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Bayesian probability distribution over a class of autoregression models applied to financial time series
Škerlík, Peter ; Šindelář, Jan (advisor) ; Hlávka, Zdeněk (referee)
In the present bachelor thesis we study the selection of appropriate autoregression models to forecast financial time series. We use Bayesian inference in statistics, which will be further explained. Consequently there is also given theoretical background which explains how to apply Bayesian inference to selection of models. The major contribution of the work is considered to be the application of this theoretical background to financial time series in programming environment C++ and the results of this application. The development of the probability of each autoregression model is shown in graphs. The results for Laplace and normal probability distribution of white noise in autoregression models are compared. The aim of the work is to provide the reader with enough theoretical information and to give him an practical overview of the usage of Bayesian statistics in data prediction. Also results of the work can be helpful to understand the mentioned models and to select the suitable model in practice.
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Application of snoezelen as multisensory stimulation in children with heavy combined handicap
RICHTROVÁ, Lucie
Snoezelen is a therapeutic method based on complex involvement of senses. The target group is particularly formed by individuals with heavy combined handicap, within the whole age spectre from newborns to seniors. Snoezelen is provided in a specifically arranged room offering the individual pleasant environment and stimulating sensual impulses. A therapist has a function of a guide here; the individual him/herself defines how to spend the free time in the snoezelen. The aim of the thesis was to find the possibilities of snoezelen application in children with heavy combined handicap. The particular goal was to develop individual plans for exploitation of snoezelen focused on development of concentration of attention and communication abilities. The theoretical part thus includes specification of general conditions and principles of snoezelen application as a therapeutic method apart from definitions of the basic terms, detailed characteristics of snoezelen and a list of supportive methods. This knowledge was then applied to the theoretical part of the thesis. Case reports were used for verification of the theoretical outputs with regar to the target group characteristic and the individual specifics of therapeutic work. Combination of involved observation and document analysis was used for data collection. Three children with heavy combined handicap were chosen for the research sample. All the probands passed a three-month therapy in specific environment arranged according to snoezelen principles. The room met the conditions for development of attention concentration and communication abilities. However the children did not take use of the opportunity during two month of therapy. Only relaxation effect of snoezelen was seen in all of them, a shift in interaction with the environment, where the child actively influenced the snoezelen elements was found in one case. The results showed that the short time and low frequency of therapeutic sessions were probably the reasons of non fulfilment of the set goals with regard to the disability character and degree. The thesis may serve as informational material for persons or facilities interested in utilization of snoezelen and would like to use a multi-sensory room in practice.
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Reconstruction of average air temperatures for the last millenium
Střeštík, Jaroslav
The air temperature increase during the last century can be explained either by the enhanced green-house effect or by the regular long-term variations. These two explanations give two different forecasts as to the future climate. Reconstructed temperature series which guess the climate many centuries ago help to distinguish which model is more probable.
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Information Extraction of Probability and Risk of Returns using Options Prices
Cícha, Martin ; Trešl, Jiří (advisor) ; Cipra, Tomáš (referee) ; Málek, Jiří (referee)
The issue of forecasting the future price of risky financial assets has attracted academia and business practice since the inception of the stock exchange. Also due to the just finished financial crisis, which was the worst crisis since the Great Depression, it is clear that research in this area has not been finished yet. On the contrary, new challenges have been raised. The main goal of the thesis is the demonstration of the significant information potential which is hidden in option market prices. These prices contain informations on probability distribution of the underlying asset returns and the risk connected with these returns. Other objectives of the thesis are the forecast of the underlying asset price distribution using parametric and nonparametric estimates, the improvement of this forecast using the utility function of the representative investor, the description of the current market sentiment and the determination of the risk premium, especially the risk premium on Czech market. The thesis deals with the forecast of the underlying asset price probability distribution implied by the current option market prices using parametric and nonparametric estimates. The resulting distribution is described by the moment characteristics which represent a valuable tool for analyzing the current market sentiment. According to the theory, the probability distribution of the underlying asset price implied by option prices is risk neutral, i.e. it applies only to risk neutral investors. The theory further implies that the distribution of real world can be derived from the risk neutral distribution using utility function of the representative investor. The inclusion of a utility function of representative investor improves the forecast of the underlying asset price distribution. Three different utility functions of traditional risk theory are used in the thesis. These functions range from the simple power function to the general function of hyperbolic absolute risk aversion (HARA). Further, Friedman-Savage utility function is used. This function allows both a risk averse investor and a risk loving investor. The thesis also answers the question: Are the current asset prices at so high level that the purchase of the asset means a gamble? The risk premium associated with investing in the risky asset is derived in the thesis. The risk premium can be understood as the premium demanded by investors for investment in a risky asset against the investment in a riskless asset. All the theoretical methods introduced in the thesis are demonstrated on real data coming from two different markets. Developing market is represented by shares of CEZ and developed market is represented by S&P 500 futures. The thesis deals with demonstrations in single point in time as well as in available history of the data. The forecasts of the underlying asset price distribution and the relating risk premium are constructed in the available data history. The goals and the objectives of the thesis have been achieved. The contribution of the thesis is the development of parametric and nonparametric methodology for estimating the underlying asset price probability distribution implied by the option market prices so that the nature of the particular market and instrument is captured. The further contribution of the thesis is the construction of the forecasts of the underlying asset price distribution and the construction of the market sentiment in the available history of data. The contribution of the thesis is also the construction of the market risk premium in the available history and the establishment of the hypothesis that the markets gamble before the crisis.
