|
|
Characterisation of the Physical Chemical Processes Using the Fractal and Harmonic Analysis
Haderka, Jan ; Nešpůrek, Stanislav (referee) ; Mikula,, Milan (referee) ; Zmeškal, Oldřich (advisor)
Existuje mnoho různých způsobů jak analyzovat disperzní systémy a fyzikálně chemické processy ke kterým v takových systémech dochází. Tato práce byla zaměřena na charakterizaci těchto procesů pomocí metod harmonické fraktální analýzy. Obrazová data sledovaných systémů byly analyzovány pomocí waveletové analýzy. V průběhu práce byly navrženy různé optimalizace samotné analýzy, převážně zaměřené na odstranění manuálních operací během analýzy a tyto optimalizace byly také inkorporovány do softérového vybavení pro Harmonickou Fraktální Analýzu HarFA, který je vyvíjen na Fakultě chemické, VUT Brno.
|
|
|
Remodeling of the intima-media complex of the common carotid artery and left ventricle myocardium in patients with primary and secondary hypertension
Majtan, Bohumil ; Holaj, Robert (advisor) ; Piťha, Jan (referee) ; Danzig, Vilém (referee)
Arterial hypertension ranks among the most prevalent cardiovascular disorders and represents one of the most significant risk factors for cardiovascular morbidity and mortality. Beyond hypertension itself, additional hemodynamic and neuroendocrine influences contribute to the pathological mechanisms that induce structural alterations in the cardiovascular system. Of notable importance in this process is the excessive production of aldosterone and catecholamines. The objective of the research has been to study the impact of aldosterone and catechola- mine excess on intima-media complex remodeling in the common carotid artery and left ventricular wall in primary aldosteronism (PA) and pheochromocytoma (PHEO) patients. Texture analysis of the intima-media complex of the common carotid artery was conducted in 33 PA patients, 52 EH patients, and 33 normotensive individuals. 140 Haralick features and 10 wavelets were analyzed and utilized to train an XGBoost classifier. Additionally, the intima-media thickness (IMT) of the common carotid artery and left ventricular mass index (LVMi) were examined in 50 PHEO patients before and 5 years post- adrenalectomy and compared to 50 EH patients. In differentiating between PA and EH, we achieved a classification accuracy of 73 %, compared to the clinical gold...
|
|
|
Modeling of Long Memory in Volatility Using Wavelets
Kraicová, Lucie ; Baruník, Jozef (advisor) ; Adam, Tomáš (referee)
ii Abstract This thesis focuses on one of the attractive topics of current financial literature, the application of wavelet-based methods in volatility modeling. It introduces a new, wavelet-based estimator (wavelet Whittle estimator) of a FIEGARCH model, ARCH- family model capturing long-memory and asymmetry in volatility, and studies its properties. Based on an extensive Monte Carlo experiment, both the behavior of the new estimator in various situations and its relative performance with respect to two more traditional estimators (maximum likelihood estimator and Fourier-based Whittle estimator) are assessed, along with practical aspects of its application. Possible solutions are proposed for most of the issues detected, including suggestion of a new specification of the estimator. This uses maximal overlap discrete wavelet transform instead of the traditionally used discrete wavelet transform, which should improve the estimator performance in all its applications, not only in the case of FIEGARCH model estimation. The thesis concludes that, after optimization of the estimation setup, the wavelet-based estimator may become an attractive robust alternative to the traditional methods.
|
|
|
Co-jumping of yield curve
Fišer, Pavel ; Baruník, Jozef (advisor) ; Vácha, Lukáš (referee)
The main focus of the thesis is on jumps and co-jumps and their influence on the term structure of the U.S. Treasury bond futures contracts. Using high frequency data I am able to quantify to which extent co-jumps affect the correlation between bond futures pairs with different maturities which is not common in the literature. In order to separate the price process into continuous and discontinuous components represented by jumps and to pre- cisely localize significant co-jumps a new wavelet-based estimator is used for the analyses. Furthermore, I am studying the co-jump behavior in response to scheduled macroeconomic news announcements. Empirical findings re- veal strong influence of co-jumps to the correlation structure of bond futures across all maturity pairs as well as a significant link between Federal Open Market Committee news announcements and higher probability of co-jump occurrence.
