The aim of this work was to analyze selected branch from the stock market through technical and fundamental analysis. The target is to formulate the most appropriate investment strategy for each sector. The starting point for selecting appropriate investment strategy is inefficient market hypothesis. Selection of the investment strategy, depend on the current economic situation. Based on given results, it is not recommended to use any of the strategies. However, it can propose a suitable investment portfolio. The selected investment portfolio is certainly dependent on many factors. Among these factors belongs the current economic situation and investor´s attitude to risk. Choosing an investment strategy is also influenced by the investor's own attitude to the theory of efficient markets. Investors will opt for active or passive investment strategy on the basis of their opinion.

The aim of this diploma work was to analyze a selected segment of the stock exchange market using the theory of market efficiency and the methods of technical and fundamental analysis, to form an optimal investment strategy on the basis of the findings. The American stock exchange market was analyzed. Six different segments of the capital market were selected ? gold, oil and gas pipelines, steel and iron, car parts, food and telecommunication services. Each segment was represented by eight companies. The general characteristics of the companies were compared according to their profits, degree of risk, alpha and beta coefficients. Fundamental analysis was used to monitor the correlation between future profits for 2012 and alpha coefficients for the period 2007 ? 2011. The theory was proven ? at low levels of future profits, high levels of alpha coefficients were measured and vice versa - at high levels of future profits, low levels of alpha coefficients were measured. During efficiency tests, runs tests and correlation tests were monitored. During runs tests, the number of turns of a real file was compared with the number of runs of a simulated file; no distinctive variances were identified in the monitored stock titles. Forms of market efficiency were proven during the correlation tests and runs tests. The methods of technical analysis used were sliding averages, RSI indicators and Momentum. Trading on the basis of technical analysis is not completely possible because we did not succeed in finding an existing optimal strategy. If an optimal strategy works out it is regardless of the segment?s characteristics. I recommend a passive strategy with regards to the fundamental analysis.

My thesis is focused on the construction of automated trading system and evaluation of its trading with selected commodities.

The principal objective of this work is to test the efficiency of the U.S. capital market and to specify the degree of this effectiveness and then to find out the optimal strategy to evaluate the money invested into selected companies. At first there is theory description - the basic classification of securities, explication of the notion of efficiency of capital market, the methods of test the efficiency, several statistic indicators of the capital market like return average, standard deviation or coefficients of the capital market. Following this theoretical base there is create an analyse of one of the most popular capital markets in American index S&P 500 and of its sectors and some securities. Historical dates of years 2003 - 2008 are analysed and on the basis of results there are propositions which strategy to choose. There wasn't directly confirmed effectiveness of U.S. capital market in this work. So there was a possibility to choose an investment strategy to get an above-average return. The results were very influenced by the crisis since 2007.

Dans cette thèse, nous étudions l’estimation de modèles autorégressif-moyenne mobile<p>vectoriels ou VARMA, `a coefficients dépendant du temps, et avec une matrice de covariance<p>des innovations dépendant du temps. Ces modèles sont appel´es tdVARMA. Les éléments<p>des matrices des coefficients et de la matrice de covariance sont des fonctions déterministes<p>du temps dépendant d’un petit nombre de paramètres. Une première partie de la thèse<p>est consacrée à l’étude des propriétés asymptotiques de l’estimateur du quasi-maximum<p>de vraisemblance gaussienne. La convergence presque sûre et la normalité asymptotique<p>de cet estimateur sont démontrées sous certaine hypothèses vérifiables, dans le cas o`u les<p>coefficients dépendent du temps t mais pas de la taille des séries n. Avant cela nous considérons les propriétés asymptotiques des estimateurs de modèles non-stationnaires assez<p>généraux, pour une fonction de pénalité générale. Nous passons ensuite à l’application de<p>ces théorèmes en considérant que la fonction de pénalité est la fonction de vraisemblance<p>gaussienne (Chapitre 2). L’étude du comportement asymptotique de l’estimateur lorsque<p>les coefficients du modèle dépendent du temps t et aussi de n fait l’objet du Chapitre 3.<p>Dans ce cas, nous utilisons une loi faible des grands nombres et un théorème central limite<p>pour des tableaux de différences de martingales. Ensuite, nous présentons des conditions<p>qui assurent la consistance faible et la normalité asymptotique. Les principaux<p>résultats asymptotiques sont illustrés par des expériences de simulation et des exemples<p>dans la littérature. La deuxième partie de cette thèse est consacrée à un algorithme qui nous<p>permet d’évaluer la fonction de vraisemblance exacte d’un processus tdVARMA d’ordre (p, q) gaussien. Notre algorithme est basé sur la factorisation de Cholesky d’une matrice<p>bande partitionnée. Le point de départ est une généralisation au cas multivarié de Mélard<p>(1982) pour évaluer la fonction de vraisemblance exacte d’un modèle ARMA(p, q) univarié. Aussi, nous utilisons quelques résultats de Jonasson et Ferrando (2008) ainsi que les programmes Matlab de Jonasson (2008) dans le cadre d’une fonction de vraisemblance<p>gaussienne de modèles VARMA à coefficients constants. Par ailleurs, nous déduisons que<p>le nombre d’opérations requis pour l’évaluation de la fonction de vraisemblance en fonction de p, q et n est approximativement le double par rapport à un modèle VARMA à coefficients<p>constants. L’implémentation de cet algorithme a été testée en comparant ses résultats avec<p>d’autres programmes et logiciels très connus. L’utilisation des modèles VARMA à coefficients<p>dépendant du temps apparaît particulièrement adaptée pour la dynamique de quelques<p>séries financières en mettant en évidence l’existence de la dépendance des paramètres en<p>fonction du temps.<p> / Doctorat en Sciences / info:eu-repo/semantics/nonPublished

