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Clustering and regression analysis of micro panel data
Sobíšek, Lukáš ; Pecáková, Iva (advisor) ; Komárek, Arnošt (referee) ; Brabec, Marek (referee)
The main purpose of panel studies is to analyze changes in values of studied variables over time. In micro panel research, a large number of elements are periodically observed within the relatively short time period of just a few years. Moreover, the number of repeated measurements is small. This dissertation deals with contemporary approaches to the regression and the clustering analysis of micro panel data. One of the approaches to the micro panel analysis is to use multivariate statistical models originally designed for crosssectional data and modify them in order to take into account the within-subject correlation. The thesis summarizes available tools for the regression analysis of micro panel data. The known and currently used linear mixed effects models for a normally distributed dependent variable are recapitulated. Besides that, new approaches for analysis of a response variable with other than normal distribution are presented. These approaches include the generalized marginal linear model, the generalized linear mixed effects model and the Bayesian modelling approach. In addition to describing the aforementioned models, the paper also includes a brief overview of their implementation in the R software. The difficulty with the regression models adjusted for micro panel data is the ambiguity of their parameters estimation. This thesis proposes a way to improve the estimations through the cluster analysis. For this reason, the thesis also contains a description of methods of the cluster analysis of micro panel data. Because supply of the methods is limited, the main goal of this paper is to devise its own two-step approach for clustering micro panel data. In the first step, the panel data are transformed into a static form using a set of proposed characteristics of dynamics. These characteristics represent different features of time course of the observed variables. In the second step, the elements are clustered by conventional spatial clustering techniques (agglomerative clustering and the C-means partitioning). The clustering is based on a dissimilarity matrix of the values of clustering variables calculated in the first step. Another goal of this paper is to find out whether the suggested procedure leads to an improvement in quality of the regression models for this type of data. By means of a simulation study, the procedure drafted herein is compared to the procedure applied in the kml package of the R software, as well as to the clustering characteristics proposed by Urso (2004). The simulation study demonstrated better results of the proposed combination of clustering variables as compared to the other combinations currently used. A corresponding script written in the R-language represents another benefit of this paper. It is available on the attached CD and it can be used for analyses of readers own micro panel data.
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Use of Interest Rate Models for Interest Rate Risk Management in the Czech Financial Market Environment
Cíchová Králová, Dana ; Arlt, Josef (advisor) ; Cipra, Tomáš (referee) ; Witzany, Jiří (referee)
The main goal of this thesis is to suggest an appropriate approach to interest rate risk modeling in the Czech financial market environment in various situations. Three distinct periods are analyzed. These periods, which are the period before the global financial crisis, period during the financial crisis and in the aftermath of the global financial crisis and calming subsequent debt crisis in the eurozone, are characterized by different evaluation of liquidity and credit risk, different relationship between financial variables and market participants and different degree of market regulations. Within this goal, an application of the BGM model in the Czech financial market environment is crucial. Use of the BGM model for the purpose of predicting a dynamics of a yield curve is not very common. This is firstly due to the fact that primary use of this model is a valuation of interest rate derivatives while ensuring the absence of arbitrage and secondly its application is relatively difficult. Nevertheless, I apply the BGM model to obtain predictions of the probability distributions of interest rates in the Czech and eurozone market environment, because its complexity, direct modeling of a yield curve based on market rates and especially a possibility of parameter estimation based on current swaptions volatilities quotations may lead to a significant improvement of predictions. This improvement was also confirmed in this thesis. Use of swaptions volatilities market quotations is especially useful in the period of unprecedented mone- tary easing and increased number of central banks and other regulators interventions into financial markets that occur after the financial crisis, because it reflects current market expectations which also include future interventions. As a consequence of underdevelopment of the Czech financial market there are no market quotations of Czech koruna denominated swaptions volatilities. I suggest their approximations based on quotations of euro denominated swaptions volatilities and also using volatilities of koruna and euro forward rates. Use of this approach ensures that predictions of the Czech yield curve dynamics contain current market expectations. To my knowledge, any other author has not presented similar application of the BGM model in the Czech financial market environment. In this thesis I further predict a Czech and Euro area money market yield curve dynamics using the CIR and the GP models as representatives of various types of interest rates models to compare these predictions with BGM predictions. I suggest a comprehensive system of three criteria, based on comparison of predicti- ons with reality, to describe a predictive power of selected models and an appropria- teness of their use in the Czech market environment during different situations in the market. This analysis shows that predictions of the Czech money market yield curve dynamics based on the BGM model demonstrate high predictive power and the best 8 quality in comparison with other models. GP model also produces relatively good qua- lity predictions. Conversely, predictions based on the CIR model as a representative of short rate model family completely failed when describing reality. In a situation when the economy allows negative rates and there is simultaneously a significant likelihood of their implementation, I recommend to obtain predictions of Czech money market yield curve dynamics using GP model which allows existence of negative interest rates. This analysis also contains a statistical test for validating the predictive power of each model and information on other tests. Berkowitz test rejects a hypothesis of accurate predictions for each model. However, this fact is common in real data testing even when using relatively good model. This fact is especially caused by difficult fulfilment of test conditions in real world. To my knowledge, such an analysis of the predictive power of selected interest rate models moreover in the Czech financial market environment has not been published yet. The last goal of this thesis is to suggest an appropriate approach to obtaining pre- dictions of Czech government bonds risk premium dynamics. I define this risk premium as a difference between government bond yields and fixed rate of CZK IRS with the same length. I apply the GP model to describe the dynamics of this indicator of the Czech Republic credit risk. In order to obtain a time series of the risk premium which are necessary for estimation of GP model parameters I firstly estimate yield curves of Czech government bonds using Svensson model for each trading day since 2005. Resulting si- mulations of risk premium show that the GP model predicts the real development of risk premiums of all maturities relatively well. Hence, the proposed approach is suitable for modeling of Czech Republic credit risk based on the use of information extracted from financial markets. I have not registered proposed approach to risk premium modeling moreover in the Czech financial market environment in other publications.
