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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Dynamika poptávky a nabídky na burze / Order book dynamics

Peržina, Vít January 2017 (has links)
Main goal of this thesis is improvement of an order book model so that it behaved more realistically, based on a model developed by J. Plačková in her diploma thesis in 2011. We consider this simple model for evolution of order book in which limit orders of unit size arrive according to independent Poisson processes. Frequency of buy limit orders below resp. sell limit orders above a given price level is described by demand and supply functions. Buy (resp. sell) limit orders that arrive with price above (resp. below) the current ask (resp. bid) price are converted into market orders and cancellation of orders is not allowed. We extend this model by introducing market makers who place at the same time one buy and one sell limit order with current bid and ask prices. We show how introducing market makers reduces the spread that in the original model was unrealistically large and also show a method of calculating the precise rate of market makers needed to reduce the spread to zero. 1
2

Tvorba spolehlivostních modelů pro pokročilé číslicové systémy / Construction of Reliability Models for Advanced Digital Systems

Trávníček, Jan January 2013 (has links)
This thesis deals with the systems reliability. At First, there is discussed the concept of reliability itself and its indicators, which can specifically express reliability. The second chapter describes the different kinds of reliability models for simple and complex systems. It further describes the basic methods for construction of reliability models. The fourth chapter is devoted to a very important Markov models. Markov models are very powerful and complex model for calculating the reliability of advanced systems. Their suitability is explained here for recovered systems, which may contain absorption states. The next chapter describes the standby redundancy. Discusses the advantages and disadvantages of static, dynamic and hybrid standby. There is described the influence of different load levels on the service life. The sixth chapter is devoted to the implementation, description of the application and description of the input file in XML format. There are discussed the results obtaining in experimental calculations.
3

Predikce v projektech s využitím Markovských řetězců / Prediction in Projects using Markov Chains

Doležal, Jan January 2010 (has links)
This thesis is focused on possibilities of a project development prediction and a decision support for managers of those projects, which is an up to date topic in the present time turbulent environment. Project is understood as a stochastic process with discrete states and discrete time in this thesis. This approach could be represented by discrete moments of finding out project state. Project is compared to a finite automaton and Markovs chains are subsequently used. State model of the project based on Earned Value Management method is created in the proposal part of this thesis and there are state transitions probabilities. There are adjustments of the model designed consequently so the model is capable to fit some concrete situation closely. Designed proposals are tested in different situations to prove their value in the experimental part of this work.
4

Exponenciální řízení homogenních markovských procesů / Exponenciální řízení homogenních markovských procesů

Stanek, Pavol January 2012 (has links)
Title: Exponential control of homogeneous Markov processes Author: Pavol Stanek Department: Department of Probability and Mathematical Statistics, MFF UK Supervisor: Mgr. Peter Dostál Ph.D., Department of Probability and Mathematical Statistics, MFF UK Abstract: This master thesis concerns exponential control of Markov decision chains. An iterative alghorithm for finding a control, that maximizes a long term growth rate of expected utility is developed. The utility is measured by exponential utility function. The algorithm is derived for both discrete time and continuous time chain. Subsequently, the results are applied on the problem of optimally managing port- folio with proportional transaction costs. The dynamics of the investor's position is derived and the consequent process is approximated by Markov chain. Using the iterative alghorithm, the optimal trading strategy is numerically found. Keywords: exponential control, Markov chain, portfolio optimization, proportional transaction costs 1
5

Stiglerův Luckockův model pro limit order book / The Stigler-Luckock model for a limit order book

Fornůsková, Monika January 2019 (has links)
THE STIGLER-LUCKOCK MODEL FOR A LIMIT ORDER BOOK Abstract One of the types of modern-day markets are so-called order-driven markets whose core component is a database of all incoming buy and sell orders (order book). The main goal of this thesis is to extend the Stigler-Luckock model for order books to give a better insight into the price forming process and behaviour of the market participants themselves. The model introduced in this thesis focuses on a comparison of behaviour and various strategies of market makers who are sophisticated market participants profiting from extensive trading. The market is described using Markov chains, and the strategies are compared using Monte Carlo simulations and game theory. The results showed that market makers' orders should have small spread and large volumes. The final model compares two strategies in which market makers monitor their portfolio. In case of having more cash than asset (or vice versa), they shift prices of their orders to equalise the portfolio. The model recommends checking the market quite often, but acting conservatively, which means not changing prices that frequently and not jumping to conclusions just from a small imbalance in the portfolio.
6

Dynamický model ceny jízdného / Dynamic fare model

Kislinger, Jan January 2017 (has links)
The problem of creating dynamic fare model consists of two tasks - estimating demand for train tickets and multistage optimization of price of fare. We introduce a model of inhomogeneous Markov process for the process of selling the tickets in this thesis. Because of the complexity of the state space the optimization problem needs to be solved using simulation methods. The solution was implemented in R language for single-stage and two-stage problems. Before this application we summarize the theory of inhomogeneous Markov process with special attention to process with separable inhomogeneity. Then we propose methods for estimating the intensity using maximum likelihood theory. We also describe and compare two algorithms for simulated optimization. Powered by TCPDF (www.tcpdf.org)
7

Aplikace pro zpracování dat z oblasti evoluční biologie / Application for the Data Processing in the Area of Evolutionary Biology

Vogel, Ivan January 2011 (has links)
Phylogenetic tree inference is a very common method for visualising evolutionary relationships among species. This work focuses on explanation of mathematical theory behind molecular phylogenetics as well as design of a modified algorithm for phylogenetic tree inference based on intra-group analysis of nucleotide and amino acid sequences. Furthermore, it describes the object design and implementation of the proposed methods in Python language, as well as its integration into powerful bioinformatic portal. The proposed modified algorithmic solutions give better results comparing to standard methods, especially on the field of clustering of predefined groups. Finally, future work as well as an application of proposed methods to other fields of information technology are discussed.
8

Scénářové struktury ve vícestupňových stochastických úlohách / Scenario structures in multistage stochastic programs

Harcek, Milan January 2018 (has links)
This thesis deals with multi-stage stochastic programming in the context of random process representation. Basic structure for random process is a scenario tree. The thesis introduces general and stage-independent scenario tree and their properties. Scenario trees can be also combined with Markov chains which describe the state of the system and determine which scenario tree should be used. Another structure which enables reduce the complexity of the problem is a scenario lattice. Scenario generation is performed using moment method. Scenario trees are used for representation of random returns as the input to the investment problem.
9

Scénářové struktury ve vícestupňových stochastických úlohách / Scenario structures in multistage stochastic programs

Harcek, Milan January 2019 (has links)
This thesis deals with multi-stage stochastic programming in the context of random process representation. Basic structure for random process is a scenario tree. The thesis introduces general and stage-independent scenario tree and their properties. Scenario trees combined with Markov chains are also introduced. Markov chains states determine if there is a crisis period or not. Information about historical number of crises helps us to construct a scenario lattice. Scenario generation is performed using moment method. Scenario trees are used as an input to the investment problem.
10

Dopady metody tvorby a zúčtování opravných položek banky na její hospodaření

Pečinková, Lucie January 2020 (has links)
The diploma thesis deals with the creation of loans provisions in banks. The need for adjustments is based on the existence of credit risk and this thesis presents techniques of credit risk measurement and applied credit risk indicators. Before calculating provisions, it is necessary to classify receivables, whose parameters are also discussed in the thesis. The practical part focuses on methods of calculating provisions. The method of coefficients, discounted cash flow method and statistical methods are compared. Markov model and gross roll rate model were selected from statistical methods. The findings were evaluated and recommendations were made based on the findings.

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