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Technical Analysis
Kratochvíl, Bohumír ; Dřímal, Dominik (referee) ; Novotná, Veronika (advisor)
Master´s thesis goal that the author hopes to achieve is a design of an application aiding stock technical analysis based on identified needs. Based on analysis regarding modules for technical analysis of current trading platforms, I found out there is a certain space for improvement. Implemented trading rules and technical indicators of the application itself are further examined in terms of prognostic success rate on historical data. Selected chapters of technical analysis are fundamental base for this master´s thesis.
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Algoritmické obchodování párů
Razumňak, Michal ; Stádník, Bohumil (advisor) ; Fučík, Vojtěch (referee)
Pair trading is a well-known strategy based on statistical arbitrage. This strategy uses a short-term deviation from the mean value of the price ratio of two highly correlated stocks from the same sector as the opportunity to open a position. When ratio returns to its mean value again, the position closes. This strategy has been used for many years and the main outcome of this thesis was to test whether this strategy can be profitable even in current market conditions. For that purpose, data ranging from 2010 to April 2017 on all stocks included in the S&P 500 index were used. It was subsequently found that a pair trading strategy generated 25x higher absolute profit in comparison to random agent. Thus, it can still be considered as a profitable strategy.
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Technical Analysis
Kratochvíl, Bohumír ; Dřímal, Dominik (referee) ; Novotná, Veronika (advisor)
Master´s thesis goal that the author hopes to achieve is a design of an application aiding stock technical analysis based on identified needs. Based on analysis regarding modules for technical analysis of current trading platforms, I found out there is a certain space for improvement. Implemented trading rules and technical indicators of the application itself are further examined in terms of prognostic success rate on historical data. Selected chapters of technical analysis are fundamental base for this master´s thesis.
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The Use of Financial Derivatives to Hedge Against Currency Risks
Daňhel, Tomáš ; Stádník, Bohumil (advisor) ; Mazáček, David (referee)
Diploma thesis is focused on analysis and comparison using financial derivatives to hedge currency risk. The first part of the thesis describes instruments used for hedging: forex forwards, futures contracts and currency options. Those instruments are used for back-testing in analytical part, currency crosses used for back-testing are EUR/USD, EUR/GBP and GBP/USD. The main goal of this thesis is to evaluate the posibility of using them to hedge currency risk, comparison of their efectivity and application.
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