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Dynamic model of human resources in project management
Hančar, Michal ; Mildeová, Stanislava (advisor) ; Šviráková, Eva (referee)
This thesis is focused on dynamics of soft factors influencing workers during projects. These factors include motivation, workplace atmosphere, team synergy of workers and their emotions, and attribute of project manager who manages the project. Identification of soft factors and their relationships was achieved by examination of scientific literature in psychology and system dynamics. Description of managing project matters was achieved by examination of scientific literature dealing with project management. The main objective of this thesis is to create a dynamic model which simulates behavior of these soft factors influencing the project staff. The primary metric of the model is efficiency of workers participating on the project based on input parameters. Validation of the model was achieved by verification of historic behavior of key elements. Results of validation experiments correspond with historic behavior with roughly 95 % accuracy. At the end of this thesis is presented an ICT project case study. Based on the results of simulation experiments is performed a scenario analysis which tries to bring possible suggestions for project management.
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Awareness of Volunteering in the Czech Republic and Abroad among Students of the Faculty of Health and Social Studies of South Bohemia University
MARKOVÁ, Marcela
My work is focused on the volunteering. It aims to introduce the Healthy Social Faculty of the Southern Bohemian University in České Budějovice (ZSF JU) and its faculty volunteering. It describes where the volunteers can involve themselves (Czech Republic and abroad) and also the condition of volunteering at the faculty (regarding how many students are involved and informed). My work is supposed to be a study material for students of ZSF JU. It can be used as an information source for the faculty management and it can also be an inspiration for the future concept about volunteering. It has two parts; theoretical and practical (experimental) one. The structure of ZSF JU and the history of the volunteering at the faculty are described in the first part. Moreover there are definitions of: volunteering, volunteer, types of volunteering and its legislation base including the brief Czech history of volunteering. Following part informs about benefits of volunteering and particular fields where we can find volunteers. Theoretical part is finished with a chapter about international volunteering. The aim of the practical part is to analyze how students are informed about possibilities and benefits of volunteering in the Czech Republic and in the world. The aim of my work is set up there and also the hypothesis which have been confirmed or uprooted. Moreover the methodology of the practical part is explained there. I have used a questionnaire method via server "Vyplnto.cz". The questionnaire itself was send using collective correspondence to all student´s email addresses at ZSF JU. There were 478 valid responds from the students of ZSF JU both distance and daily study. Following chapter presents research results gained through statistics of graphs and charts. You can see results of each question in context with other parameters as age, sex, form of study or field of study. The hypotheses were tested via statistics methodology of good matching, called "Chi-square distribution". The results show that students of ZSF JU are informed about possibilities of volunteering in CZ. However they lack information about possibilities abroad. Students of distance study are better informed and more involved than students from daily study. Another part is a chapter called Discussion, where particular results are interpreted and compared with results of similar researches. In the final part you can find the resume of the results and the evaluation of the aim. Students from ZSF JU have quite a good knowledge about volunteering. However, in some concrete parts there is a space for improvement. The conclusion of the work offers some solutions.