Physiological signals, which are controlled by the autonomic nervous system (ANS), could be used to detect the affective state of computer users and therefore find applications in medicine and engineering. The Pupil Diameter (PD) seems to provide a strong indication of the affective state, as found by previous research, but it has not been investigated fully yet. In this study, new approaches based on monitoring and processing the PD signal for off-line and on-line affective assessment (“relaxation” vs. “stress”) are proposed. Wavelet denoising and Kalman filtering methods are first used to remove abrupt changes in the raw Pupil Diameter (PD) signal. Then three features (PDmean, PDmax and PDWalsh) are extracted from the preprocessed PD signal for the affective state classification. In order to select more relevant and reliable physiological data for further analysis, two types of data selection methods are applied, which are based on the paired t-test and subject self-evaluation, respectively. In addition, five different kinds of the classifiers are implemented on the selected data, which achieve average accuracies up to 86.43% and 87.20%, respectively. Finally, the receiver operating characteristic (ROC) curve is utilized to investigate the discriminating potential of each individual feature by evaluation of the area under the ROC curve, which reaches values above 0.90. For the on-line affective assessment, a hard threshold is implemented first in order to remove the eye blinks from the PD signal and then a moving average window is utilized to obtain the representative value PDr for every one-second time interval of PD. There are three main steps for the on-line affective assessment algorithm, which are preparation, feature-based decision voting and affective determination. The final results show that the accuracies are 72.30% and 73.55% for the data subsets, which were respectively chosen using two types of data selection methods (paired t-test and subject self-evaluation). In order to further analyze the efficiency of affective recognition through the PD signal, the Galvanic Skin Response (GSR) was also monitored and processed. The highest affective assessment classification rate obtained from GSR processing is only 63.57% (based on the off-line processing algorithm). The overall results confirm that the PD signal should be considered as one of the most powerful physiological signals to involve in future automated real-time affective recognition systems, especially for detecting the “relaxation” vs. “stress” states.

