatnosti je jednou z nejdůležitějších aspektů ziskového obchodování na reálných trzích současně s kvalitním money managementem a řízením rizika. Na základě výzkumu je vytvořen a v této práci prezentován intradenní obchodní systém určen pro ziskové obchodování na burzovních trzích – indexech, a výsledky a zkušenosti s jeho reálným nasazením na světových trzích.
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Small investor view into comodity derivatives
Prokopec, Michal ; Tichá, Jana (referee) ; Sojka, Zdeněk (advisor)
This thesis deals with investing into commodity assets through financial and commodity derivates. In the first section there are introduced single commodities and their historical price trends. There are further analysed relevant financial products, their positives and negatives. Practical section carries out an analyse of current state of the commodity market and makes the prediction of the future development. Finally there are mentioned different sorts of risk investors recommendations.
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Analysis of Exchange Rates (Commodity Exporting and Importing Countries)
Slabý, Pavel ; Mandel, Martin (advisor) ; Metrah, Samy (referee)
This bachelor thesis´s objective is to analyze a possible relationship between exchange rates of selected countries and prices of commodities that these countries export. The thesis aims to describe this relationship and to quantify it. The selected countries are Canada, Japan, Norway, Australia, Zambia and Burundi. This thesis first describes theoretically the relationships between the exchange rates and fundamental quantities. The method of empirical analysis is described in the second part. Correlation and regression analysis is carried out and some problems that I have encountered during the econometric analysis are described as well. I study the aforementioned relationship on monthly data of nominal effective exchange rates from 2000 to 2015 in case of Canada, Japan, Australia and Norway. In case of Zambia and Burundi I study the relationship on yearly data of real effective exchange rates from 1980 to 2014. During my analysis I learned that these exchange rates really show some dependence on the commodity prices. The relationship is strongest in case of Norwegian Krone and oil prices. On the other hand the relationship is the weakest in case of Japanese Yen and oil prices.
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Trade in Malagasy and subsaharan tortoises protected by CITES
KUNCLOVÁ, Kateřina
The excessive collection and destruction of their natural biotope are the dominant cause of decrease in free nature occurance, therefore the majority of tortoises were classified in the CITES convention. This theses evalued the trade with madagascan and sub-Saharan tortoises from the Testudinidae family between years 1978 and 2012. The CITES Trade databasis was the main sources of datas. The most imported species were Stigmochelys pardalis, Testudo graeca and Kinixys homeana. These species were the most imported for comercial purposes and as specimens bred in captivity. The most exported species were Stigmochelys pardalis, Testudo graeca and Kinixys homeana again for the comercial purposes and as specimens bred in captivity.
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Seasonal futures trading
Krupa, Michal ; Pfeifer, Lukáš (advisor) ; Štípek, Vladimír (referee)
This bachelor thesis deals with a topic of seasonal futures trading. It is seasonality which brings higher percentage success of trades and unlike the technical analysis it is based on fundamentals of the markets. Still it is not possible just to rely on the seasonal patterns, how it is shown in the practical part and it is necessary to filter these trades with another predetermined rules. This thesis brings complex view on commodity trading and discuss opportunity for income diversification in these unstable times. Finally, there is a mention how to use the concept of seasonality in another area of the national economy.
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How Financial Markets Assess the State of Major Economies
Němeček, Josef ; Jílek, Josef (advisor) ; Czesaný, Slavoj (referee)
In accordance with its main goal, the main thesis shows which published data and indicators contemporary financial markets use to assess the state of major economies and forecast their short-term future development. Using Bloomberg as the primary source, the thesis provides a detailed analysis of the indicators and surveys sought by finance professionals when assessing the performance of the economy in the United States, the euro-zone (with emphasis on Germany) and, in the context of the impact on the global economy and markets, in China and Japan. A preliminary hypothesis about the similarity or closeness between the theoretical view and the practical approach of financial markets has been refuted. Instead, after close scrutiny and detailed analysis, we have established that financial markets put great emphasis on forward-looking indicators and monetary policy. This emphasis was confirmed by a survey of local investors. Using expert opinion and analysis, the thesis charts an overview of select economic indicators and their over- (payrolls, consumer sentiment) or undervaluation (regional Fed activity indexes, CFNAI).
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Odhad zajišťovacího poměru (Hedge Ratio) v řízení zásob
Máková, Barbora ; Černý, Michal (advisor) ; Cahlík, Tomáš (referee)
Companies dependent on commodities for their production have to deal with volatile commodity prices and should employ measures for risk reduction as unfavourable spot price development may cause significant losses. A useful tool for diminishing the risk is hedging on futures market; however, this approach faces a crucial question of optimal hedge ratio determination (ratio between spot and futures units). Our thesis examines nine different ways of optimal hedge ratio estimation (naive, Sharpe, mean extended Gini coefficient, generalized semivariance, value at risk, and minimum variance through OLS, error correction, GARCH, and bivariate GARCH models) and evaluates their efficiency using the data on eight different commodities. The results differ across the respective commodities and cannot be generalized. Two conclusions resulting from the analysis refer to performance of naive and OLS hedge ratios and constant vs time varying hedge ratios. We find that complex hedge ratios, such as bivariate GARCH or VaR hedge ratios, do not outperform naive and OLS hedge ratios and that the results of constant hedge ratios are mostly as good as results of time-varying hedge ratios.
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International trade in species of the family Crocodylidae
VEJBOROVÁ, Tereza
This thesis is focused on the evaluation of an international trade with species of Crocodylidae family. The main data source was CITES trade database, in which there are registered all the trades with required species. Based on data analysis it was identified the course of commerce with all the commodities between 1993 and 2012. The most frequently marketed species are these four crocodiles: Crocodylus niloticus, porosus, siamensis a novaeguineae. For these species were observed total net import, gross export, the number of trades per year, share of countries participated on import and export, the purpose of the trade and the source of traded commodities. At the rest of the species the less marketed ones summary tables of import and gross export were created. From the analysis was found out that the most of monitored species come from the farm breeding, which are specialised inleather and meat production. The third significant commodity is leather products. From charts can be noticed the growth of leather and skin production for Nile crocodile and of live specimens export for Siamese crocodile. For the next two in detail analysed species there was no production growth noted.
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Determinace cen akcií komoditních společností cenami produkovaných komodit
Havíř, Tomáš
The thesis deals with the relationship between the stock prices of commodity companies and commodity prices produced by these companies. Each commo-dity was testing with three related companies. In this thesis was used various methods for testing. Namely Engle-Granger test of cointegration, the correlation analysis, Granger causality test and VAR-GARCH model for testing volatility spilloves between markets. Empirical results show that effect of commodity to shares is different for each group of commodities. The most evident effect appears at the impact of industrial and precious metals on mining companies and the effect of oil prices on the shares of the oil companies. In contrast, the prices of gas and agricultural commodities did not influence the prices of those commodities shares significantly.
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Investování do drahých a průmyslových kovů
Nouza, Tomáš
The thesis deals with current opportunities for investing in precious and industrial metals. The literature overview introduces the reader with the current knowledge about commodity investments and provides results of various authors dealing with factors important for commodity price develop and with relation of commodity prices and inflation. Trough metal markets analysis identifies key factors with impact on sup-ply, demand and price of specific metal. Based on historical prices explores the relationship of metal prices, relationship of metal prices and stock market and business cycle. Quantify risk, which the investor has to accept in the case of investing in metals by using Value at Risk methods. The risk is compared with the level of risk on stock market. The thesis summarises all these results and formulate investment recommendation.
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