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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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Míry podobnosti pro nominální data v hierarchickém shlukování
Šulc, Zdeněk ; Řezanková, Hana (advisor) ; Šimůnek, Milan (referee) ; Žambochová, Marta (referee)
This dissertation thesis deals with similarity measures for nominal data in hierarchical clustering, which can cope with variables with more than two categories, and which aspire to replace the simple matching approach standardly used in this area. These similarity measures take into account additional characteristics of a dataset, such as frequency distribution of categories or number of categories of a given variable. The thesis recognizes three main aims. The first one is an examination and clustering performance evaluation of selected similarity measures for nominal data in hierarchical clustering of objects and variables. To achieve this goal, four experiments dealing both with the object and variable clustering were performed. They examine the clustering quality of the examined similarity measures for nominal data in comparison with the commonly used similarity measures using a binary transformation, and moreover, with several alternative methods for nominal data clustering. The comparison and evaluation are performed on real and generated datasets. Outputs of these experiments lead to knowledge, which similarity measures can generally be used, which ones perform well in a particular situation, and which ones are not recommended to use for an object or variable clustering. The second aim is to propose a theory-based similarity measure, evaluate its properties, and compare it with the other examined similarity measures. Based on this aim, two novel similarity measures, Variable Entropy and Variable Mutability are proposed; especially, the former one performs very well in datasets with a lower number of variables. The third aim of this thesis is to provide a convenient software implementation based on the examined similarity measures for nominal data, which covers the whole clustering process from a computation of a proximity matrix to evaluation of resulting clusters. This goal was also achieved by creating the nomclust package for the software R, which covers this issue, and which is freely available.
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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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The theory of redistribution and its application
Mihalčinová, Hana ; Dlouhý, Martin (advisor) ; Valenčík, Radim (referee) ; Peško, Štefan (referee)
The theory of redistribution systems is a practical extension of a game theory, which deals with a redistribution within a social system of more than two players with di?erent performances and ability to create coalitions. This thesis is divided into three chapters. The ?rst chapter describes the known knowledge of a game theory. The second chapter deals with the theory of redistribution systems. Using an elementary redistribution system and its generalization group behaviour when dividing a payment, achieved by a collective performance, is described. This part introduces the extension of the redistribution system to a compound redistribution system with a fractal structure. Furthermore the theory of discriminatory equilibrium and the theory of commonly acceptable equilibrium are veri?ed using the elementary redistribution system and utility theory. The third chapter deals with an application to the allocation of funds among faculty departments. A game theory approach was used to reduce the game to a non-cooperative game of two players by using the forming of coalitions. Also the theory of redistribution systems was applied when a reduction was used to create a non-cooperative two-player game. This reduced non-cooperative game between two players was converted to a cooperative play of more than two players by changing the rules of the game and allowing a formation of coalitions. In the practical part both of these approaches are compared with real data and a current state.
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Multimedia communication
Vondra, Zdeněk ; Horný, Stanislav (advisor) ; Skrbek, Jan (referee) ; Jurášková, Olga (referee)
Multimedia is a form of communication and sharing knowledge using synergic effect of parallel connected communication channels. Its main use is in producing communications products and services and in design of user interfaces. Main objective of this dissertation is to develop and create a model of multimedia communication for better understanding of the meaning and the purpose of using multimedia forms in communication process. The model will describe a system of elements and parameters of multimedia communication within the internal and external context. Another objective of this dissertation is to develop multimedia communication methodology that will be used for the design, development and evaluations of concepts of multimedia communication. The methodology will be created by applying the model of multimedia communication into the procedure structure. In theoretical way this dissertation is based on analysis of different definitions and approaches to the multimedia communications topic. This is followed by an analysis of communication theories, concepts of media, multimedia, delivery channels, and communication functions. The theoretical part is followed by the outcomes of the research in practice of four different fields of multimedia use. The knowledge gained is analyzed in the following parts in purpose of creating the model of multimedia communication and the methodology which is derived from the model. The methodology is further validated through case studies and the recommendations for further development are formulated. The model and the methodology of multimedia communication created in this dissertation present complex view on multimedia communication topic that is considered as a useful tool for meeting a specific communication purpose. Dissertation provides mechanics for use and study of multimedia communication and also defines the opportunities for further development of the methodology.
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Company's Requirements for Graduates - Software Developers
Trnková, Michaela ; Pecinovský, Rudolf (advisor) ; Pavlíčková, Jarmila (referee)
This thesis maps requirements that are imposed on software developer graduates. This goal is achieved by interviews with specialists from technological companies. A key part of the document is an evaluation of different methodologies of education of programming with a closer focus on a methodology Architecture-first. Approaches are evaluated from the company representatives' point of view, university programming teachers' point of view, and students' of informatics fields point of view. The main benefit of the thesis is a set of recommendations for teaching students as a result of developers' opinions and opinions of students who went through these programming subjects. The thesis includes recommendation for students, who are going to work as developers.
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Optimalization of material flow in automotive industry
Kolář, Tomáš ; Jirsák, Petr (advisor) ; Vinš, Marek (referee)
This master thesis is focussed on optimalization of material flow in an automotive company. First part introduce theoretical background. Automotive industry and its actual trends on global markets. Follows short introduction of the company where project of this thesis was executed. Main theoretical part describes concept of lean management, its tools in practical examples, but it is also focussed on philosophical approach to the work and mindset of the company. Follows the aplication part based on theoretical background. The whole project of this master thesis is focussed on specific area called PC store. At first this area is showed in context of overall material flow. Shortly there are introduced processes and areas where full material packaging flows. Follows deeper analysis and optimalization of PC store itself. There are three approaches of stock and lead time reduction applied. Last part shows the comparison of initial and future state including performed changes.
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Developing open approach to mathematics in future primary school teachers
Samková, L. ; Tichá, Marie
In our contribution we focus on the possibility to develop open approach to mathematics in future primary school teachers during a university course on mathematics conducted in inquiry-based manner. We analyse data obtained in the beginning and in the end of the course with respect to two main aspects related to open approach to mathematics: searching for all solutions of a task, and acceptance of different forms of notation of a given solution. Data analysis revealed in the participants three different shifts towards open approach to mathematics, and showed that after the active participation in the course each of the participants improved at least in one of the monitored aspects, and that none of the participants got worse in any of the aspects.
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Geodiversity values as a basis for geosite and geomorphosite assessment: a case study from Žďárské vrchy Highland
Bajer, A. ; Kirchner, Karel ; Kubalíková, L.
Paper presents geodiversity values, geodiversity is understood as a set of geological, geomorphological and pedological components, including systems consisting of this components and geological, geomorphological and pedological processes. Geodiversity values are analyzed in relation to ecosystem values (e.g. cultural, functional value). Geodiversity values were used as basis for a methodical approach to geosite and geomorphosite assessment. Methodological approach is presented at selected sites in the top part of the Žďárské vrchy Highland. The acquired results can serve as a basis for geoconservation of PLA Žďárské vrchy, development of geotourism as well as an offer for extension geoeducational activities.\n
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