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Analyze and economic time series forecasting by using selected statistical methods
Skopal, Martin ; Charvát, Pavel (referee) ; Mauder, Tomáš (advisor)
V této diplomové práci se zaměřujeme na vytvoření plně automatizovaného algoritmu pro předpovědi finančních řad, který se snaží využít kombinační proceduru na dvou úrovních mezi dvěma rodinami předpovědních modelů, Box-Jenkins a Exponenciální stavové modely, které jsou schopny modelovat jak homoskedastické tak heteroskedastické časové řady. Pro tento účel jsme navrhli selekční proceduru v prostředí MATLAB pro modely ARIMA. Výsledný kombinovaný model je pak aplikován několik finančních časových řad a jeho výkonost je diskutována.
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Time Series Prediction
Dvořáček, Tomáš ; Rozman, Jaroslav (referee) ; Hříbek, David (advisor)
The aim of this thesis is to design and implement a program that will be able to analyze and predict the future evolution of univariate and multivariate time series from a given input. Statistical approaches and approaches where time series are predicted using neural networks have been used in the solution.
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Analyze and economic time series forecasting by using selected statistical methods
Skopal, Martin ; Charvát, Pavel (referee) ; Mauder, Tomáš (advisor)
V této diplomové práci se zaměřujeme na vytvoření plně automatizovaného algoritmu pro předpovědi finančních řad, který se snaží využít kombinační proceduru na dvou úrovních mezi dvěma rodinami předpovědních modelů, Box-Jenkins a Exponenciální stavové modely, které jsou schopny modelovat jak homoskedastické tak heteroskedastické časové řady. Pro tento účel jsme navrhli selekční proceduru v prostředí MATLAB pro modely ARIMA. Výsledný kombinovaný model je pak aplikován několik finančních časových řad a jeho výkonost je diskutována.
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Top Stocks: A Broad Analysis of Its Performance and Search for Hidden Relationships
Veselá, Barbora ; Polák, Petr (advisor) ; Kurka, Josef (referee)
01 Abstract This thesis focuses on the exploration of the basic characteristics of the Czech equity fund 'TOP STOCKS - open mutual fund' and a detailed analysis of the portfolio performance with respect to industry classification. Uniquely collected data from the fund's establishment allow us to make analysis to the fullest extent possible. Additionally, our dataset may be the basis for further studies of this fund as it is the first of its kind and scope. The research question investigates the connection between the portfolio performance and its industrial structure. Various classification schemes are summarised in the first part of the thesis, including the Global Industry Classification Standard used in our study. Subsequently, appropriate tools for a regression and forecast analysis are presented, mainly the Box-Jenkins method used to fit the ARIMA model to historical data and forecast values of weekly NAV. The results show that a stock-picking strategy operates effectively and immediately reacts to the market development of industry groups, resulting in a protection of investors. Also, the exchange rate commitment of the Czech National Bank supported excessive cash inflow to the fund resulting in considerable performance stimulation during last years. Future research may build on these findings.
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Coffee Trading on Commodity Markets
Kašička, Jan ; Málek, Jiří (advisor) ; Fičura, Milan (referee)
This thesis offers a comprehensive view of coffee trading on commodity markets. To describe the behavior of prices and their volatility, ARCH and GARCH models are used. These models analyse coffee prices of selected regions in Ethiopia, the birth place of coffee. The thesis connects the characteristics of soft commodity with current knowledge of financial econometrics. It also describes the effects of changes in exchange rates and oil prices on the price of coffee. Price volatility is examined with regard to deregulation and reforms on this market within the last three decades. Developments in the developing world caused a significant need for the progression and identification with the hedging instruments. These are closely linked to the globalized market with coffee, so it is conversely possible to absorb the shocks on small growers, who are significantly impacted by the globalized world.
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Analysis of monthly precipitation totals from selected monitoring stations in Europe
Krause, Patrik ; Helman, Karel (advisor) ; Kladívko, Kamil (referee)
This thesis is focused on analysis of time series of monthly precipitation totals for four European stations for the years 1913 to 2012. The data were obtained from European database of ECA&D. The aim of this thesis is to find out development of time series and predict precipitation for the year 2013. Prediction of future development of time series is made by using regression modeling of seasonality and Box-Jenkins methodology and the results obtained by the two methods are then compared. The thesis is divided into theoretical and practical parts.
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Analysis of selected demographic time series
Strada, Ondřej ; Helman, Karel (advisor) ; Bašta, Milan (referee)
The aim of this finish work is an analysis of selected demographic time series and calculation of their predictions. Concretely, it deals with time series of annual crude birth rate, crude death rate, and the average age of mothers at first birth, all for the time period of 1960-2013. First, demographic terms used further in the work are defined. There is also a theoretical part describing the statistical methods used, specifically the methodology of time series from authors Box-Jenkins. Developement of each time serie is evaluated socio-demographically and the procedure of selecting the most appropriate interpolation model and calculation of predictions derived from it are described. There is also description of a process of selecting a suitable model based on the extrapolation method of predictions with Rolling Origin, construction of predictions derived from it and their comparison with the most suitable interpolation model. At the end there is a comparison of the time series of crude birth rate between the Czech Republic and selected developed country (Sweden), which brings interesting results.
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Analysis of expenditures of households on culture focused on film industry
Procházková, Romana ; Vltavská, Kristýna (advisor) ; Hanzlík, Jan (referee)
The aim of this work is a statistical analysis of expenditures of households on culture, description of current economical situation in the field of cinematography, characteristics of a cinemagoer and a projection of future developmental tendencies of cinemas. The first two chapters are dedicated to a description of the current state of the Czech cinematography and information about the evolution of the Czech film production. The third theoretical part describes basic statistical methods used in the practical part of this work. The fourth part is focused on a film viewer -cinemagoer using MML-TGI method and it also includes analysis of the dependence of expenditures of households for culture on the cinema ticket price. The fifth part is dedicated to a projection of the future development of the attendance and receipts of cinemas. The final chapter deals with the state of European cinematography.
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