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Vliv vybraných proměnných na trh s kryptoměnami
Doležal, Daniel
Doležal, D. The impact of selected variables on the cryptocurrency market. Diploma thesis. Brno: Mendel University, 2023. The thesis deals with the selection of individual factors and the subsequent identification of whether or not these factors have an influence on the development of the price of Bitcoin. The variables are selected based on scientific articles that deal with this issue and subsequently are subjected to regression analysis. The analysis itself focuses on the period from the last Bitcoin halving, i.e. on those variables that could have potentially influenced the development of the price of our asset in the last approximately three years. The focus is on the general influence of explanatory variables that influence the price of Bitcoin, but also on a comparison of the significance and nature of the influence of individual determinants on the second largest cryptocurrency by market capitalization, Ethereum. The results of the work are critically evaluated with scientific articles and recommendations for investors are made based on the information obtained.
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Vplyv sentimentu správ na obchodovanie inštitucionálnych investorov na Forexe
Holá, Silvia
The bachelor thesis examines the impact of the irrational factor, the sentiment of economic and financial announcements, on exchange rates traded on the forex market. The framework of the paper is based on the theory of behavioral economics, drawing attention to the psychological aspects that explain the behavioral anomalies of investors. The analysis refers to the EUR/USD currency pair that institutional investors trade most often. The results of the paper indicate the economic inconsistency of sentiment, which points to the inappropriateness of including this irrational factor in investment decision.
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Dynamika zmien devízového kurzu v čase
Glaichová, Klaudia
Tato bakalářská práce se zabývá dynamikou změn determinantů devizového kurzu v čase vybraných světových párů - EUR/USD, GBP/USD, JPY/USD. Práce si klade za cíl na základě teoretických přístupů k determinaci devizového kurzu identifikovat makroekonomické ukazatele, které mají vliv na devizový kurz a identifikovat a popsat změny vybraných makroekonomických determinantů pohybu kurzu v čase. Změny determinantů v čase, které mohou být úzce spjaty s chováním a strategií jednotlivých centrálních bank, jsou identifikovány pomocí QLR testu přítomnosti strukturálních zlomů a následně je ověřována statistická významnost těchto zlomů prostřednictvím Chow testu. Závislost mezi jednotlivými měnovými páry a makroekonomickými determinantmi je zkoumána pomocí metody klouzavých korelačních koeficientů při různých délkách okna, jejichž vychýlení jsou v empirické části práce blíže specifikovány a zdůvodněné.
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Analysis of the Impact of Media Important Events on Financial Markets
Siuda, Vojtěch ; Witzany, Jiří (advisor) ; Fičura, Milan (referee)
This thesis analyses the impact of announcements of macroeconomic indicators in United States on price development of the VIX Futures, S&P500 Futures and EUR/USD FX rate. Theoretical part contains construction and description of individual markets. Empirical part investigates the reaction of market prices after 1, 10 and 30 minutes after announcement of an individual indicator value on a market surprise demonstrated as a difference between reported value and analysts' expectations. We tried to find a systematic reaction of market participants and the pace of absorption of new information into the market price. There have been found minimum of situations, where we explained the market move as a linear combination of market surprise. However, there was a several cases, where the market did not adjust to announced information quickly and was inefficient in a short period. In the second part of empirical research we tested all significant models on an out-sample data. The goal was to determine whether the market inefficiencies persisted and stable profit could be achieved. We analysed the brutto performance, then netto performance including all transaction costs. Finally, we defined a simple trading rules with a purpose of profit stabilization and lowering the riskiness of trades. For VIX Futures and EUR/USD markets we achieved a low loss, respectively negligible profit. For S&P 500 Futures we obtained a profit strategies for all selected indicators, total profit was high with a very low volatility of invested capital.
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Economic analysis of currency pair EUR/USD
Peťura, Michal ; Procházka, Petr (advisor) ; Václav, Václav (referee)
This thesis deals with the relationship of exchange rate theory regarding the currency pair EUR / USD. The theoretical part defines the fundamental issue of exchange rates, exchange-rate regimes and the foreign exchange market, where the exchange rates are made. The crucial part of the theory is devoted to economic theories causing currency movements. In conclusion of the theoretical part attention is also given to econometric methods and statistics time series analysis.
The analytical part of the thesis examines the short and long term relationships of purchasing power parity, the theory of parity of interest rates and monetary approach to the exchange rate for the currency pair EUR / USD. A regression analysis is used for investigating short-term relationships, and is applied to the relative changes in the value of the currency pair EUR / USD and the changes in the relative values of the theory of exchange rate determination. The long-term equilibrium relationship is analyzed by using a cointegration analysis, specifically the Engle-Granger and Johansen tests. The estimated results are evaluated and discussed in the final part of the thesis.
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Analysis of technical indicators on foreign exchange market
Čermák, Jakub ; Musílek, Petr (advisor) ; Veselá, Jitka (referee)
The goal of this diploma work is aplication of technical analysis indicators, especially trend indicators and oscillators. Analysis was made for period of 5 years back on one title from foreign exchange market. Analysis indentifies whether are indicators more profitable than benchmark in the long term. Analysis also examine whether combination of indicators earn more, than indicators themselves.
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Fundamental analysis of the exchange rate of EUR/USD
Ševčík, Václav ; Brůna, Karel (advisor) ; Langer, Miroslav (referee)
The aim of this thesis is empirical verification of the fundamental theory of exchange rate determination in the case of the currency pair EUR/USD. The theoretical part is devoted to the issue of exchange rate theory, with emphasis on the importance of the currency pair EUR/USD, and major characteristics of the fundamental theory of exchange rate determination. Attention is also paid to methods of analysis of time series, which will be used in the analytical part. The analytical part is devoted to an empirical verification of the underlying theories. On the basis of these theories are developed econometric models, which are then tested using the methods of linear regression and cointegration. The results of the models and their relevance are discussed in conclusion.
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