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Statistical Arbitrage in Algorithmic Trading of US Bonds
Juhászová, Jana; Stádník, Bohumil; Janda, Karel
2017 - English
Tato práce se zabývá specifickou strategií statistické arbitráže při algoritmickém obchodování amerických státních dluhopisů ve zvoleném období mezi roky 1980 až 2017. Cílem této práce je dokázat, že při události, která je výjimečná pro americké dluhopisy, přesněji znovu otevření emise dochází ke vzniku arbitrážní příležitosti, která umožňuje investorovi systematicky realizovat zisk na trhu se státními dluhopisy. Tato závěrečná práce obsahuje teoretický úvod do problematiky algoritmického obchodování a statistické arbitráže. Na základě těchto poznatků formulujeme hypotézy, které testujeme v aplikační části prostřednictvím simulace algoritmu obchodujícího na historických datech. Srovnáním těchto strategií konstatujeme, že tato strategie je smysluplná, je výnosnější nežli náhodné obchodování a umožňuje investorovi realizovat dodatečný zisk. This thesis deals with statistical arbitrage as a strategy applied in algorithmic trading of US Treasury bonds in the selected timeframe from 1980 until 2017. Our aim is to prove that a specific event on the treasury market, namely reopening of the bonds, constitutes an arbitrage opportunity that enables the investor to systematically yield extraordinary profits on the market. This thesis includes a theoretical introduction to algorithmic trading and statistical arbitrage. Based on this introduction we formulate hypotheses, which are then tested in the application part by constructing an algorithm that simulates a trading strategy on historical data. Comparing three strategies we determined that this strategy is meaningful, or performs better than a random walk and that it is profitable.
Keywords:
statistická arbitráž; státní dluhopisy; algoritmické obchodování; Treasury bonds; statistical arbitrage; algorithmic trading
Available in digital repository of the Library of University of Economics.
Statistical Arbitrage in Algorithmic Trading of US Bonds
Tato práce se zabývá specifickou strategií statistické arbitráže při algoritmickém obchodování amerických státních dluhopisů ve zvoleném období mezi roky 1980 až 2017. Cílem této práce je dokázat, že ...
The impact of environmental conditions on young entrepreneurs' start-up activities
Blšáková, Daniela; Matuštík, Ondřej; Oškrdal, Václav
2017 - English
Diplomová práce se zabývá vlivy, které ovlivňují mladé lidi ve věku 18 až 24 při zakládání start-upů. Hlavním cílem diplomové práce bylo zjistit, jaké podmínky prostředí ovlivňují vznik start-upů a jak se podmínky prostředí od roku 2000 v Číně, Spojených státech amerických a Evropě lišily. V práci jsou popsány tři modely, které vysvětlují podnikatelské záměry sloužící pro lepší pochopení lidského chování při zakládání podniků. Diplomová práce obsahuje popis osobních a environmentálních faktorů, které jsou založeny na současných studiích. Vzhledem k pojmenování práce byl testován pouze vliv faktorů prostředí a jedné části modelu. Analýza byla provedena na veřejně přístupných datech od Global Entrepreneurship Monitor. The diploma thesis deals with the influences that affect young people aged 18 to 24 in the establishment of start-ups. The main aim was to find out which environmental factors influence emergence of youth start-ups and how they differ in Europe, China and the US over time. The thesis describes three models that explain the entrepreneurial intentions and that serve better understanding of human behavior in setting up businesses. Further the thesis includes a description of the individual and environmental factors that are based on current studies. Due to the title of thesis only the impact of environmental factors was tested. The analysis was conducted on a public data of the Global Entrepreneurship Monitor.
Keywords:
start-up; student; vliv prostředí; start-up; student; environmental impact
Available in digital repository of the Library of University of Economics.
The impact of environmental conditions on young entrepreneurs' start-up activities
Diplomová práce se zabývá vlivy, které ovlivňují mladé lidi ve věku 18 až 24 při zakládání start-upů. Hlavním cílem diplomové práce bylo zjistit, jaké podmínky prostředí ovlivňují vznik start-upů a ...
