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Essays on Information in Financial Markets
Štefko, Peter ; Hanousek, Jan (advisor) ; Baumohl, Eduard (referee) ; Vachadze, George (referee)
Peter Štefko - Dissertation Essays on Information in Financial Markets Abstract The first chapter of this dissertation carries out a multidimensional investigation of weak-form market efficiency for the stock market indices of the United States, Germany, and five CEE countries during the years following the 2008 Global Financial Crisis. We analyze developments over time in the predictable power and potential profitability of three classes of well known technical trading rules applied to market index prices, sampled at three different frequencies: daily, hourly, and 15-minute. We approach our analysis by testing for true abnormal performance of trading rules using White's Reality Check procedure as well as by evaluating a simple out of sample investment strategy based on ex-post best performing trading rules. We find that, while the developed stock markets of the US and Germany exhibit results strongly consistent with market efficiency at all three sampling frequencies, some evidence of predictable power of technical analysis (consistent with the concept of adaptive efficiency introduced by Lo (2005)) is present for the stock markets of Austria, the Czech Republic, Hungary, Poland, and Slovenia at the two intraday sampling frequencies. However, the results are challenged when we take transaction costs into...
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Studium potlačení jetů ve srážkách těžkých iontů na LHC pomocí detektoru ATLAS
Štefko, Pavol ; Spousta, Martin (advisor) ; Pleskot, Vojtěch (referee)
Jet production in PbPb collisions at a per-nucleon center-of-mass energy of 2.76 TeV has been studied using the ATLAS detector at the LHC. Interactions between the high- pT partons and the hot, dense medium, produced in these ultrarelativistic collisions, are expected to cause the loss of the jet energy (jet quenching). This thesis presents results of the jet analysis done on the data taken during the 2011 heavy-ion run at the LHC. Jets are reconstructed using the anti-kt jet clustering algorithm and studied as a function of collision centrality and dijet energy imbalance. With increasing centrality, dijets are observed to be increasingly asymmetric, consistent with the theory of jet quenching. The study of charged particle tracks indicates the increase of the low-pT tracks in the strongly quenched jets. 1
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Study of hard processes in heavy ion collisions at ATLAS
Štefko, Pavol ; Spousta, Martin (advisor) ; Scheirich, Daniel (referee)
Jet production in PbPb collisions at a per-nucleon center-of-mass energy of 2.76 TeV has been studied using the ATLAS detector at the LHC. Interactions between the high- pT partons and the hot, dense medium, produced in these ultrarelativistic collisions, are expected to cause the loss of the jet energy (jet quenching). This thesis presents results of the jet analysis done on the data taken during the 2011 heavy-ion run at the LHC as well as PYTHIA Monte Carlo reference. Jets are reconstructed using the anti-kt jet clustering algorithm and studied as a function of collision centrality and dijet energy imbalance. With increasing centrality, dijets are observed to be increasingly asymmetric, consistent with the theory of jet quenching. The study of charged particle tracks indicates the increase of the low-pT tracks in the strongly quenched jets. 1
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Studium potlačení jetů ve srážkách těžkých iontů na LHC pomocí detektoru ATLAS
Štefko, Pavol ; Spousta, Martin (advisor) ; Pleskot, Vojtěch (referee)
Jet production in PbPb collisions at a per-nucleon center-of-mass energy of 2.76 TeV has been studied using the ATLAS detector at the LHC. Interactions between the high- pT partons and the hot, dense medium, produced in these ultrarelativistic collisions, are expected to cause the loss of the jet energy (jet quenching). This thesis presents results of the jet analysis done on the data taken during the 2011 heavy-ion run at the LHC. Jets are reconstructed using the anti-kt jet clustering algorithm and studied as a function of collision centrality and dijet energy imbalance. With increasing centrality, dijets are observed to be increasingly asymmetric, consistent with the theory of jet quenching. The study of charged particle tracks indicates the increase of the low-pT tracks in the strongly quenched jets. 1
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