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Fundamental and technical analysis of crude oil price
Vilisova, Anastasiya ; Fičura, Milan (advisor) ; Galuška, Jiří (referee)
The aim of this bachelor thesis is to evaluate the possibility of foundation and forecasting the future crude oil price. The first part of the thesis deals with the description of oil market, determination of the main factors influencing the price of oil, and the definition of current trends. The second part presents a theoretical explanation of prediction methods. The third part operates with long-term oil price development using fundamental analysis and the effect of main factors estimation. The fourth part focuses on application of technical analysis emphasising the most usable tools of trading strategies, which are then implemented and evaluated.
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Technical analysis in the foreign exchange market
Králíková, Lenka ; Veselá, Jitka (advisor) ; Fičura, Milan (referee)
The main goal of this bachelor thesis is to test my own trading strategy based on technical indicators, to evaluate achived results and to make investment recommendations. The first part focuses on the foreign exchange market charakteristics, describes the foreign exchange market participants and foreshadows the main differences between three main analysis. Second part is dedicated to each single technical indicator, their basic characters and possibilities of use. Important part of this thesis is its practical part, in which I apply described theory not only from the technical side of view but also the psychological one, which is at least as important. This bachalor thesis contains united complex of essential informations for the novice investor.
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Volatilní úsměv
Stolbov, Anatoly ; Witzany, Jiří (advisor) ; Fičura, Milan (referee)
The thesis describes and applies two parametric option pricing models which partially ease the well-known discrepancy between real world and Black-Scholes model. Stochastic volatility and jumps encompassed by Heston and SVJ models explain implied volatility smile and its heterogeneous term-structure. Both models are calibrated to market data observed for EURUSD currency options on January 23, 2015. While SVJ model provided a better fit for the market, especially for mid-term expiry smile curvature, its estimated risk-neutral parameters were unrealistic comparing with their counterparts under statistical measure. Estimations suggest zero long term price volatility and 2 jumps during the year with average magnitude of 6 \%. Both models failed to match curvature of short time to expiry smile and provided a good fit of term-structure and long-expiry smile. Analysing delta ratios adjusted for non-constant volatility as a possible alternatives the study considered minimum variance delta estimated with Heston model, delta ratio recommended by Nassim Taleb and two deltas adjusted for local volatility assuming sticky moneyness and sticky tree dynamics of implied volatility. On data set of EURUSD options from 1.1.2014 to 30.5.2015, our research did not find any alternative which would be more reliable than common Black-Scholes delta.
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Construction of a Market-Neutral ETF Portfolio: A Relative-Value Based Approach
Hlinšťák, David ; Málek, Jiří (advisor) ; Fičura, Milan (referee)
The study describes how cointegration-based techniques can be employed in order to construct profitable trading strategies that exploit mispricing events between similar securities. Particularly, the Johansen Maximum Likelihood Estimation and the Kalman filter approaches are applied to the universe of 200 most liquid ETF stocks traded on NYSE and NASDAQ. The results show that the strategies are quite sensitive to transaction costs, but are still able to maintain profitability even after accounting for a conservative level of transaction costs. While the Kalman filter produces better results on daily data, the 15-minute timeframe is dominated by portfolios constructed by the Johansen cointegration test. Both strategies achieve significantly higher risk-adjusted returns on the intraday timeframe. The study also reveals a performance decline of both strategies in the period of 2013-2015 and outlines possible interpretation of such event.
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Market making jako obchodní strategie
Čamaj, Matej ; Stádník, Bohumil (advisor) ; Fičura, Milan (referee)
The purpose of this thesis is to analyze market making trading strategy and explore possibilities of using such strategy for intraday trading on the markets with the limit order book. In theoretical part we prove profitability of specified market making strategy under certain assumptions and moreover analyze effect of change of parameters on the performance of the strategy using one dimensional stochastic processes. Next the assumption of constant fair price is relaxed which leads to deterioration of profitability of these strategies. Because one dimensional stochastic processes do not capture price creation in the real world, we propose stochastic model of intraday trading in the next chapter. Advantage of this approach is that we can observe state of the limit order book during whole trading session and therefore better simulate conditions for test of the strategies. Although proposed model exhibit many phenomenons observed in empirical data like volatility clustering, in some situations it produces unrealistically high spread caused by the construction of the model, because arrivals of market and limit orders are modeled as independent processes. Another disadvantages are need of relatively extensive data for model calibration and high sensitivity of model to change of parameters. Lastly we test three different market making strategies under different choice of model parameters and show that expected profitability is positive in all cases.