Working capital and profitability of manufacturing companies
Kaikaryte, Gabija; Procházka, David; Žárová, Marcela
2017 - English
The financial state of the most companies was significantly challenged by the last decade. Thus, financial managers must be aware of all factors that can contribute to the firm`s profitability in order to fight unstable economical environment. Working capital management`s effect on profitability has been raised recently and its importance is already known. This thesis aims to dig deeper into the relationship between working capital management and firm`s profitability across different sectors and different time periods. The subject for the empirical analysis are 908 UK manufacturing and 315 construction firms during the period of 2006-2013. The results indicate about the strong negative relationship between working capital, measured as cash conversion cycle (CCC) and gross operating profitability. Thus, it is an indicator that working capital and its characteristics must be included in the firm`s financial planning. The financial state of the most companies was significantly challenged by the last decade. Thus, financial managers must be aware of all factors that can contribute to the firm`s profitability in order to fight unstable economical environment. Working capital management`s effect on profitability has been raised recently and its importance is already known. This thesis aims to dig deeper into the relationship between working capital management and firm`s profitability across different sectors and different time periods. The subject for the empirical analysis are 908 UK manufacturing and 315 construction firms during the period of 2006-2013. The results indicate about the strong negative relationship between working capital, measured as cash conversion cycle (CCC) and gross operating profitability. Thus, it is an indicator that working capital and its characteristics must be included in the firm`s financial planning.
Keywords:
Working capital; Business cycle; Profitability; Profitability; Working capital; Business cycle
Available in digital repository of the Library of University of Economics.
Working capital and profitability of manufacturing companies
The financial state of the most companies was significantly challenged by the last decade. Thus, financial managers must be aware of all factors that can contribute to the firm`s profitability in ...
International agile teams in digital and virtual environment
Liška, Radek; Brunet-Thornton, Richard; Bureš, Vladimír
2017 - English
Diplomová práce je zaměřena na výzkum vybraného mezinárodního týmu, pracujícího v rámci agilních metodik řízení práce. Členové zkoumaného týmu jsou rozmístěni především v Evropě a část týmu je lokalizovaná v Indii, což představuje ideální kombinaci pro zodpovězení vybraných výzkumných otázek. Klíčové zkoumané faktory zahrnují mezikulturní spolupráci, organizační strukturu, analýzu virtuálních nástrojů užívaných daným týmem a další významné prvky týmové práce. Výzkum je založen na dotazníkovém šetření a na strukturovaných interview provedených mezi členy zkoumaného týmu. Závěr práce obsahuje seznam doporučení k úpravě organizace týmu a ohodnocení mezinárodních faktorů ovlivňujících daný tým. Výzkum dále poskytl podklady k plánu pro optimalizaci pracovních procesů. Oblast se prokázala jako atraktivní pro další výzkumnou činnost, diplomová práce tedy zahrnuje technická doporučení pro potencionální další výzkum. The thesis discusses research on a selected international team that incorporates agile methodology framework. The team is distributed among multiple European states and has off-shore members in India. The research questions include cross-cultural aspects of teamwork, organizational viewpoint as well as other key areas of team cooperation. Analysis is performed based on questionnaire distribution and a series of structured interviews with members of the researched team. Research findings include a list of recommended changes to team organization and evaluation of cross-cultural and factors of cooperation and their impact. Research has provided an action plan and a set of research observations that include deep analysis of teamwork, the area has proven to be attractive for further research, hence the thesis is concluded with suggestions in this area.
Keywords:
Mezinárodní týmy; Mezikulturní management; Agilní týmy; Virtuální spolupráce; Virtual co-operation; International teams; Agile teams; Cross-cultural management
Available in digital repository of the Library of University of Economics.
