. " financial markets" . "15"^^ . "2007-05-02+02:00"^^ . "Within the project suggested, high-frequency time-series of stock prices and exchange rates together with corresponding relative returns will be analysed. It is supposed the use of input data both from domestic and foreign capital markets and the solution during the following stages: 1. The computation of elementary descriptive characteristics and finding of optimal theoretical distributions for returns, the application of adaptive methods (moving averages, exponential smoothing) and spectral analysis, the testing of returns randomness. 2. The performing of necessary simulations and analytical studies, particularly with the use of the models of conditional volatility (ARCH, GARCH) and further suitable non-linear models (threshold, autoregressive etc.). The development of methods for detection and quantification of chaotic behavior and the testing of the presence of a system noise. 3. The evaluation of the efectiveness of the most used indicators employed in technical analysis and"@en . "15"^^ . . . "2008-12-16+01:00"^^ . . . . . "Analyses of time series of daily relative returns related to the most liquid stocks at Prague Stock Exchange and PX index itself were performed. As for modelling, symmetric GARCH(1,1) model combined with autoregressive model AR(1) was mostly sufficient,"@en . . . . . "financial time series; financial markets; modeling"@en . . "V r\u00E1mci navrhovan\u00E9ho projektu budou analyzov\u00E1ny vysokofrekven\u010Dn\u00ED \u010Dasov\u00E9 \u0159ady akciov\u00FDch a m\u011Bnov\u00FDch kurz\u016F a p\u0159\u00EDslu\u0161n\u00FDch relativn\u00EDch v\u00FDnos\u016F. P\u0159edpokl\u00E1d\u00E1 se vyu\u017Eit\u00ED vstupn\u00EDch dat z tuzemsk\u00FDch i zahrani\u010Dn\u00EDch finan\u010Dn\u00EDch trh\u016F a \u0159e\u0161en\u00ED v r\u00E1mci n\u00E1sleduj\u00EDc\u00EDch etap: 1.V\u00FDpo\u010Det element\u00E1rn\u00EDch popisn\u00FDch charakteristik a nalezen\u00ED optim\u00E1ln\u00EDch teoretick\u00FDch rozd\u011Blen\u00ED pro v\u00FDnosy, aplikace adaptivn\u00EDch metod (klouzav\u00E9 pr\u016Fm\u011Bry, exponenci\u00E1ln\u00ED vyrovn\u00E1v\u00E1n\u00ED) a spektr\u00E1ln\u00ED anal\u00FDzy, testov\u00E1n\u00ED n\u00E1hodnosti v\u00FDnos\u016F. 2. Proveden\u00ED pot\u0159ebn\u00FDch simulac\u00ED a analytick\u00FDch studi\u00ED, zejm\u00E9na pomoc\u00ED model\u016F podm\u00EDn\u011Bn\u00E9 volatility (ARCH, GARCH) a dal\u0161\u00EDch vhodn\u00FDch neline\u00E1rn\u00EDch model\u016F (prahov\u00E9, autoregresn\u00ED apod.). Rozpracov\u00E1n\u00ED metod detekce a kvantifikace chaotick\u00E9ho chov\u00E1n\u00ED a testov\u00E1n\u00ED p\u0159\u00EDtomnosti syst\u00E9mov\u00E9ho \u0161umu. 3. Vyhodnocen\u00ED efektivnosti nejpou\u017E\u00EDvan\u011Bj\u0161\u00EDch indik\u00E1tor\u016F technick\u00E9 anal\u00FDzy, slou\u017E\u00EDc\u00ED pro generaci obchodn\u00EDch sign\u00E1l\u016F. Vyu\u017Eit\u00ED neuronov\u00FDch s\u00EDt\u00ED z hlediska predikce budouc\u00EDch hodnot finan\u010Dn\u00EDch \u010Dasov\u00FDch \u0159ad a intervalov\u00FDch" . "2007-12-31+01:00"^^ . . "Analysis of high-frequency data at financial markets"@en . "http://www.isvav.cz/projectDetail.do?rowId=GA402/05/0128"^^ . "1"^^ . "financial time series" . "GA402/05/0128" . "0"^^ . "Byly provedeny anal\u00FDzy \u010Dasov\u00FDch \u0159ad denn\u00EDch relativn\u00EDch v\u00FDnos\u016F nejlikvidn\u011Bj\u0161\u00EDch akci\u00ED na BCPP a indexu PX samotn\u00E9ho. Z hlediska modelov\u00E1n\u00ED byl ve v\u011Bt\u0161in\u011B p\u0159\u00EDpad\u016F posta\u010Duj\u00EDc\u00ED symetrick\u00FD model GARCH(1,1) v kombinaci s autoregresn\u00EDm modelem AR(1), pouze v o"@cs . . . "Anal\u00FDza vysokofrekven\u010Dn\u00EDch dat na finan\u010Dn\u00EDch trz\u00EDch" . "2005-01-01+01:00"^^ . "0"^^ . . . .