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INFLUENCE OF LASER CUTTING AND PUNCHING ON MAGNETIC PROPERTIES\nOF ELECTRICAL STEEL M470-50A
Bulín, Tomáš ; Švábenská, Eva ; Hapla, Miroslav ; Ondrůšek, Č. ; Schneeweiss, Oldřich
Electrical steel M470-50A belongs to the most often used materials in electrical machines. Due to this fact, it is desirable to know the magnetic parameters after processing raw sheets into the required shape. Basic parameters of mechanical, electrical, and magnetic properties of the sheets are usually obtained from the producer but the magnetic properties are changing in dependence on additional machining processes. The aim of this study is to describe changes in parameters of magnetic behavior after punching, laser and spark cutting of the original sheets. The basic information of structure was obtained by optical and scanning electron microscopy. The magnetic parameters were acquired from the measuring of magnetic hysteresis loops in dependence on saturation fields and frequencies. The results are discussed from the point of view of applied\ncutting technology with the aim to obtain the best magnetic parameters and consequently a higher efficiency of the final product. Results can be used as input parameters in simulation of the electrical machine.
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Awareness of women about nutrition problems such as breast cancer prevention
STAŇKOVÁ, Denisa
This thesis focuses on the awareness of women of the nutrition issue as the prevention of breast cancer. The aim of this thesis is to find out whether the women have enough information about nutrition and life style as the prevention of breast carcinoma, where they look for information, if they are interested in this issue and whether they consume food that could work as the prevention. Another goal is to detect possible differences in the attitude to the prevention between women without the potential risk and women with the increased risk, i.e. women over 45. Research questions were determined as follows: "What is the knowledge of women about the issues of nutrition as the prevention of breast cancer?", "What is the proportion of the food that has preventive effect on the rise of breast carcinoma and, on the contrary, the food that supports the tumour growth in the eating habits of women?", "Where do women get information on this issue?", "What is the difference in awareness and consumption of food between women without the potential risk and women with the increased risk, i.e. over 45. The thesis is divided into two parts, a theoretical and a practical one. In the theoretical part I focus on the breast anatomy, basic information on breast cancer and risk factors that are divided into influenceble ones and non-influenceble ones. In the most extensive part of my thesis focuses on the influenceble factors, that is nutrition and life style. I focus especially on nutriments, food and other life style factors that are most connected with breast cancer and have antitumour effects or, conversely, support the tumour growth. The practical part was made by means of a questionnaire which I placed on the Internet and handed out in the waiting room at the general practitioner. The questionnaire was anonymous with 34 questions of a closed and semi-enclosed type. Questions concerned nutrition and life style in relation to the risk of breast cancer and were devised to answer previously defined research questions. The questionnaire survey took place in January and February 2013. I acquired 105 filled in questionnaires from which I randomly chose 86 to obtain two numerously equal groups of women without the potential risk and with the increased risk, i.e. over 45. The result of the research part is that women do not have much information on the life style in connection with the breast cancer. Some respondents, while selecting food with preventive effect, were only guessing and often also marked food which was not related to the breast carcinoma at all. About one third of the respondents even believe that nutrition and other factors are not related to this disease at all. One third of the respondents also stated that they had no interest in learning more information on this issue. Women that have some information usually get it from the magazines and from the Internet. In terms of eating habits, the food of most respondents does not reach the needed quantity to have preventive effects. On the other hand, the food and drinks that support tumour growth do not occur on the menu of the respondents very often. While comparing answers of the women younger 45 and the older group of respondents, it was found out that the younger respondents showed greater unawareness of this issue. No significant differences were recorded in other questions. The results of the survey are graphically processed and evaluated in the final part of this thesis. I suppose this thesis is the contribution to clarifying the current situation of this issue. I believe that the topic of my thesis is up-to-date and that I managed to summarize the most significant information regarding this topic and fulfil the aims I set down. I would be very glad if my work led to the contemplation of this issue and subsequently to a more extensive propagation of the breast cancer prevention.
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Modelling, parameter estimation, optimisation and control of transport and reaction processes in bioreactors.