International agile teams in digital and virtual environment
Diplomová práce je zaměřena na výzkum vybraného mezinárodního týmu, pracujícího v rámci agilních metodik řízení práce. Členové zkoumaného týmu jsou rozmístěni především v Evropě a část týmu je ...
Evaluation of Philips Group split through financial analysis tools
Larionova, Ksenia; Brůna, Karel; Gevorgyan, Kristine
2017 - English
Tato práce se zaměřila na zkoumání metod používaných pro hodnocení nadnárodních a diverzifikovaných firem a následné využití těchto metod pro vyhodnocenií skupiny Philips a jejího rozhodnutí odštěpit sektor osvětlení. Přestože již existují četné metody a parametry používané k analýze firem, zůstávají velmi omezené pro nadnárodní a rozmanité podniky, jako jsou Philips Group nebo General Electric. V této diplomové práci byly hypotézy založeny na teorii firmy a testovány analýzou efektivnosti zadluženosti, ziskovosti a účinnosti. Tato studie poukazuje na obtížnost analýzy nadnárodních diverzifikovaných firem v důsledku velmi omezené dostupnosti dat. Tak, navzdory velkému počtu ukazatelů popsaných v literatuře, skutečně vypočítána může být pouze malá část za použití veřejně dostupných dat. Hypotézy byly založeny na práci vyvinuté Chenem a Guem (2005). První hypotéza byla založená na analýze kapitálového omezení, druhá hypotéza analyzovala tempo a směry vývoje jednotlivých sektorů s využitím poměru ziskovosti a efektivnosti, a třetí hypotéza byla založena na sledováni výkonnost akcií před a po oznámení odštěpu, abychom zjistili, zda motivem rozdělení bylo zvýšení cen akcií. Bylo zjištěno, že společnost Philips Group a její světelný sektor neprokázaly žádne kapitálové omezení, avšak v rámci analyzovaných čísel se zjistila významná míra nedostatečné výkonnosti, což naznačuje, že divize Philips Lighting nebyla dostatečně dobrá ve vytváření hodnoty pro akcionáře jako divize HealthTech. Rozhodnutí skupiny Philips se soustředit na podnikání společnosti HealthTech bylo navíc pozitivně akceptováno na akciových trzích, což potvrzuje třetí hypotézu. This thesis aimed to examine methods used to evaluate multinational and diversified firms and then use these methods to study the Philips Group and its decision to spin-off of the Philips Lighting sector. Although numerous methods and parameters used to analyze firms already exist, they remain very limited for multinational and diversified firms such as Philips Group or General Electric. In this thesis, hypotheses were based on the theory of the firm and tested using analysis of leverage, profitability and efficiency ratios. This study shows the difficulty of analysing multinational diversified firms caused by a very limited availability of data set. Thus, despite of a great number of ratios described in the literature, only a small portion can be in fact computed using publicly available data. Hypotheses were based on the the paper developed by Chen and Guo (2005). First hypothesis, based on the analysis of capital constraint was attempted, secondly the pace and directions of individual sectors were analysed using profitability and efficiency ratios and thirdly the stock performance was observed. All of this in order to examine whether the motive of the split was to increase the stock prices. It was found that Philips Group nor its Lighting sector did not experience capital constraints, nevertheless an important degree of underperformance amidst analysed figures was found, which suggested that Philips Lighting division was not as good in creating value for shareholders as the HealthTech division was. Moreover, the decision of Philips Group to concentrate on its HealthTech business was positively accepted on stock markets confirming the third hypothesis.
Keywords:
finanční ukazatele; finanční analýza; teorie firmy; financial ratios; theory of the firm; financial analysis
Available in digital repository of the Library of University of Economics.
Evaluation of Philips Group split through financial analysis tools
Tato práce se zaměřila na zkoumání metod používaných pro hodnocení nadnárodních a diverzifikovaných firem a následné využití těchto metod pro vyhodnocenií skupiny Philips a jejího rozhodnutí odštěpit ...
