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Algorithmic fundamental trading
Pižl, Vojtěch ; Krištoufek, Ladislav (advisor) ; Bubák, Vít (referee)
This thesis aims to apply methods of value investing into developing field of algorithmic trading. Firstly, we investigate the effect of several fundamental variables on stock returns using the fixed effects model and portfolio approach. The results confirm that size and book- to-market ratio explain some variation in stock returns that market alone do not capture. Moreover, we observe a significant positive effect of book-to-market ratio and negative effect of size on future stock returns. Secondly, we try to utilize those variables in a trading algorithm. Using the common performance evaluation tools we test several fundamentally based strategies and discover that investing into small stocks with high book-to-market ratio beats the market in the tested period between 2009 and 2015. Although we have to be careful with conclusions as our dataset has some limitations, we believe that there is a market anomaly in the testing period which may be caused by preference of technical strategies over value investing by market participants.
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Algorithmic fundamental trading
Pižl, Vojtěch ; Krištoufek, Ladislav (advisor) ; Bubák, Vít (referee)
This thesis aims to apply methods of value investing into developing field of algorithmic trading. Firstly, we investigate the effect of several fundamental variables on stock returns using the fixed effects model and portfolio approach. The results confirm that size and book- to-market ratio explain some variation in stock returns that market alone do not capture. Moreover, we observe a significant positive effect of book-to-market ratio and negative effect of size on future stock returns. Secondly, we try to utilize those variables in a trading algorithm. Using the common performance evaluation tools we test several fundamentally based strategies and discover that investing into small stocks with high book-to-market ratio beats the market in the tested period between 2009 and 2015. Although we have to be careful with conclusions as our dataset has some limitations, we believe that there is a market anomaly in the testing period which may be caused by preference of technical strategies over value investing by market participants.
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Institutional Determinants of Investment Inflows into Transitional Economies
Donu, Victoria ; Mertlík, Pavel (advisor) ; Benáček, Vladimír (referee)
This thesis investigates the relationship between institutional quality and the level of investment inflows into post-communist countries. I attempt to empirically verify the argument that institutional determinants are essential in explaining the variation in investment inflows into transition economies after the demise of socialism in the early 1990s. The role of institutions is assessed using Economic Freedom indices provided by the Heritage Foundation. Consequently, to investigate the progress of institutional quality in transition economies, I further employ indicators developed by the European Bank for Reconstruction and Development. Using a panel data set for 11 transition countries from 1993 to 2013, I conclude that the impact of institutional quality on investment inflows is not negligible, yet much weaker than suggested by the existing theoretical literature. Using a fixed-effects model framework in both regression benchmarks with metrics from the Heritage Foundation and the European Bank for Reconstruction and Development, respectively, I observe that the impact of institutional variables on the level of investment was less significant than expected. Moreover, macroeconomic fundamentals appear to always play a more substantial role than institutional factors. KEYWORDS: foreign direct...
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Analysis of selected commodities from investor's point of view
Škultéty, Daniel ; Trešl, Jiří (advisor) ; Václavík, Tomáš (referee)
The purpose of this thesis is to analyze investment options into wheat, corn and rice futures throughout different time horizons. Mostly we use daily closing prices for the last fifteen years. General knowledge of the field in context of nowadays is required to perform such an analysis. To achieve our goals we use technical analysis, time series analysis and we discuss the fundaments of price movements. Contribution of this thesis can be summed as presenting the basic tools of technical analysis in real world, presenting the fundamentals of price movements in one place and practical application of time series analysis on futures prices. By doing so we can confirm that random walk thesis is not unsubstantial but cannot be generalized for all instruments and periods of capital market.
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Bifurcation routes and heterogenous formation
Vošvrda, Miloslav
The heterogenity of expectation among trades introduces an important nonlinearity in to the financial markets. Heteregenous formation asset prices are characterized by phases of close to the fundamental price fluctuations. In this paper is discussed a position of fundamentals and their influence to the economic stability.
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