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Data Mining and use of decision trees by creation of Scorecards
Straková, Kristýna ; Witzany, Jiří (advisor) ; Fičura, Milan (referee)
The thesis presents a comparison of several selected modeling methods used by financial institutions for (not exclusively) decision-making processes. First theoretical part describes well known modeling methods such as logistic regression, decision trees, neural networks, alternating decision trees and relatively new method called "Random forest". The practical part of thesis outlines some processes within financial institutions, in which selected modeling methods are used. On real data of two financial institutions logistic regression, decision trees and decision forest are compared which each other. Method of neural network is not included due to its complex interpretability. In conclusion, based on resulting models, thesis is trying to answers, whether logistic regression (method most widely used by financial institutions) remains most suitable.
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Analysis of influence of fundamental news on currency pair movements
Kušnírová, Jana ; Fičura, Milan (advisor) ; Mazáček, David (referee)
The Diploma Thesis deals with influence of announcing economic indicators on currency exchange rate AUD/USD. The Thesis focuses on fundamental news announced in Australia, USA and China, as these play a significant role in forming of analyzed currency exchange rate. The first part includes general description of fundaments, explanation of investor's psychology, description of world's most important banks, because the financial world waits for their announcements and reacts upon them. Next subchapter of thesis focuses on central bank of Australia and its monetary policy. The research itself is situated in the second part of the thesis, containing testing the influence of fundamental news on logarithmic return of exchange rate AUD/USD, using linear regression analysis. The objective of this part is to find out what is the influence of news on exchange rate return of AUD/USD. The last part examines whether investing strategies based on announcing fundamental news can bring profit to the investor or the efficient market theory will be confirmed.
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Financial analysis of J&T BANK
Krtička, Pavel ; Fičura, Milan (advisor) ; Galuška, Jiří (referee)
The aim of this thesis is to assess the financial health of the company J&T BANK for the five-year economic period from 2010 to 2014 based on various methods of financial analysis. The entire thesis is structurally divided into two main parts. The first part, purely of a theoretical nature, deals with the very financial analysis, or its main aspects, which can comprehensively evaluate the bank's performance using financial and analytical methods. In the second part, there is application of the selected methods, which were introduced in the theoretical part, on the bank. First, absolute and ratio indicators are analysed-also in the context of the bank's competitive position-which are then supplemented by a detailed breakdown of return on equity, results of selected prediction models of financial distress, and SWOT analysis. In the conclusion, the thesis sums up all partial results obtained, which are then used for the prediction and evaluation of the overall financial situation of the company.
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Swing option valuation on electricity and natural gas markets
Uher, Martin ; Málek, Jiří (advisor) ; Fičura, Milan (referee)
Swing options had been part of natural gas market before its embedded option feature was appreciated. The flexibility of delivery is valuable because of characteristic features of energy commodities as non-storability, high frequency of events and seasonality. Swing options enable this flexibility. Holder of the option is allowed to react to market situation in flexible way and change the amount of delivery up or down in some known intervals. Total deviation from negotiated amount can't exceed some boundaries in case of "take-or-pay" condition. It is not unique general valuation form of such flexible contracts as swing options. General definition of Longstaff Schwartz Least Square approximation method (LSM) is provided at first. Then it is shown other standard valuation concept as finite difference method. It is also mentioned tree method and more complex dynamic stochastic programming method. Analysis of energy commodities time series of central Europe is done and it is shown example of LSM approach use in valuing swing option with underlying asset of base load electricity in Czech Republic.
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