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National Repository of Grey Literature 3 records found  Search took 0.00 seconds. 
The Investment Models in an Environment of Financial Markets
 Krňávek, Jan ; Lukeš, Zdeněk (referee) ; Budík, Jan (advisor)
The thesis deals with the optimization of the selected investment portfolio. Solver suggests automated investment model that will use advanced algorithms based on artificial intelligence and principles of technical analysis. Optimization of parameters and verifying the performance of the investment model is realized on historical market data. The result of this thesis is optimized investment model with an emphasis on maximizing profits and stability. The thesis is realized in an environment Python programming language and freely available analytical libraries.
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The Investment Models in an Environment of Financial Markets
 Krňávek, Jan ; Lukeš, Zdeněk (referee) ; Budík, Jan (advisor)
The thesis deals with the optimization of the selected investment portfolio. Solver suggests automated investment model that will use advanced algorithms based on artificial intelligence and principles of technical analysis. Optimization of parameters and verifying the performance of the investment model is realized on historical market data. The result of this thesis is optimized investment model with an emphasis on maximizing profits and stability. The thesis is realized in an environment Python programming language and freely available analytical libraries.
Detailed record
The analysis of selected behavioral biases in the context of the stock market
 Havlíček, David ; Musílek, Petr (advisor) ; Daňhel, Jaroslav (referee) ; Budinský, Petr (referee)
The thesis focuses on the partial synthesis of investment strategies based on the theory of efficient markets and behavioral finance. Model of investment behavior consists of three parts - the Markowitz model of portfolio approach , De Bondt - Thaler model of re-building portfolio by capital gains in past and a model of short-term behavioral biases. Parameters of behavioral biases are determined arbitrarily and calibrated using correlation analysis for stock index DJIA and the particular stock title. The assembled model of short-term behavioral biases can explain only about 1 percent of changes in market prices of assets and regression analysis doesn't confirmed their statistical significance. Better results were found in a particular stock title than the stock index. The model of investment behavior has shown that without taking into account transaction costs Markowitz model was the most successful, but taking into account the costs De Bondt - Thaler model was more successful. The model of behavioral biases couldn't even overcome market benchmark, but in terms of risk the model was the least risky. The overall model of investment behavior also suggested the possibility of prediction of financial crisis, which could also be a space for further research in this area. The synthesis would also be appropriate to explore also by other methods such as simulation or real survey.
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