National Repository of Grey Literature 73 records found  beginprevious52 - 61nextend  jump to record: Search took 0.00 seconds. 
Agent-based behavioral finance
Jarolímek, Tomáš ; Švarc, Petr (advisor) ; Vácha, Lukáš (referee)
This bachelor thesis criticizes current conception of economics and introduces new approach called complexity economics. It mainly concerns with unrealistic and reality deforming assumptions, static form of economics and efficient-market hypothesis. On the other side positively evaluates findings of behavioral economics and usage of modern computer-related computational methods. For this purpose it introduces new model of artificial stock market based on prospect theory and continuous double auction.
Modeling financial markets using heterogenous agent models
Benčík, Daniel ; Vácha, Lukáš (advisor) ; Baruník, Jozef (referee)
This thesis deals with the application of heterogeneous agent models (HAM) in the area of financial markets. In the first part, we introduce the concept of HAMs, review examples of several earlier models in order to provide the reader with a general picture of applications of HAMs in finance. Subsequently, we move on to describe the original model developed by Brock, Hommes (1998) and continue by describing modifications proposed by Barunik, Vacha and Vosvrda (2009). Next, we move to the analysis of the modified model's behavior, including its ability to simulate stylized facts observed in real financial markets. In the last part of this work, we provide descriptions of our simulation/experimental setups and conclude by summarizing the results of these. We finish this thesis by suggesting possible future research topics regarding the investigated model that might shed more light on its behavior and thus hopefully enhance our understanding of how real financial markets operate.
Detection of the Cars Approaching the Crossroad
Vácha, Lukáš ; Orság, Filip (referee) ; Rozman, Jaroslav (advisor)
Traffic monitoring using computer vision is becoming the desired system in practice. It allows nondestructive installation and also is very useful in many applications. This thesis focuses on automatic detection of vehicles approaching to a crossroads. This work also includes description of selected methods for detecting moving vehicles and the way of tracking them. On the basis of these methods is designed application that is implemented and tested in different lighting and weather conditions and various direction of approaching vehicles.
GSM Based Remote Control and Monitoring
Vácha, Lukáš ; Orság, Filip (referee) ; Váňa, Jan (advisor)
This thesis deals with a draft of a system working in the GSM Based Remote Control and Monitoring. Based on the draft a device of own design, controllable by SMS messages, is then built. The device can set its outputs, monitor inputs and inform the user about possible changes. It is possible for the user to control and monitor the device with the help of an application or SMS message from a mobile phone.
Synchronization Signal Generator for Musical Applications
Vácha, Lukáš ; Přinosil, Jiří (referee) ; Schimmel, Jiří (advisor)
This bachelor thesis deals with analysis of MIDI´s protocol and especially by the implementation of synchronization methods. The aim of this thesis is suggestion and creating of a prototype of equipment, which transmits one sort of synchronization code and enables its direct extension on produced equipment. First part of solution of this thesis deals with MIDI in general, its history, hardware definition and protocol analysis, especially by analysis of methods and by types of synchronization. The main attention is devoted to MIDI Click/SPP code, which is also implemented in created prototype. The second part of this thesis deals with proposal of hardware solution of prototype, where is parsed a principle of involvement and used components in detail. The third part describes software proposal of solving from necessary initializations of microcontrollers up to operations with individual circumferences. There is also analyzed a customer service. Last, fourth part of thesis deals with realization of prototype, its revival and testing. There is stated value of properties of prototype, some suggestions for possible extension and summary of achieved aims of this thesis in the end.
Two-axis Stabilized Aerial Photography Platform
Vácha, Lukáš ; Hasmanda, Martin (referee) ; Strašil, Ivo (advisor)
This diploma thesis deals with design and realization of control board with controlling program for stabilization platform application. Thesis is splitted in to six parts. In first part of thesis are summarized required parameters and properties of proposed system together with explanation of necessary theoretical basics. In second part of thesis is made analysis of sensors which are designated for sensing necessary magnitudes. Namely then magnetometer, accelerometer, gyroscope. For every sensor is there made analysis of influence caused by parasitic effects. In conclusion of second part is made choice of concrete sensors by choosing sensory module. Third part deals with conception of mechanical solution. Fourth part of thesis deals with design and construction of control board and also with description of circuit functional blocks. This is followed with fifth part which describing program equipment of board with setting up sensory module. In last part of thesis are described conclusions of testing.
Modeling multivariate volatility using wavelet-based realized covariance estimator
Baruník, Jozef ; Vácha, Lukáš
Abstract. Study of the covariation have become one of the most active and successful areas of research in the time series econometrics and economic forecasting during the recent decades. Our work brings complete theory for the realized covariation estimation generalizing current knowledge and bringing the estimation to the time-frequency domain for the first time. The results generalize the popular realized volatility framework by bringing the robustness to noise as well jumps and ability to measure the realized covariance not only in time but also in frequency domain. Noticeable contribution is brought also by the application of the presented theory. Our time-frequency estimators bring not only more efficient estimates, but decomposes the realized covariation into arbitrarily chosen investment horizons. Results thus bring better understanding of the dynamics of dependence between the stock markets.
Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data
Baruník, Jozef ; Vácha, Lukáš ; Krištoufek, Ladislav
In this paper, we contribute to the literature on international stock market comovement and contagion. The novelty of our approach lies in usage of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock market returns in completely different way. Major part of economic time series analysis is done in time or frequency domain separately. Wavelet analysis can combine these two funda- mental approaches, so we can work in time-frequency domain. Using wavelet coherence, we have found very interesting dynamics of cross-correlations be- tween Central European and Western European stock markets. We analyze the high-frequency (5 minute) and low-frequency (daily) data of Czech (PX), Hungarian (BUX) and Polish (WIG) stock indices with a benchmark of German stock index (DAX) on the period of 2008-2009. Our findings provide possibility of a new approach to financial risk modeling.
Chování středoevropských trhů počas finanční krize
Baruník, Jozef ; Vácha, Lukáš ; Vošvrda, Miloslav
In the paper we research statistical properties of the Central European stock markets.
Waveletová analýza trhů střední evropy během krize
Vácha, Lukáš ; Baruník, Jozef
In the proposed paper we would like to test for the different reactions of the stock markets to current financial crisis. We will focus on the Central European stock markets, namely Czech, Polish, Hungarian and compare them to German and U.S. benchmark stock markets.

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2 VÁCHA, Ladislav
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