ŠTUMBAUER, Václav
With the significant potential of microalgae as a major biofuel source of the future, a considerable scientific attention is attracted towards the field of biotechnology and bioprocess engineering. Nevertheless the current photobioreactor (PBR) design methods are still too empirical. With this work I would like to promote the idea of designing a production system, such as a PBR, completely \emph{in silico}, thus allowing for the in silico optimization and optimal control determination. The thesis deals with the PBR modeling and simulation. It addresses two crucial issues in the current state-of-the-art PBR modeling. The first issue relevant to the deficiency of the currently available models - the incorrect or insufficient treatment of either the transport process modeling, the reaction modeling or the coupling between these two models. A correct treatment of both the transport and the reaction phenomena is proposed in the thesis - in the form of a unified modeling framework consisting of three interconnected parts - (i) the state system, (ii) the fluid-dynamic model and (iii) optimal control determination. The proposed model structure allows prediction of the PBR performance with respect to the modelled PBR size, geometry, operating conditions or a particular microalgae strain. The proposed unified modeling approach is applied to the case of the Couette-Taylor photobioreactor (CTBR) where it is used for the optimal control solution. The PBR represents a complex multiscale problem and especially in the case of the production scale systems, the associated computational costs are paramount. This is the second crucial issue addressed in the thesis. With respect to the computational complexity, the fluid dynamics simulation is the most costly part of the PBR simulation. To model the fluid flow with the classical CFD (Computational Fluid Dynamics) methods inside a production scale PBR leads to an enormous grid size. This usually requires a parallel implementation of the solver but in the parallelization of the classical methods lies another relevant issue - that of the amount of data the individual nodes must interchange with each other. The thesis addresses the performance relevant issues by proposing and evaluation alternative approaches to the fluid flow simulation. These approaches are more suitable to the parallel implementation than the classical methods because of their rather local character in comparison to the classical methods - namely the Lattice Boltzmann Method (LBM) for fluid flow, which is the primary focus of the thesis in this regard and alternatively also the discrete random walk based method (DRW). As the outcome of the thesis I have developed and validated a new Lagrangian general modeling approach to the transport and reaction processes in PBR - a framework based on the Lattice Boltzmann method (LBM) and the model of the Photosynthetic Factory (PSF) that models correctly the transport and reaction processes and their coupling. Further I have implemented a software prototype based on the proposed modeling approach and validated this prototype on the case of the Coutte-Taylor PBR. I have also demonstrated that the modeling approach has a significant potential from the computational costs point of view by implementing and validating the software prototype on the parallel architecture of CUDA (Compute Unified Device Architecture). The current parallel implementation is approximately 20 times faster than the unparallized one and decreases thus significantly the iteration cycle of the PBR design process.
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Retargetable Analysis of Machine Code
Křoustek, Jakub ; Janoušek, Jan (referee) ; Návrat,, Pavol (referee) ; Kolář, Dušan (advisor)
Analýza softwaru je metodologie, jejímž účelem je analyzovat chování daného programu. Jednotlivé metody této analýzy je možné využít i v dalších oborech, jako je zpětné inženýrství, migrace kódu apod. V této práci se zaměříme na analýzu strojového kódu, na zjištění nedostatků existujících metod a na návrh metod nových, které umožní rychlou a přesnou rekonfigurovatelnou analýzu kódu (tj. budou nezávislé na konkrétní cílové platformě). Zkoumány budou dva typy analýz - dynamická (tj. analýza za běhu aplikace) a statická (tj. analýza aplikace bez jejího spuštění). Přínos této práce v rámci dynamické analýzy je realizován jako rekonfigurovatelný ladicí nástroj a dále jako dva typy tzv. rekonfigurovatelného translátovaného simulátoru. Přínos v rámci statické analýzy spočívá v navržení a implementování rekonfigurovatelného zpětného překladače, který slouží pro transformaci strojového kódu zpět do vysokoúrovňové reprezentace. Všechny tyto nástroje jsou založeny na nových metodách navržených autorem této práce. Na základě experimentálních výsledků a ohlasů od uživatelů je možné usuzovat, že tyto nástroje jsou plně srovnatelné s existujícími (komerčními) nástroji a nezřídka dosahují i lepších výsledků.
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Swarm Intelligence
Winklerová, Zdenka ; Šaloun, Petr (referee) ; Škrinárová,, Jarmila (referee) ; Zbořil, František (advisor)
The intention of the dissertation is the applied research of the collective ( group ) ( swarm ) intelligence . To demonstrate the applicability of the collective intelligence, the Particle Swarm Optimization ( PSO ) algorithm has been studied in which the problem of the collective intelligence is transferred to mathematical optimization in which the particle swarm searches for a global optimum within the defined problem space, and the searching is controlled according to the pre-defined objective function which represents the solved problem. A new search strategy has been designed and experimentally tested in which the particles continuously adjust their behaviour according to the characteristics of the problem space, and it has been experimentally discovered how the impact of the objective function representing a solved problem manifests itself in the behaviour of the particles. The results of the experiments with the proposed search strategy have been compared to the results of the experiments with the reference version of the PSO algorithm. Experiments have shown that the classical reference solution, where the only condition is a stable trajectory along which the particle moves in the problem space, and where the influence of a control objective function is ultimately eliminated, may fail, and that the dynamic stability of the trajectory of the particle itself is not an indicator of the searching ability nor the convergence of the algorithm to the true global solution of the solved problem. A search strategy solution has been proposed in which the PSO algorithm regulates its stability by continuous adjustment of the particles behaviour to the characteristics of the problem space. The proposed algorithm influenced the evolution of the searching of the problem space, so that the probability of the successful problem solution increased.
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