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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Application of R/S Analysis at Financial Markets
 Vilhanová, Vanda ; Trešl, Jiří (advisor) ; Kodera, Jan (referee)
The aim of this graduation thesis is the descriptiton of R/S analysis and it's aplication on chosen time series of share prices and exchange rates. Some main models of financial time series will be mentioned in the second chapter. There will described basic linear models of stationary and non stationary time series and models of volatility. Then we will focus on the main theme of this thesis, R/S analysis. The algorithm of R/S analysis and the interpretation of the Hurst exponent will be described in the forth chapter. In the fifth chapter, the R/S analysis will by applied on real data sets. There will be two data sest of share prices of Telefónica O2 and Philip Morris and two data sets of exchange rates CZK/EUR and CZK/USD. The results will be interpreted and compared.
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Fractal Market Hypothesis and R/S analysis of the Czech capital market
 Barkhanskyy, Kostyantyn ; Korbel, Jiří (advisor)
This work is aimed at the modern theory of the capital market -- Fractal Market Hypothesis. The content of my work includes both basic theoretical assumptions of the hypothesis and aplication of R/S analysis on the Czech capital market. The goal of this bachelor's thesis is to confirm Czech capital market nonlinear structure with determination it's fractal features and set the memory period by R/S analysis output.
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