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Variance structure of the Bitcoin currency
Pátek, Martin ; Krištoufek, Ladislav (advisor) ; Skuhrovec, Jiří (referee)
The purpose of this thesis is to explain how Bitcoin works, analyze the Bitcoin total variation and to separate the jump component of realized variance from the continuous part. In order to do so, we use estimates of quadratic variation and integrated variance. We detect jumps using a test which is based on the difference between realized variance and bipower variation. The results for BTC/USD exchange rate are then compared with the results for EUR/USD exchange rate, price of gold and for the S&P 500 index. In case of all datasets, we use data with five-minute frequency. It seems that no other work analyzing the Bitcoin total variation using the same methods to separate the jump component from the continuous part of a price process has been written so far. We found that jumps in the Bitcoin total variation are stronger than for other analyzed instruments. The results also suggest that the duration between jumps for Bitcoin considerably prolonged during the monitored period which may indicate that the behavior of price of bitcoin has stabilized over time. We also found out that the variance of price of bitcoin is higher during the monitored period in comparison with other analyzed instruments. Powered by TCPDF (www.tcpdf.org)
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Time-scale analysis of sovereign bonds market co-movement in the EU
Šmolík, Filip ; Vácha, Lukáš (advisor) ; Krištoufek, Ladislav (referee)
The thesis analyses co-movement of 10Y sovereign bond yields of 11 EU mem- bers (Greece, Spain, Portugal, Italy, France, Germany, Netherlands, Great Britain, Belgium, Sweden and Denmark) divided into the three groups (the Core of the Eurozone, the Periphery of the Eurozone, the states outside the Eurozone). In the center of attention are changes of co-movement in the crisis period, especially near the two significant dates - the fall of Lehman Brothers (15.9.2008) and the day, when increase of Greek public deficit was announced (20.10.2009). Main contribution of the thesis is usage of alternative methodol- ogy - wavelet transformation. It allows to research how co-movement changes across scales (frequencies) and through time. Wavelet coherence is used as well as wavelet bivariate and multiple correlation. The thesis brings three main findings: (1) co-movement significantly decreased in the crisis period, but the results differ in the groups, (2) co-movement significantly differs across scales, but its heterogeneity decreased in the crisis period, (3) near to the examined dates sharp and significant decrease of wavelet correlation was observable across lower scales in some states. JEL Classification C32, C49, C58, H63 Keywords Co-movement, Wavelet Transformation, Sovereign Debt Crisis, Sovereign Bond Yields,...
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Fractality of Stock Markets: A Comparative Study
Krištoufek, Ladislav ; Baruník, Jozef (advisor) ; Vošvrda, Miloslav (referee)
The main focus of the thesis is the introduction of new method for interpretation of fractality aspects of financial time series together with its application. We begin with description of various techniques of estimation of Hurst exponent - rescaled range, modified rescaled range and detrended fluctuation analysis. Further on, we present original theoretical results based on simulations of three mentioned procedures which have not been presented in literature yet. The results are then used in the new method of time-dependent Hurst exponent with confidence intervals developed in this thesis. Moreover, we show important advantage of using the mentioned techniques together to clearly distinguish between independent, trending, short-term dependent and long-term dependent properties of the time series. We eventually apply the proposed procedure on 13 different world stock indices and come to interesting results. To the author's best knowledge, the thesis presents the broadest application of timedependent Hurst exponent on stock indices yet.
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Debt contracts and stochastic default barrier
Dózsa, Martin ; Janda, Karel (advisor) ; Krištoufek, Ladislav (referee)
This thesis focuses on the theory of asset pricing models and their usage in the design of credit contracts. We describe the evolution of structural models starting from the basic Mertonian framework through the introduction of a default barrier, and ending with stochastic interest rate environment. Further, with the use of game theory analysis, the parameters of an optimal capital structure and safety covenants are examined. To the author's best knowledge, the first EBIT-based structural model is built up that considers stochastic default barrier. This set-up is able to catch the different optimal capital structures in various business cycle periods, as well as bankruptcy decisions dependent on the state of the economy. The effects of an exogenous change in the risk-free interest rate on the asset value, probability of default, and optimal debt ratio are also explained.
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Efficiency of public spending
Lebovič, Michal ; Zápal, Jan (advisor) ; Krištoufek, Ladislav (referee)
This thesis aims to offer a comprehensive introduction into the topic of efficiency measurement in the public sector. Firstly, usual definitions and concepts of efficiency are introduced. Attention is then turned to the description of various factors and problems specific for public sector that are crucial to efficiency measurement. It is shown that these factors preclude the use of general (private sector) efficiency measurement methods or demand their modification. The most common methods of analysis are then introduced and their relative advantages and disadvantages in the environment of public sector are explained. Finally the thesis outlines the possible uses and benefits of efficiency measurement, including the use in the economic policy-making, but also points out the limits inherent to this analysis in the current stage of development.