Evaluation of risk management and financial performance of BMW Group
Mysina, Amira; Brůna, Karel; Pour, Jiří
2017 - English
Effective risk and financial management possess a great challenge for the multinational companies operating globally. Despite the increasing development of diverse hedging strategies against foreign exchange risk, global firms cannot fully foresee and measure the degree of the impact of foreign currency fluctuations. This paper aims to evaluate the exchange risk management and financial performance of the BMW Group from the year 2005 to 2016. Moreover, this paper is devoted to provide explanatory information on the impact of foreign exchange exposure on the financial performance of the company by the usage of information provided by the annual reports. The first section of the paper establishes the theoretical concepts of risk management with emphasis on exchange rate risk and financial performance analysis, which support the following study. The analysis of the industry and BMW Group business operations worldwide, currency movement, detailed accounting examination, financial ratio, peer group, exchange rate exposure and hedging strategies are performed to examine the relation between the financial performance and foreign exchange risk management. The analysis reveals that the effective hedging strategies against the foreign exchange risk may substantially impact the financial performance and overall positioning of the company in the competitive environment. Effective risk and financial management possess a great challenge for the multinational companies operating globally. Despite the increasing development of diverse hedging strategies against foreign exchange risk, global firms cannot fully foresee and measure the degree of the impact of foreign currency fluctuations. This paper aims to evaluate the exchange risk management and financial performance of the BMW Group from the year 2005 to 2016. Moreover, this paper is devoted to provide explanatory information on the impact of foreign exchange exposure on the financial performance of the company by the usage of information provided by the annual reports. The first section of the paper establishes the theoretical concepts of risk management with emphasis on exchange rate risk and financial performance analysis, which support the following study. The analysis of the industry and BMW Group business operations worldwide, currency movement, detailed accounting examination, financial ratio, peer group, exchange rate exposure and hedging strategies are performed to examine the relation between the financial performance and foreign exchange risk management. The analysis reveals that the effective hedging strategies against the foreign exchange risk may substantially impact the financial performance and overall positioning of the company in the competitive environment.
Keywords:
Financial Performance; Risk Management; BMW Group; Financial Performance; Risk Management; BMW Group
Available in digital repository of the Library of University of Economics.
Evaluation of risk management and financial performance of BMW Group
Effective risk and financial management possess a great challenge for the multinational companies operating globally. Despite the increasing development of diverse hedging strategies against foreign ...
Asset Pricing in Emerging Markets
Ajrapetova, Tamara; Witzany, Jiří; Fičura, Milan
2017 - English
General content: Current methods of estimation of cost of capital in the emerging markets are often neglecting various contradictions with the essentials of the model structure and assumptions. As the result of such imprecisions, the cost of equity is often understated (overstated). This thesis will attempt to assess current level of emerging market integration, liquidity and concentration. This will be followed by evaluation of traditional and alternative models for estimation of cost of equity. The author will address several currently available models such as Credit Rating Model, D-CAPM model, various versions of traditional CAPM models. Furthermore, she will compare and contrast their limitations taking into account the context of emerging markets. The testing of the models will be performed on country basis through the means of index data. In the last chapter, discussion of the results and possible improvements of the valuation approaches will take place. General content: Current methods of estimation of cost of capital in the emerging markets are often neglecting various contradictions with the essentials of the model structure and assumptions. As the result of such imprecisions, the cost of equity is often understated (overstated). This thesis will attempt to assess current level of emerging market integration, liquidity and concentration. This will be followed by evaluation of traditional and alternative models for estimation of cost of equity. The author will address several currently available models such as Credit Rating Model, D-CAPM model, various versions of traditional CAPM models. Furthermore, she will compare and contrast their limitations taking into account the context of emerging markets. The testing of the models will be performed on country basis through the means of index data. In the last chapter, discussion of the results and possible improvements of the valuation approaches will take place.
Keywords:
Asset Pricing Theory; Capital Asset Pricing Models; Emerging Markets; Capital Asset Pricing Models; Emerging Markets; Asset Pricing Theory
Available in digital repository of the Library of University of Economics.
