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Algorithmics to Support Decision-making in Financial Markets
Kvapil, Juraj ; Budík, Jan (referee) ; Dostál, Petr (advisor)
The diploma thesis is focused on area of algorithmic trading. The main focus in this thesis is aimed towards algorithmic solution to arbitrage trading scheme. This system can be categorized as a high frequency trading system that can trade almost risk free in case that ideal technical conditions are met. Model in this thesis is backtested on cryptocurrency Bitcoin, the reason for that is balance between asset liquidity and amount of opportunities that occur on markets for this trading model. System can be used as well on other instruments that have similar characteristics. The main use case for this tool is to provide real time information for trader about occurring opportunities. Used software core has also ability to place automated trading orders based on results of analysis.
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Creation of Small Company
Teršl, Michal ; Kostelník, Milan (referee) ; Koráb, Vojtěch (advisor)
The content of my diploma thesis is to develop necessary steps to set up a business. The first part describes the theoretical background, which primarily focuses on the characteristics of individual analyzes, including model CANVAS. The second part focuses on analysis of the market in which will the business operate, followed by characteristics of external environment and then I try to capture the principle of offered product, which is the subject of future business venture. In the design part of my work, I approach variable solutions of individual business models that are closely linked with the results of the SWOT matrix analysis. In the next section,i perform a comprehensive evaluation of the various options based on the principle BSC and at the end of the practical part I design the necessary steps to set up a business that uses the resulting business model.
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Algorithmics to Support Decision-making in Financial Markets
Kvapil, Juraj ; Budík, Jan (referee) ; Dostál, Petr (advisor)
The diploma thesis is focused on area of algorithmic trading. The main focus in this thesis is aimed towards algorithmic solution to arbitrage trading scheme. This system can be categorized as a high frequency trading system that can trade almost risk free in case that ideal technical conditions are met. Model in this thesis is backtested on cryptocurrency Bitcoin, the reason for that is balance between asset liquidity and amount of opportunities that occur on markets for this trading model. System can be used as well on other instruments that have similar characteristics. The main use case for this tool is to provide real time information for trader about occurring opportunities. Used software core has also ability to place automated trading orders based on results of analysis.
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Arbitrage on the Cryptocurrency Markets: An Analysis of Potential Opportunities
Suchánek, Vojtěch ; Fanta, Nicolas (advisor) ; Čech, František (referee)
1 Abstract Cryptocurrency markets have currently a lot of attention both from the public and researchers. This thesis connects the well-documented field of arbitrage with the relatively new bitcoin phenomenon. Thanks to the efforts of cryptocurrencies for decentralization and non-regulation, they are an ideal asset for arbitrage trading. This study tries to answer whether price differences between cryptocurrency exchanges existed during the second and third quartal of 2021 and if it was possible to perform an arbitrage trading with positive profit. It analyzes several trading strategies and ways how to execute these trades. An important part of the study is the involvement of trading fees, which play a crucial role in total profitability but are often omitted in similar research. The findings confirm that price differences existed during the analyzed period, and their values allow for profitable arbitrage trading. The best performing strategy uses stable-coin USDT as a mean of transport money between exchanges, which lowers the time of one trade and allows multiple trades during one price difference spike. This strategy was able to gain 362.60% profit over the analyzed period. On the other hand, the distribution of trades over the analyzed period shows some irregularities, which might have a negative impact...
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Analysis of investment and speculative opportunities in a trading card game
Golan, Tomáš ; Brada, Jaroslav (advisor) ; Kováč, Michal (referee)
This bachelor thesis focuses on the trading card game Magic: The Gathering as an environment for viable alternative investments with parallels to traditional financial instruments. It consists of three parts. The game is first introduced in the context of trading card games in general along with its selected rules and terms that are important for investing. The second part describes in details its market, supply and demand, which is crucial for the last, practical part presenting specific investment and speculative strategies for making profit through the game. Although the comprehensive rules of the game itself are exceptionally complicated, a reader should be able to apply some of these strategies without any additional knowledge.
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Fractional Brownian Motion in Finance
Kratochvíl, Matěj ; Maslowski, Bohdan (advisor) ; Beneš, Viktor (referee)
This thesis deals with the stochastic integral with respect to Gaussian processes, which can be expressed in the form Bt = t 0 K(t, s)dWs. Here W stands for a Brownian motion and K for a square integrable Volterra kernel. Such processes generalize fractional Brownian motion. Since these processes are not semimartin- gales, Itô calculus cannot be used and other methods must be employed to define the stochastic integral with respect to these proceses. Two ways are considered in this thesis. If both the integrand and the process B are regular enough, it is possible to define the integral in the pathwise sense as a generalization of Lebesgue-Stieltjes integral. The other method uses the methods of Malliavin cal- culus and defines the integral as an adjoint operator to the Malliavin derivative. As an application, the stochastic differential equation dSt = µStdt + σStdBt, which is used to model price of a stock, is solved. Implications of such a model are briefly discussed. 1
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Creation of Small Company
Teršl, Michal ; Kostelník, Milan (referee) ; Koráb, Vojtěch (advisor)
The content of my diploma thesis is to develop necessary steps to set up a business. The first part describes the theoretical background, which primarily focuses on the characteristics of individual analyzes, including model CANVAS. The second part focuses on analysis of the market in which will the business operate, followed by characteristics of external environment and then I try to capture the principle of offered product, which is the subject of future business venture. In the design part of my work, I approach variable solutions of individual business models that are closely linked with the results of the SWOT matrix analysis. In the next section,i perform a comprehensive evaluation of the various options based on the principle BSC and at the end of the practical part I design the necessary steps to set up a business that uses the resulting business model.
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Statistical Characteristics of Forex Data
Novák, Vlastimil ; Bartík, Vladimír (referee) ; Kreslíková, Jitka (advisor)
The object of master's thesis is to introduce to the financial derivatives and principals of trading on financial markets. We describe the methods used to search for arbitrage opportunities through statistical indicators and statistical characteristics, which are an integral part of the automatized trading systems. Analysis of the financial market is based on data derived from the interbank market.
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Why do NIKE shoes cost twice as much in Prague than in the USA?
Nečasová, Romana ; Hudík, Marek (advisor) ; Šťastný, Daniel (referee)
I study retail prices of sport goods for a particular multinational producer across European countries and in the USA to examine behaviour of the law of one price. Although average prices across all goods in the sample differ only slightly across most of the countries, I find significant price differences for individual goods for almost each country pair, including a group of the states that are generally considered as relatively integrated. The conducted analysis has not confirmed that these differences are caused primarily by various distribution costs. The computed relative prices across products vary significantly once compared internationally even within a group of similar goods of which distribution costs should be the same. The price variation, which prevails even when costs are excluded, points to the existence of strategic pricing and lagging arbitrage.
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