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Granger's causality in financial time series
Marčiny, Jakub ; Voříšek, Jan (advisor) ; Lachout, Petr (referee)
The bachelor thesis discusses causality in multiple time series. Granger causality, along with its more general counterparts instantaneous causality and multistep causality, are utilized to study the mutual influence of the individual components of a multiple time series. These concepts are investigated within the framework of vector autoregressive models VAR. After the introduction of basic definitions and facts, the construction of VAR model is described including methods for order selection and verification. Subsequently, causal relations within the model are examined. Finally, empirical analysis of real financial market data is performed using tests procedures programmed with computational software Mathematica.
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Comparison of logistic regression and decision trees
Raadová, Zuzana ; Voříšek, Jan (advisor) ; Komárek, Arnošt (referee)
In this thesis we describe a classification of the binary data. For discussing this problem we use two well-known methods - logistic regression and decision trees. These methods deal with the problem in different way, so our aim is to compare a successfulness of their predictions. At first a model of logistic regression is introduced and we show how to estimate its parameters using a method of maximum likelihood. Then we describe decision trees as one of the most popular classification tools. There are discussed older classic algorithms CART and C4.5 and also two new algorithms GUEST and CRUISE. The predictions of both of the methods are shown on a real data example.
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Stochastická teorie katastrof
Vošvrda, Miloslav ; Voříšek, Jan
The so called Cusp deterministic catastrophe model extends the classical linear regression adding nonlinearity into a model. A property of a stochatic catastrophe model connected with stochastic differential equation could be described by density, which is known in closed-form only in stationary case. The approximation of the transition density is done here by finite difference metod.
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Selected Sampling Methods in SAS Software
Voříšek, Jan ; Vrabec, Michal (advisor) ; Berka, Petr (referee)
In the present work we study methodology of different kinds of sample surveys and their design in SAS software. Creating of SAS Enterprise Guide Add-In was the fundamental creative part of this work. This Add-In enables to compute important statistics of sample surveys, without need of being familiar with SAS code. Add-In was created in MSFT Visual Studio 2003 in C # language using a tamplate for Add-Ins provided by SAS. This work contains a general description of the creation of an Add-In as well as the description of the created Add-In for handling the sample surveys and its usage.
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