03157ntm a22005297i 4500 000264237 CZ-PrVSE 20220907191439.0 m d cr n|||||||||| 220907s2022 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Ponomarenko, Daria ISIS:143259 dis Hodnocení stacionárity vysokofrekvenčních dat pro párové obchodování Mastercard a Visa eng Stationarity Evaluation of Mastercard and Visa High-Frequency Data for Pairs Trading / Daria Ponomarenko 2022 ?? stran : digital, PDF soubor Vedoucí práce: Vladimír Holý Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky, 2022 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2022 A plot thread of stationarity concept runs through the thesis, where the main question is how important is stationarity analysis for time series in general and in trading time series in particular. With development of technologies trades are becoming faster and intervals for data transfers are getting smaller. Nowadays, we need to deal with a high-frequency data to compete on market, and special data requires specific treatment and methodology. Pairs trading strategy is build on an idea of market inefficiencies, which can be monitored, modelled and forecasted. Profit earning is an essential goal for each investor, and accurately predicted pairs variance promises assured income. However, is it possible to frame a model with this sharp prediction ability? The main condition for this is stationarity. Stationarity guarantees trend stability in time, hence, model efficiency. In the this work we are evaluating stationarity and investigating methods how to deal with it, which models are suitable for stationary forecasting and is it even possible to predict stationarity. Způsob přístupu: Internet ekonometrie a operační výzkum [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas ARIMA time series pairs trading high-frequency data high-frequency trading stationarity Holý, Vladimír ISIS:116093 ths Krautwurm, Petr ISIS:119323 opn Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky kn20010709399 dgg https://insis.vse.cz/zp/75113/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/75113 Hlavní práce https://insis.vse.cz/zp/75113/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/75113/posudek/oponent/76064 Oponentura https://insis.vse.cz/zp/75113/podrobnosti dc:identifier NEPOSILAT VSKP vse75113 220830 75113