|
|
|
Investment horizon in the CAPM: A comparison of a wavelet-based decomposition and the fractal regression
Spousta, Radek ; Krištoufek, Ladislav (advisor) ; Vácha, Lukáš (referee)
This thesis study two promising methods used to define the multiscale CAPM - the wavelet-based decomposition and the fractal regression. Their estimates, obtained on monthly excess return on ten portfolios formed on beta in the US market, are compared in the period from November 2000 to October 2020 and, subsequently, in the period from November 1965 to October 2020. In the first period, the multiscale beta is not significantly different from the original single-scale beta for most of the portfolios. Contrary, both methods uncover significant multiscale behavior of the beta in the second period. Specifically, the high-beta portfolios have higher multiscale beta at longer investment horizons, mainly at wavelet scale 3 and scales 12-24 of the fractal regression. Overall, both methods deliver consistent results, and seem suitable for extending the CAPM with an investment horizon. JEL Classification Keywords G12, C20 CAPM, asset pricing, multiscale analysis, wavelets, fractal regression Title Investment horizon in the CAPM: A comparison of a wavelet-based decomposition and the fractal regression
|
|
| |
|
|
Fama-French Model: Multiscale Portfolio Analysis
Spousta, Radek ; Kraicová, Lucie (advisor) ; Teplý, Petr (referee)
This thesis studies the empirical relationship between excess asset returns and the Fama−French risk factors at various scales using a combination of the Fama−French model and wavelet-based methods. We re-examine previously published results obtained for six portfolios formed on size and book-to-market ratio in the U.S. market, and focus on the influence of different scales on the original results. We conclude that the most the total variance of the risk factors and excess portfolio returns is concentrated at scale 1 and 2, which corresponds to periodicities of 2-4 months and 4-8 months, respectively. Next, we observe significant variation in estimated parameters across different scales. Furthermore, some of the Fama−French risk factors are strongly correlated at scale 2, 3 and 4, which is unobservable in standard correlation matrix. Overall, the multiscale approach seems beneficial for analysis of the Fama−French three-factor model as it reveals information that remains hidden to traditional methods.
|
|
|
Neglected gravitational redshift in detections of gravitational waves
Křížek, Michal ; Somer, L.
In 2016, the letter [1] about the first detection of gravitational waves was published. They were generated by two merging black holes that had approximately 36 and 29 Sun’s masses. However, the authors have not taken into account a large gravitational redshift of this binary system, which is a direct consequence of time dilation in a strong gravitational field. Thus the proposed masses are overestimated. In our paper we also give other arguments for this statement.
|
|
|
Co-jumping of yield curve
Fišer, Pavel ; Baruník, Jozef (advisor) ; Vácha, Lukáš (referee)
The main focus of the thesis is on jumps and co-jumps and their influence on the term structure of the U.S. Treasury bond futures contracts. Using high frequency data I am able to quantify to which extent co-jumps affect the correlation between bond futures pairs with different maturities which is not common in the literature. In order to separate the price process into continuous and discontinuous components represented by jumps and to pre- cisely localize significant co-jumps a new wavelet-based estimator is used for the analyses. Furthermore, I am studying the co-jump behavior in response to scheduled macroeconomic news announcements. Empirical findings re- veal strong influence of co-jumps to the correlation structure of bond futures across all maturity pairs as well as a significant link between Federal Open Market Committee news announcements and higher probability of co-jump occurrence.
|
|
|
Environment for Lifting
Kubový, Jan ; Pelikán, Josef (advisor) ; Lokoč, Jakub (referee)
The aim of the thesis is to create a library that will provide ease way to cre- ating and experimenting with computing networks. The concpet of computing netowork can be explained as algorithms whitch can be devided into small simple parts (nodes). The main focus of this library is to easily experiment with trans- formations based on lifting. There are inverse operations for these connections, which are used for lossless compression of data or signal. Emphasis was put on the simplicity of creating new nodes and subsequent connections. An integral part of the work is also an example of several transformations based on lifting.
|
guest ::