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Estimating market probabilities of future interest rate changes
Hlušek, Martin
The goal of this paper is to estimate the market consensus forecast of future monetary policy development and to quantify the priced-in probability of interest rate changes for different future time horizons. The proposed model uses the current spot money market yield curve and available money market derivative instruments (forward rate agreements, FRAs) and estimates the market probability of interest rate changes up to a 12-month horizon.
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Diagnostics of Hypercoagulation Status by D-dimer Concentration Measurement
STIEBLEROVÁ, Romana
In common thrombofilia is the state of the vessel system in arterial, venous or microcirculation part when the probability of thrombs-creation is increased, but thrombs are not present yet. It is the pre-state of thrombotization. Thrombofilia is denoted as hypercoagulation status. Thrombofilia also is a common term for hereditary and acquired prothrombotic states in arterial, venous and microcirculation system. Progress in thrombotic and anticoagulation treatment and high-powered clinical research in pathogenesis together enable the radical progress in modern conception of pathophysiology in clinical diagnostic and introduce usage of very efficient treatments. Results of big multi-central studies show clearly how the precise fibrinolytic and coagulation tests and treatments can help in long-term surviving of patients with thrombosis. The search part of this study shows a summary of last information in pathophysiology and last potentialities in laboratory tests and interpretations focused on clinical exposure and diagnostic of PE and DVT. Inspiration for this study are results published in JOURNAL OF THROMBOSIS AND HAEMOSTASIS 10 (7): Penaloza, A., Roy, P. -M., Kline, J., Verschuren, F., Le Gal, G., Quentin-Georget, S. , Delvau, N. , Thys, F. Performance of age-adjusted D-dimer cut-off to rule out pulmonary embolism. 1291-1296, 2012. doi:10.1111/j.1538-7836.2012.04769.x and HAEMATOLOGICA-THE HEMATOLOGY JOURNAL 97(10) Douma, Renee A.; Tan, Melanie; Schutgens, Roger E. G.; et al. Using an age-dependent D-dimer cut-off value increases the number of older patients in whom deep vein thrombosis can be safely excluded. 1507-1513, 201, doi:10.3324/haematol.2011.060657. In this part also the need of Good Laboratory Praxis for pre-analytics extraction and transportation of whole blood samples for coagulation and fibrinolytic tests is highlighted. The practical part of this study covers either the laboratory results aimed to confirm the diagnosis or the results of D-dimer concentration done for preventive reasons and selected in specific files. D dimer is the specific fissile product of fibrin and the presence of D-dimer in plasma testifies the activation of coagulation and fibrinolysis. D-dimer tests were done on the automatic coagulation analyzer ACT Elite Pro. D-dimer test has been done by immunological method based on reaction between antigen and antibody. Analyzer ACL Elite PRO uses nephelometry for detection of blood clogs and reads the intensity of scattered 90° angle light in the sample. Results of sonography are from data stored in hospital information system FONS Akord STAPRO Hospital Jindřichův Hradec a.s. All data were collected in several data-files. This study verificates the hypothesis of predicted difference of D-dimers in patients from preventive file and patients in file with thrombofilia diagnosis. The hypothesis of D-dimer test positivity in venous thrombosis was confirmed as well, D-dimer as a marker of thrombofilia shows an actual activation in-vivo system and increased D-dimer concentration confirmed venous thrombosis DVT together with a positive sonography. The most interesting and the most important result of this study is the confirmation of the hypothesis of using an age-dependent D-dimer cut-off in patients over 50 of age with suspect DVT or/and PE diagnosis. The importance of using an age-dependent D-dimer cut-off was published in articles in JOURNAL OF THROMBOSIS AND HAEMOSTASIS 10 (7): Penaloza, A., Roy, P. -M., Kline, J., Verschuren, F., Le Gal, G., Quentin-Georget, S. , Delvau, N. , Thys, F. Performance of age-adjusted D-dimer cut-off to rule out pulmonary embolism. 1291-1296, 2012. doi:10.1111/j.1538-7836.2012.04769.x and HAEMATOLOGICA-THE HEMATOLOGY JOURNAL 97(10) Douma, Renee A.; Tan, Melanie; Schutgens, Roger E. G.; et al. Using an age-dependent D-dimer cut-off value increases the number of older patients in whom deep vein thrombosis can be safely excluded.
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Fiscal rules in selected EU countries between 2004-2015: sensible method for consolidation of public finances or fad of politicians?
Veselý, Lukáš ; Strejček, Ivo (advisor) ; Chmelová, Pavla (referee)
The subject of fiscal rules is very topical issue. The rise of public debt in certain developed countries resulted in what is sometimes called "debt crisis". Debt of those countries which is higher than their annual gross domestic product is viewed as unpayable by some economists. The main objective of this thesis has been to prove or disprove hypothesis that the fiscal rules studied in this paper are an effective solution for public finance consolidation. This verification was based on the analysis of fiscal rules functioning in selected countries between 2004 and 2015. As per results of analysis the paper aims to give recommendations for the Czech financial constitution proposal. The actual results of inquiry proved the hypothesis. Well-chosen fiscal rules are the right way towards fiscal consolidation, provided they are observed. Fiscal rules making thus requires an emphasis to be placed on the well-formulated exit clauses altogether with prospective sanctions. The current Czech financial constitution proposal is built on the correctly picked fiscal rule type, although the reference value lacks economic sense and it would not lead, with a high degree of probability, towards fiscal consolidation.
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