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Long-range cross-correlations: Tests, estimators and applications
Krištoufek, Ladislav ; Vácha, Lukáš (advisor) ; Di Matteo, Tiziana (referee) ; Peng Liu, Rui (referee) ; Onali, Enrico (referee)
The motivation of this thesis is to provide a basic framework for treating long-range cross-correlated processes while keeping the methodology and as- sumptions as general as possible. Starting from the definition of long-range cross-correlated processes as jointly stationary processes with asymptotically power-law decaying cross-correlation function, we show that such definition implies a divergent at origin cross-power spectrum and power-law scaling of covariances of partial sums of the long-range cross-correlated processes. Chap- ter 2 describes these and other basic definitions and propositions together with necessary proofs. Chapter 3 then introduces several processes which possess long-range cross-correlated series properties. Apart from cases when the mem- ory parameter of the bivariate memory is a simple average of the parameters of the separate processes, we also introduce a new kind of process, which we call the mixed-correlated ARFIMA, which allows to control for both the bi- variate and univariate memory parameters. Chapter 4 deals with tests for a presence of long-range cross-correlations. We develop three new tests, and Monte-Carlo-simulation-based statistical power and size of the tests are com- pared. The newly introduced tests strongly surpass the already existing one. In Chapter 5,...
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Comovement of Stock Markets and Commodities: A Wavelet Analysis
Vavřina, Marek ; Vácha, Lukáš (advisor) ; Princ, Michael (referee)
The thesis applies the wavelet analysis to four developed stock market indices (USA, UK, Germany and Japan), four developing stock market indices (Brazil, China, India, Russia) and four commodities (Gold, Crude oil, Heating oil and Natural gas) and it aims to reveal how they comoved in the period of the Global financial crisis, which began in the USA as the Subprime mortgage crisis. Also the potential presence of contagion caused by the bankruptcy of Lehman Brothers bank is investigated. In addition the Granger causality test is applied to give a different perspective and to extend the analysis. Empirical results revealed that the wavelet correlation of stock markets and commodities differ significantly when talking about the short-term and the long-term horizon. This information can be utilized in the portfolio analysis. The wavelet analysis revealed contagion coming from the USA to the German and Brazil stock market, Crude oil and Heating oil market after the bankruptcy of Lehman Brothers. The Granger causality test indicates that there is a very strong causal relationship between stock markets and commodities and it differs at different scales.
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European Real Estate Investment Trusts: Analyzing Correlation with a DCC-GARCH Model
Jílek, Jiří ; Jandík, Tomáš (advisor) ; Vácha, Lukáš (referee)
Bibliographic Record JÍLEK, Jiří. European Real Estate Investment Trusts: Analyzing Correlation with a DCC- GARCH Model. Prague, 2012. 50 p. Master thesis (Mgr.) Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies. Supervisor: Tomáš Jandík MA MSc MRICS. Abstract The main goal of this thesis is to study the interdependencies between returns of European real estate investment trusts (REITs) and other investment asset classes such as European equities, government bonds and commodities. The thesis is divided into two parts: in the first part, we describe the necessary background that led to the emergence of first REIT structures and also provide an overview of the European REITs market. In the second part, we apply the Dynamic Conditional Correlation GARCH (DCC-GARCH) model to examine correlations between the above mentioned asset classes. The general understanding of real estate is that it provides diversification benefits to a diversified portfolio. However, our results suggest that returns of European REITs and stocks show a relatively high correlation and more importantly, the correlation increases in time. These findings have significant implications for investors and portfolio managers who seek protection for their portfolios in time of market downturns. Our results...
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Agent-based behavioral finance
Jarolímek, Tomáš ; Švarc, Petr (advisor) ; Vácha, Lukáš (referee)
This bachelor thesis criticizes current conception of economics and introduces new approach called complexity economics. It mainly concerns with unrealistic and reality deforming assumptions, static form of economics and efficient-market hypothesis. On the other side positively evaluates findings of behavioral economics and usage of modern computer-related computational methods. For this purpose it introduces new model of artificial stock market based on prospect theory and continuous double auction.
