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The application of finacial derivatives in bussines practise
Podhorná, Hana ; Kotík, Věroslav (referee) ; Meluzín, Tomáš (advisor)
The aim of this bachelor thesis is eliminating the foreign exchange risk in the given company by using financial derivatives. The thesis is divided to a theoretical and a practical section. The theoretical section is focused on the problems of foreign exchange risk, including a description of the main products and procedures that enable to manage these risks effectively. The practical section analyses the problem of exchange rate losses and evaluates the foreign exchange position of the company. The author tried to create suitable proposals for the possibilities of security. The conclusion of the thesis contains benefits that resulted from the obtained results of the given proposal.
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Forex Data Processing
Olejník, Tomáš ; Bartík, Vladimír (referee) ; Kreslíková, Jitka (advisor)
The master's thesis' objective is to study basics of high-frequency trading, especially trading at foreign exchange market. Project deals with foreign exchange data preprocessing, fundamentals of market data collecting, data storing and cleaning are discussed. Doing decisions based on poor quality data can lead into fatal consequences in money business therefore data cleaning is necessary. The thesis describes adaptive data cleaning algorithm which is able to adapt current market conditions. According to design a modular plug-in application for data collecting, storing and following cleaning has been implemented.
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Design and Implementation of Automatic Trading System for Exchange Market
Doležal, Radek ; Jahoda, Michal (referee) ; Budík, Jan (advisor)
The subject of this diploma thesis is a design and implementation of an automated trading system for the forex market. It includes an analysis of the main concepts and methods of technical analysis and money management, which constitute an essential theoretical basis for the subsequent practical design of an automatic system. The objective of this work is a development of an automated trading system whose robustness and stability is tested by a walk forward analysis.
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Model of Electronic Trading in International Interbank Foreign Exchange
Čapek, Jiří ; Kuderová, Eva (referee) ; Čižinská, Romana (advisor)
This bachelor’s thesis engages in investing in the foregin exchange market. It desribes recent portfolio of chosen currency pairs and characterizis their behaviour. It proposes an effective method of electronic trading using the trading platform. It explains how technical and fundamental analysis work. The main vehemence is layed on technical analysis and it’s technical indicators. In it’s concept it describes the decesive methods, which give us the signals when to open a trade and when to get out of it, in order to maximise our profits and minimise our losses.
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Exchange Rate Risk and It's Minimization in the Enterprise
SHABALIN, Nikita
This study focuses on researching issues of exchange rate risks and describes solutions to minimize these risks in chosen enterprise. The theoretical part of the thesis concentrates on presentation of theoretical knowledge which includes definition of foreign exchange market, classification of these markets, and motivation of the entity to enter the market. Furthermore, literary research includes exchange rate risks prediction and identification methods. There are also few instruments to deal with these types of risks such as Forward, Exchange swap and Currency option. The main aim of the practical part is to offer a better solution for enterprise XY to secure against exchange rate risks and to avoid these risks in the future through financial analysis, exchange markets analysis and current exchange risks analysis. All these analyses are based on true data collected over several years. In conclusion, enterprise's management will be able to use research results in their financial system and minimize exchange rate risks in the company.
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Forex Data Processing
Olejník, Tomáš ; Bartík, Vladimír (referee) ; Kreslíková, Jitka (advisor)
The master's thesis' objective is to study basics of high-frequency trading, especially trading at foreign exchange market. Project deals with foreign exchange data preprocessing, fundamentals of market data collecting, data storing and cleaning are discussed. Doing decisions based on poor quality data can lead into fatal consequences in money business therefore data cleaning is necessary. The thesis describes adaptive data cleaning algorithm which is able to adapt current market conditions. According to design a modular plug-in application for data collecting, storing and following cleaning has been implemented.
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Three Essays on Central European Foreign Exchange Markets
Moravcová, Michala ; Horváth, Roman (advisor) ; Komárek, Luboš (referee) ; Baumohl, Eduard (referee) ; Pappas, Vasileios (referee)
This dissertation thesis consists of three essays on new EU foreign exchange markets (FX), i.e. the Czech koruna, Polish zloty and Hungarian forint. In the first two essays, the impact of foreign macroeconomic news announcements and central banks' monetary policy settings on the value and volatility of examined exchange rates is analyzed. In the third chapter, the conditional comovements and volatility spillovers on new EU FX markets is examined. The aim of this thesis is to contribute to the existing empirical literature by providing new evidence of the examined currencies during periods, which have not been examined yet (after the Global financial crisis (GFC), during the EU debt crisis and during currency interventions in the Czech Republic). The first essay (Chapter 2) examines the impact of Eurozone/Germany and US macroeconomic news announcements and monetary policy settings of the ECB and the Fed on the value of new EU member states' currencies. It is a complex analysis of 1-minute intraday dataset performed by event study methodology (ESM). We observe different reactions of exchange rates in pair with the US dollar on the US macroeconomic announcements and Euro-expressed FX rates on Germany macro news during the EU debt crisis and after it. We also provide evidence of leaking news, showing...
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Financial market efficiency
KOPTIŠ, Daniel
This diploma thesis analyses the market efficiency hypothesis of chosen currency pairs EUR/USD, EUR/CZK and USD/CZK. The aim of this study is to describe the price behaviour of chosen financial assets and verify the random walk hypothesis on the foreign exchange market. Model of random walk says there is no relationship between historical and future prices, so price changes are random and cannot be predicted. Random walk hypothesis was tested by chosen statistic tests runs test, test of auto-correlation, variance ratio test and unit root test (Augmented Dickey-Fuller Test). Data were collected through the online trading platform and tested in EViews. Period of testing for daily changes (D1) was chosen from 31.12.2009 to 29.12.2017 and for weekly changes (T1) from 2.1.2005 to 29.12.2017. This thesis proved weak-form efficiency of EUR/USD and USD/CZK for both daily changes and weekly changes in a chosen period. Inefficient behaviour of daily changes of EUR/CZK (D1) was indicated by runs test, test of autocorrelation and variance ratio test. There is a question what the cause of inefficiency is. The most likely explanation is currency intervention of the Czech National Bank which took place from April 2013 to April 2017 in order to achieve the inflation target and prevent deflation. Traders could also achieve profits by speculating on appreciation of Czech Crown below 27,-crowns/euro which is not in harmony with efficient-market hypothesis. Moreover, currency pair EUR/CZK is not liquid as major currency pairs and there are bigger transaction costs because of bid-offer spread. This work can contribute to next research in connection with results of this study. To verify if the cause of inefficient behaviour of daily price changes of EUR/USD are currency interventions of the Czech National Bank, I would suggest testing efficient-market hypothesis exactly at the time of interventions. It would be also suitable to compare results of different methodologies including testing in short-time intervals of price changes.
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Testing of successfulness of technical analysis' trading and trending indicators
Točevová, Radka ; Veselá, Jitka (advisor) ; Fičura, Milan (referee)
The goal of this master's thesis is to evaluate the successfulness of the strategies' portfolio and of trading and trending indicators, which are parts of the portfolio, through this evaluation. The theoretical part concerns with the key principles of the foreign exchange market which the portfolio is created for. After that, the individual technical indicators, which are used in the analytical part of the thesis, are analyzed in detail. Then in the following part, the development process of automated trading systems in case of the genetic algorithms' application is defined. Individual generated trading systems are described in the next segment separately. Their descriptions are followed by evaluation of outcomes of testing on historical data and of robustness' tests. Afterwards, the correlations between individual strategies are mentioned. The thesis concludes by efficiency evaluation of strategies' portfolio via backtest results and paper testing.
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