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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Capital Market Hypotheses and Their Statistical Implications: A Comparative Study
 Petras, Petr ; Krištoufek, Ladislav (advisor) ; Křehlík, Tomáš (referee)
In this bachelor thesis we focus on different Market Hypotheses. Specifically on Efficient Market Hypothesis, Fractal Market Hypothesis and Coherent Market Hypothesis. In the first part of the work we provide description of researched hypotheses and methods used for testing. In the second part of the work we run test on time series of share markets, gold markets and currency markets and test if our hypotheses can provide explanation about price changes on those markets. For Efficient Market Hypothesis we wonder if prices are following random walk (via augmented Dickey-Fuller test), if residuals are normally distributed (via Shapiro-Wilk and Jarque-Bera tests) and if residuals are uncorrelated (via Box-Pierce test). For Fractal Market Hypothesis we are trying to find value of Hurst exponent via Rescaled Range analysis. This exponent describes if time series are persistent or not. And for Coherent Market Hypothesis we develop simple method for testing if some time periods can yield above-average revenues, thanks to increased mean and decreased standard deviation. After that we find out what are consequences of short time series and different frequencies for obtaining data points and we learn that some hypotheses describes different time periods or lengths better and are not so good for different ones. Powered...
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Hurst Exponent and Randomness in Time Series
 Zeman, Martin ; Trešl, Jiří (advisor) ; Hušek, Roman (referee)
The main goal of this thesis is to test the ability of the Hurst exponent to recognise some processes with deterministic signal as nonrandom and to test the randomness of daily stock returns of three stocks traded in BCPP. Critical values to determine the critical region of a randomness hypothesis test were set for this purpose. Another goal of the thesis is the description of the Hurst exponent estimation by means of Rescaled Range Analysis and outline some problems accompanying this estimation if the Hurst exponent would be used as a randomness indicator. Within the frame of Rescaled Range Analysis was constructed another method that showed to be successful in recognising some series that contain deterministic signal.
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