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National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
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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Hadoop and Business Intelligence
 Kerner, Josef ; Šperková, Lucie (advisor) ; Augustín, Jakub (referee)
The main purpose of this thesis is to describe how an integration of a Hadoop platform into currently existing Business Intelligence technologies and processes can augment its data processing and analysis capabilities while encountering Big Data. Furthermore, it describes reasons why the whole Hadoop application ecosystem was founded and informs the reader about the functionality of its primary components. It continues with provision of overview about Hadoop higher-level components architecture and their use in existing Business Intelligence processes such as data ingestion, transformation and analysis. In the last theoretical chapter it focuses itself on describing specific areas of utilization of the Hadoop platform and Big Data in data warehousing, text mining and predictive analytics. From the practical point of view, a particular use case is provided, an implementation of Big Data ETL process in the field of financial markets and trading with a detailed explanation of the corresponding necessities such as data model, ETL code and proposed metrics, which can be further implemented for achieving increased return on investments.
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