Asset Pricing in Emerging Markets
General content: Current methods of estimation of cost of capital in the emerging markets are often neglecting various contradictions with the essentials of the model structure and assumptions. As the ...
IFRS Adoption and Its Influence on Capital Markets in Transition Countries: The Case of Russia
Talykova, Gerenzel; Procházka, David; Vašek, Libor
2017 - English
Capital markets development is an integral part of overall economic growth of any country. Accounting harmonization is aimed to increase the attractiveness of capital markets by creation of synchronized financial reporting environment globally so that the capital is effectively allocated with the lowest costs and increased liquidity. To the date, more than a hundred of countries implemented IFRS into the national accounting frameworks, therefore the need for the assessment of the real impacts on capital markets is obvious. The main goal of this study is to identify whether there is statistical evidence of the relationship between decreased/increased cost of equity capital among Russian listed companies and mandatory adoption of IFRS. Theoretical part includes an overview of the relevant theory, reasons of accounting harmonization as well as potential challenges. There are also described the main findings and real evidences of adoption impacts on the main capital and financial markets. Practical part of this paper is aimed to investigate whether the proposed benefits of IFRS adoption may be similarly observed in an environment of transition economy. Capital markets development is an integral part of overall economic growth of any country. Accounting harmonization is aimed to increase the attractiveness of capital markets by creation of synchronized financial reporting environment globally so that the capital is effectively allocated with the lowest costs and increased liquidity. To the date, more than a hundred of countries implemented IFRS into the national accounting frameworks, therefore the need for the assessment of the real impacts on capital markets is obvious. The main goal of this study is to identify whether there is statistical evidence of the relationship between decreased/increased cost of equity capital among Russian listed companies and mandatory adoption of IFRS. Theoretical part includes an overview of the relevant theory, reasons of accounting harmonization as well as potential challenges. There are also described the main findings and real evidences of adoption impacts on the main capital and financial markets. Practical part of this paper is aimed to investigate whether the proposed benefits of IFRS adoption may be similarly observed in an environment of transition economy.
Keywords:
Cost of equity capital; International Financial Reporting Standards; Transition economy; Russia; Russia; Cost of equity capital; International Financial Reporting Standards (IFRS); Transition economy
Available in digital repository of the Library of University of Economics.
IFRS Adoption and Its Influence on Capital Markets in Transition Countries: The Case of Russia
Capital markets development is an integral part of overall economic growth of any country. Accounting harmonization is aimed to increase the attractiveness of capital markets by creation of ...
The Agricultural Company Management and Environment
Baštýřová, Jiřina; Syrovátka, Oldřich; Šlesinger, Jaromír
2017 - English
Cílem práce je posouzení hospodaření středně velké zemědělské farmy v reálném prostředí. V teoretické části práce je přiblížena problematika současného stavu využívání krajiny zemědělci, kteří stále kladou důraz primárně na ekonomickou funkci. Následně je v rámci rešerše popsán alternativní způsob hospodaření, ekologické zemědělství, a jeho současný stav v České republice. Poslední kapitola této části je věnována Společné zemědělské politice EU a jejím nástrojům. V rámci výzkumu je proveden popis zájmové oblasti, ve které zkoumaná farma hospodaří a následně i popis postupů hospodaření farmy a její ekonomické zhodnocení. Následně jsou navržena krajinná opatření, která jsou šetrná k životnímu prostředí a zohledňují kromě ekologické funkce i funkci sociální. Tento způsob hospodaření je posouzen ekonomicky a součástí tohoto zhodnocení je i nastínění problematiky systému dotací. The objective of the present thesis is to evaluate economic activities of a medium-sized agricultural farm in a real environment. The theoretical part of the thesis is engaged with the problems of the current scale of use of the landscape by farmers who continue to lay emphasis primarily on the economic function. Subsequently, in pursuance of our research, an alternative method of farming, i.e. organic farming, is described, along with the contemporary situation of this sphere in the Czech Republic. The last chapter of the theoretical part examines the Common Agricultural Policy of the EU and the tools thereof. In the framework of our research, the area of interest in which the farm observed works is described, and processes of the farm´s economic activities and economic evaluation are delineated. Next, environmentally-friendly landscape measures are proposed which take into consideration both the ecologic and social functions. This method of farming is evaluated in terms of economy and this evaluation includes an outline of the problems of the system of subsidies
Keywords:
zemědělství; udržitelný rozvoj; životní prostředí; management krajiny; sustainable development; environment; agriculture; landscape management
Available in digital repository of the Library of University of Economics.