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Financial earthquakes: Are volatility correlations related to Omori's law?
Bureš, Vlastimil ; Krištoufek, Ladislav (advisor) ; Žigraiová, Diana (referee)
The purpose of this thesis is to analyze the market dynamics in periods following a large financial shock. In order to do so, we compute the cumulative number of times the volatility is greater than a given threshold. Such a method is analogous to Omori's law from geophysics. We draw statistical evidence from three different events. The first one is concerned with the death of Steve Jobs and how it affected the evolution of Apple's share price. The second one focuses on the Flash Crash of 2010 when the Dow Jones Industrial Average experienced the largest drop of 900 points. And the last one is when IBM announced its 2013Q1 earnings which were significantly below expectations. By employing two different approaches to volatility calculation, we are able to compare the obtained results and thus draw a more definite conclusion. Our findings suggest that the decay rate of after-shocks for the considered earthquakes is well described by a power-law which is analogous to Omori's law. Powered by TCPDF (www.tcpdf.org)
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Efficient market hypothesis in the modern era
Vlček, Šimon ; Krištoufek, Ladislav (advisor) ; Korbel, Václav (referee)
Efficient Market Hypothesis (EMH) has been the central assumption of financial modelling in the previous decades. At its core, it is a statement about the efficient incorporation of available information in the prices of assets, rendering each price a 'true' representation of the asset's intrinsic value. The notion of informationally efficient financial markets has been, since its formulation, entrenched in the very core of our understanding of how asset pricing works, yet, with ever so increasing frequency, when subjected to empirical scrutiny, it fails to prove its explanatory and predictive prowess. New academic strands emerged have emerged as a result, attempting to explain those empirical short-comings, with rather mixed results. The new models and theories often either explain a singular anomaly, rather than pro- viding a generalized and consistent theoretical framework, or are exclusive with the general state of financial markets, which tends to be efficient and rational. This thesis shall explore the relationship of information and financial mar- kets, taking into account developments that have occurred since the inception of the EMH. Subsequently it will present a new theoretical model for asset pric- ing and ipso facto the efficiency of financial markets, based on meta-analysis of information, along...
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Causal relationship between Uncertainty and Crude Oil Prices: A Quantile Regression approach
Ruiz Vargas, Andrés Mauricio ; Baruník, Jozef (advisor) ; Krištoufek, Ladislav (referee)
This work considers the causal relationship between the news-based uncertainty measures and WTI crude oil price within the quantile causality framework by using daily data for a period from January 4, 2000, to November 14, 2016. We find that the Granger non-causality test in quantiles between crude oil returns and the news-based uncertainty measures uncover the causal relationship over different levels of conditional quantiles of the crude oil returns. In particular, there exists a strong causal relationship in the tails of the crude oil returns distribution. Powered by TCPDF (www.tcpdf.org)
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Dynamic Portfolio Optimization During Financial Crisis Using Daily Data and High-frequency Data
Čech, František ; Baruník, Jozef (advisor) ; Krištoufek, Ladislav (referee)
This thesis focuses on variance-covariance matrix modeling and forecasting. Majority of existing research evaluates covariance forecasts by statistical criteria. Our main contribution is economic comparison of parametric and non- parametric approaches of covariance matrix modeling. Parametric approach relies on RiskMetrics and Dynamic Conditional Correlation GARCH models that are applied on daily data. In the second approach, estimates of variance- covariance matrix are directly obtained from the high-frequency data by non- parametric techniques Realized Covariation and Multivariate Realized Kernels. These estimates are further modeled by Heterogeneous and Wishart Autoregression. Moreover, our contribution arises from the use of dataset that covers period of financial crisis. Portfolio of assets that is dynamically optimized consists of two highly liquid assets - Light Crude NYMEX and Gold COMEX, and of European asset represented by DAX index. Forecast evaluation results indicate better economic performance of models estimated on daily data. However, we found out that data synchronization procedure is the main driver of the results.
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Structure of the Invisible Hand: Hierarchy and Others
Vondra, Aleš ; Krištoufek, Ladislav (advisor) ; Kukačka, Jiří (referee)
This thesis explores theoretical underpinnings of one particular branch of current thought on financial market crashes. It is focused on stock markets, but the theory is applicable to forex and commodity markets as well. Through discovery of log-periodic precursors found in stock market prices in advance of almost all major crashes, we are led to search for possible abstract mechanisms leading to this phenomenon. Most prominent of these mechanisms is discrete scale invariance, which in turn is hallmark of hierarchical structure of underlying network. JEL Classification C16, C53, C58, C65, G01 G17, Keywords financial crashes, discrete scale invariance, log- periodicity, hierarchical structures Author's e-mail alesak23@gmail.com Supervisor's e-mail kristoufek@ies-prague.org Lenght of the thesis: 67 000 characters
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