Indicadores de qualidade hospitalar correspondem a medidas que contém informações relevantes sobre determinados atributos e dimensões que caracterizam a qualidade de diferentes instituições de saúde. Tais medidas são capazes de sinalizar eventuais deficiências ou práticas de sucesso associadas à qualidade dos serviços de saúde. O presente estudo teve por finalidade desenvolver uma ferramenta computacional de análise, voltada para o gerenciamento hospitalar, com o objetivo de se obter um instrumento que possa ser utilizado para monitorar e avaliar a qualidade dos serviços oferecidos por instituições hospitalares através da análise e gerenciamento de indicadores de qualidade hospitalar. Os indicadores alvo para avaliar a qualidade dos serviços representaram um subconjunto de indicadores de qualidade denominados Inpatient Quality Indicators (IQIs) da Agency for Healthcare Research and Quality (AHRQ). A partir da revisão bibliográfica de textos científicos na área e com base nas dimensões de processo e resultado do Modelo Donabediano, foram selecionados vinte e dois indicadores da AHRQ, que avaliam a mortalidade por determinadas afecções e procedimentos cirúrgicos, bem como a quantidade e a qualidade dos procedimentos realizados nas instituições de saúde. A ferramenta foi construída em dois módulos: um módulo responsável pela geração dos indicadores a partir de dados coletados de um banco de dados relacional; e outro destinado ao estudo e análise das séries temporais dos indicadores, permitindo o acompanhamento da evolução dos mesmos de forma histórica. Os dados utilizados para a geração dos indicadores são oriundos da base de dados do Observatório Regional de Atenção Hospitalar (ORAH), que consiste numa entidade responsável pelo processamento de dados de internação de quarenta hospitais públicos e privados, distribuídos ao longo de vinte e seis municípios da região de Ribeirão Preto, São Paulo, Brasil, que compõem a Departamento Regional de Saúde XIII (DRS-XIII). A ferramenta computacional foi concluída e validade com êxito e suas funcionalidades foram disponibilizadas para gestores de saúde e acadêmicos através do portal web de conteúdo vinculado ao ORAH. Em adição, os resultados obtidos através do uso da ferramenta foram utilizados para analisar a situação da assistência hospitalar na região de Ribeirão Preto através da comparação histórica dos indicadores entre as três microrregiões de saúde que compõem a DRS-XIII: Aquífero Guarani, Vale das Cachoeiras e Horizonte Verde. A análise destes resultados também foi essencial para verificar a capacidade da ferramenta em prover informações relevantes para a gestão hospitalar. A partir da análise dos resultados obtidos, concluímos que a ferramenta permite a definição de um panorama geral da assistência hospitalar na região de Ribeirão Preto. De acordo com os achados deste estudo, também verificamos que os indicadores de qualidade hospitalar da AHRQ cumpriram seu papel como medidas sentinela e foram capazes de identificar certos aspectos associados à realidade. Entretanto, a análise dos resultados também remeteu à necessidade de introduzir novas variáveis que permitam conhecer o real estado dos pacientes e as condições estruturais das diferentes instituições de saúde, visto que os indicadores selecionados, por si só, não fornecem aos gestores de saúde uma avaliação final da qualidade das instituições hospitalares. / Inpatient quality indicators are measures that provide relevant inforrnation on the level of quality of care delivered by hospitals and healthcare services. These measures are capable of signaling eventual problems or successful practices associated with the quality of care provided by health services. This project was aimed to create an instrument to assess the quality of care delivered by hospitals by developing a web application whose functionalities focused on monitoring a subset of inpatient quality indicators (IQIs), extracted from the Agency for Healthcare Research and Quality (AHRQ). Based on literature review and on the components of process and outcomes defined by the Donabedian model, there were selected twenty-two AHRQ\'s inpatient quality indicators that are commonly used to evaluate the mortality associated with certain conditions and procedures, as well as the quantity and quality of certain medical procedures. The software is composed by two components: one is responsible for calculating the indicators using admission data extracted from an operational database; the other one is meant for the study and analysis of time series of the indicators, which allows the monitoring of its values over the years. The indicators were ca1culated using administrative data from the Observatory for Hospital Care\'s database (ORAH, from the acronyrn in Portuguese \"Observatório Regional de Atenção Hospitalar\"). The Observatory for Hospital Care is responsible for processing admission data collected from forty hospitals located throughout Ribeirao Preto region, in the Brazilian state of Sao Paulo. The management of hospitals located in the Ribeirao Preto region is conducted by the Regional Department of Health XIII (DRS-XIII, from the acronyrn in Portuguese \"Departamento Regional de Saúde XIII). The web application\'s services were made available to health service administrators and academic personnel through the ORAH\'s website. The results provided by this computational tool were also used to analyze the situation of care delivered by the hospitals in Ribeirao Preto region, which is subdivided into three microregions: Aquifero Guarani, Horizonte Verde e Vale das Cachoeiras. The historic values of the indicators were compared between these three microregions. The analysis of these results was also important to verify whether the web application is actually able to provi de enough inforrnation to acknowledge the reality of the hospitals in Ribeirao Preto region. According to the results, we verified that the AHRQ\'s inpatient quality indicators have fulfilled their role in signalizing certain aspects related to the quality of care of the hospitals, but they do not provi de enough inforrnation to establish a defini tive quality assessment of hospital services. Therefore, we verified the need of introducing new attributes in order to understand and acknowledge the clinical condition of the hospitalized patients, as well as the structure and resources available in the hospitals.

This diploma thesis deals with the design of a trading strategy and subsequent implementation of an automated trading system for the forex currency market. In this thesis, a "breakout" strategy with trade filtering based on moving average is created. Consequently, an automated trading system for the MetaTrader 4 platform is developed in MQL4 language. This thesis also deals with the back-testing and optimization of the system in order to maximize the stability and profit.

The pressure-time method is one of two methods of measuring the flow rate on large hydraulic structures applicable to IEC 60041, which is based on the temporal integration of the measured pressure difference and the formation of a water hammer in a closed pipe. The aim of this master thesis is to perform a literature review of this method and to evaluate the flow rate of the measured data. Furthermore, the thesis deals with determination of the sensitivity of the evaluated flow rate to the weights of individual pressure sensors and to numerical modifying of the measured pressures. The first part is made using MS Excel. The flow rate is always evaluates with only one pressure sensor and it is compared with the original flow rate. There is research, how absence of the sensor has an impact on the evaluated flow rate. In the second part of the determination of the sensitivity of the evaluated flow rate, various encroachment (signal smoothing, noise, time delay, frequency band removal) are performed of measured pressure signal in Matlab. Various surrounding influences or sensors failures are simulated.

The thesis is focused on the study of detection of QRS complex in time a frequency domain. The aim is to implement selected methods and their comparison to assess the effectiveness of QRS complex.