The Agricultural Company Management and Environment
Cílem práce je posouzení hospodaření středně velké zemědělské farmy v reálném prostředí. V teoretické části práce je přiblížena problematika současného stavu využívání krajiny zemědělci, kteří stále ...
Designing Performance Measurement System for Strategic Optimize-Sourcing Function in the Professional Services Firm
Mysin, Roman; Wagner, Jaroslav; Matyáš, Ondřej
2017 - English
The development and application of performance measurement systems for a purchasing function within a professional service company possesses a great challenge for both practitioners and academics. Despite the increasing popularity of this topic, the systems that are currently developed are rarely adequate to be applicable at the business-unit level. Furthermore, the existing productivity measures are predominantly designed to measure performance in industries where the inputs and outputs are both tangible and standardized items. Intangible and non-quantifiable factors of production cannot be reliably measured by manufacturing performance methodologies. Consequently, purchasing professionals seek tools to accurately track purchasing performances and connect it to given business strategies and objectives. This paper aims to develop a design of the performance measurement system that can be applicable onto the optimize-sourcing department of the selected firm of this study. The first section of the paper outlines key performance measurement concepts and establishes a theoretical framework that supports the following research. Subsequent questionnaires and interviews that were conducted with vital stakeholders reveal the flaws of the current performance measurement system. Conclusions derived from the interviews and questionnaires support the findings of extensive literature reviews. In the following chapters, the paper focuses on the development of the new model that overcomes limitations of the model in use. The thesis also lists additional recommendations on the implementation phase of the new model. In the final section, this paper emphasizes the limitations of the proposed model and describes potential challenges related to the implementation phase. The development and application of performance measurement systems for a purchasing function within a professional service company possesses a great challenge for both practitioners and academics. Despite the increasing popularity of this topic, the systems that are currently developed are rarely adequate to be applicable at the business-unit level. Furthermore, the existing productivity measures are predominantly designed to measure performance in industries where the inputs and outputs are both tangible and standardized items. Intangible and non-quantifiable factors of production cannot be reliably measured by manufacturing performance methodologies. Consequently, purchasing professionals seek tools to accurately track purchasing performances and connect it to given business strategies and objectives. This paper aims to develop a design of the performance measurement system that can be applicable onto the optimize-sourcing department of the selected firm of this study. The first section of the paper outlines key performance measurement concepts and establishes a theoretical framework that supports the following research. Subsequent questionnaires and interviews that were conducted with vital stakeholders reveal the flaws of the current performance measurement system. Conclusions derived from the interviews and questionnaires support the findings of extensive literature reviews. In the following chapters, the paper focuses on the development of the new model that overcomes limitations of the model in use. The thesis also lists additional recommendations on the implementation phase of the new model. In the final section, this paper emphasizes the limitations of the proposed model and describes potential challenges related to the implementation phase.
Keywords:
Management Accounting; Performance Measurement; Performance Management; Performance Measurement; Management Accounting; Performance Management
Available in digital repository of the Library of University of Economics.
Designing Performance Measurement System for Strategic Optimize-Sourcing Function in the Professional Services Firm
The development and application of performance measurement systems for a purchasing function within a professional service company possesses a great challenge for both practitioners and academics. ...
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