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Modeling financial markets using heterogenous agent models
Benčík, Daniel ; Vácha, Lukáš (advisor) ; Baruník, Jozef (referee)
This thesis deals with the application of heterogeneous agent models (HAM) in the area of financial markets. In the first part, we introduce the concept of HAMs, review examples of several earlier models in order to provide the reader with a general picture of applications of HAMs in finance. Subsequently, we move on to describe the original model developed by Brock, Hommes (1998) and continue by describing modifications proposed by Barunik, Vacha and Vosvrda (2009). Next, we move to the analysis of the modified model's behavior, including its ability to simulate stylized facts observed in real financial markets. In the last part of this work, we provide descriptions of our simulation/experimental setups and conclude by summarizing the results of these. We finish this thesis by suggesting possible future research topics regarding the investigated model that might shed more light on its behavior and thus hopefully enhance our understanding of how real financial markets operate.
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Detection of the Cars Approaching the Crossroad
Vácha, Lukáš ; Orság, Filip (referee) ; Rozman, Jaroslav (advisor)
Traffic monitoring using computer vision is becoming the desired system in practice. It allows nondestructive installation and also is very useful in many applications. This thesis focuses on automatic detection of vehicles approaching to a crossroads. This work also includes description of selected methods for detecting moving vehicles and the way of tracking them. On the basis of these methods is designed application that is implemented and tested in different lighting and weather conditions and various direction of approaching vehicles.
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GSM Based Remote Control and Monitoring
Vácha, Lukáš ; Orság, Filip (referee) ; Váňa, Jan (advisor)
This thesis deals with a draft of a system working in the GSM Based Remote Control and Monitoring. Based on the draft a device of own design, controllable by SMS messages, is then built. The device can set its outputs, monitor inputs and inform the user about possible changes. It is possible for the user to control and monitor the device with the help of an application or SMS message from a mobile phone.
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Synchronization Signal Generator for Musical Applications
Vácha, Lukáš ; Přinosil, Jiří (referee) ; Schimmel, Jiří (advisor)
This bachelor thesis deals with analysis of MIDI´s protocol and especially by the implementation of synchronization methods. The aim of this thesis is suggestion and creating of a prototype of equipment, which transmits one sort of synchronization code and enables its direct extension on produced equipment. First part of solution of this thesis deals with MIDI in general, its history, hardware definition and protocol analysis, especially by analysis of methods and by types of synchronization. The main attention is devoted to MIDI Click/SPP code, which is also implemented in created prototype. The second part of this thesis deals with proposal of hardware solution of prototype, where is parsed a principle of involvement and used components in detail. The third part describes software proposal of solving from necessary initializations of microcontrollers up to operations with individual circumferences. There is also analyzed a customer service. Last, fourth part of thesis deals with realization of prototype, its revival and testing. There is stated value of properties of prototype, some suggestions for possible extension and summary of achieved aims of this thesis in the end.
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Two-axis Stabilized Aerial Photography Platform
Vácha, Lukáš ; Hasmanda, Martin (referee) ; Strašil, Ivo (advisor)
This diploma thesis deals with design and realization of control board with controlling program for stabilization platform application. Thesis is splitted in to six parts. In first part of thesis are summarized required parameters and properties of proposed system together with explanation of necessary theoretical basics. In second part of thesis is made analysis of sensors which are designated for sensing necessary magnitudes. Namely then magnetometer, accelerometer, gyroscope. For every sensor is there made analysis of influence caused by parasitic effects. In conclusion of second part is made choice of concrete sensors by choosing sensory module. Third part deals with conception of mechanical solution. Fourth part of thesis deals with design and construction of control board and also with description of circuit functional blocks. This is followed with fifth part which describing program equipment of board with setting up sensory module. In last part of thesis are described conclusions of testing.
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