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Statistical properties of the liquidity and its influence on the volatility prediction
Brandejs, David ; Krištoufek, Ladislav (advisor) ; Burda, Martin (referee)
This master thesis concentrates on the influence of liquidity measures on the prediction of volatility and given the magic triangle phenomena subsequently on the expected return. Liquidity measures Amihud Illiquidity, Amivest Liquidity and Roll adjusted for high frequency data have been utilized. Dataset used for the modeling was consisting of 98 shares that were traded on S&P 100. The time range was from 1st January 2013 to 31st December 2014. We have found out that the liquidity truly enters into the return-volatility relationship and influences these variables - the magic triangle interacts. However, contrary to our hypothesis, the model shows up that lower liquidity signifies lower realized risk. This inference has been suggested by all three models (3SLS, 2SLS and OLS). Furthermore, we have used the realized variance and bi-power variation to separate the jump. Our second hypothesis that lower liquidity signifies higher frequency of jumps was confirmed only for one of two liquidity proxies (Roll) included in the resulting logit FE model. Keywords liquidity, risk, volatility, expected return, magic triangle, price jumps, realized variance, bi-power variation, three-stage least squares model, logit, high-frequency data, S&P 100 Author's e-mail david.brandejs@seznam.cz Supervisor's e-mail...
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Comparison of double auction bidding strategies for automated trading agents
Vach, Daniel ; Maršál, Aleš (advisor) ; Burda, Martin (referee)
Comparison of double auction bidding strategies for automated trading agents Bc. Daniel Vach Absctract In this work, ZIP, GDX, and AA automated bidding strategies are compared in symmetric agent-agent experiments with a variable composition of agent population. ZIPOJA, a novel strategy based on ZIP with Oja's rule extension for updating its optimal price, is introduced. Then it is showed that ZIPOJA underperforms in competition against other strategies and that it underperforms even against the original ZIP. Dominance of AA over GDX and ZIP is questioned and it is showed that it is not robust to composition changes of agent population and that the experimental setup strongly affects the results. GDX is a dominant strategy over AA in many experiments in this work in contrast to the previous literature. Some mixed strategy Nash equilibria are found and their basins of attraction are shown by dynamic analysis.
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Modeling Liquidity Adjusted Value at Risk Using Quantile Regression Analysis
Nguyen Quang, Dung ; Baruník, Jozef (advisor) ; Burda, Martin (referee)
The master's thesis deals with modeling Value at Risk model adjusted by liquid- ity. For this purpose we use quantile regression analysis and liquidity proxies. We find out that Garman-Klass volatility estimator can be very useful in pe- riod 2000-2008 for the small and mid-size semiconductor companies but not in period 2008-2015. The NASDAQ composite Garman-Klass volatility is useful for all semiconductor companies for period 2008-2015. We might conclude that from the outbreak of the crisis returns of all semiconductor companies might depend on movement of NASDAQ composite index. We use Amihud and Roll measures as the liquidity proxies but the results are not persuasive regardless or size of companies and period we analyzed. JEL Classification G11, G14, G17, G18, G32 Keywords liquidity, value at risk, quantile regression Author's e-mail michalnd@gmail.com Supervisor's e-mail barunik@utia.cas.cz Abstrakt Diplomová práce se zabývá modelováním hodnoty v risku upravenou o likvid- itu. Pro tuto analýzu jsme použili kvantilovou regresi a proměnné indikující likviditu. Došli jsme k závěru, že Garman-Klass volatility estimator je velmi užitečný pro malé a středně velké firmy operující na trhu s polovodiči a to v ob- dobí 2000-2007, nikoliv však období 2008-2015. NASDAQ composite...
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Marketing strategy of Ford on the Czech market
Kliská, Veronika ; Průša, Přemysl (advisor) ; Burda, Martin (referee)
This work deals with the marketing strategy of Ford and its goal is to analyze it and also analyze the perception of the brand on the Czech market. Furthermore it is a proposal of some solutions to improve its weaknesses. The first part focuses on the theory of the individual components of the marketing strategy. It deals with marketing concepts, marketing plan and mix and with different parts of the marketing communication. The second part describes the main historical milestones of the Ford Motor Company, its role in the Czech Republic and the analysis of the current state of the automotive market in the Czech Republic. There are also analyzed the results of several surveys focused on the perception of Ford cars on the Czech market and proposed solutions for its improvement. The third part analyzes the marketing strategy and the individual components of marketing mix. The final section contains several suggestions for improving the weaknesses of the marketing strategy of this brand.
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Pollution of the earth's orbit in the context of the theory of property rights
Burda, Martin ; Ryvolová, Ivana (advisor) ; Chalupníček, Pavel (referee)
Earth's orbit as a space for placement of telecommunication satellites and other objects is growing in importance for the economic development of mankind. Serious problem, however, is the so-called space debris pollution from human activities. The aim of this work is to provide a comprehensive view of the Earth's orbit contamination in relation to the institution of property rights. First, the discussion focuses on current international legal arrangements in this area, its development and implications. This is followed by an economic analysis of a space pollution, the argument is considered that pollution of the orbit is a logical consequence of incompletely specified property rights. The thesis also deals with the establishment of property rights with respect to whether the institute is viable and economically efficient. The conclusion of the work presents a discussion of alternatives in solving the problem of manmade space pollution.
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