03185ntm a22005057i 4500 000532578 CZ-PrVSE 20170625175336.0 m d cr n|||||||||| 170625s2017 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Ulyanin, Alexey ISIS:101386 dis Korelační analýza akciových indexů pomocí Empirical Mode Decomposition eng Correlation Analysis of Stock Indices Using Empirical Mode Decomposition / Alexey Ulyanin 2017 ?? stran : digital, PDF soubor Vedoucí práce: Michal Černý Bakalářská práce (Bc.)—Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky, 2017 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2017 This thesis studies dependence of ?nancial time series, represented by stock indices of geographically separated economics. Daily prices of selected stock indices from 01.05.1988 to 20.04.2017 are used for the analysis. In the fi?rst section the dataset is described. The second section goes through methodology for the analysis, including empirical mode decomposition (EMD) algorithm, with the help of which the initial time series can be transformed into a few time series, that are mostly independent on each other, for further analysis (for example, correlation analysis). EMD is an interesting method of signal processing, which may help to look at the time series analysis from a different perspective. The thesis should extend the work of Guhathakurta et al. (2008) and extend the time scale and number of indices. Correlation analysis is also performed on the initial time series and the transformed ones. The aim of this thesis is to prove, whether stock indices of geographically separated economics have similarities in their behavior and test whether they are dependent on each other, by using methods from Guhathakurta et al. (2008) extended by correlation analysis. Způsob přístupu: Internet matematické metody v ekonomii [obor bakal. práce] bakalářské práce fd132403 czenas bachelor's theses eczenas financial time series correlation analysis empirical mode decomposition EMD Černý, Michal mzk2005275013 ths Formánek, Tomáš ISIS:46723 opn Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky kn20010709399 dgg https://insis.vse.cz/zp/61414/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/61414 Hlavní práce https://insis.vse.cz/zp/61414/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/61414/posudek/oponent/53606 Oponentura https://insis.vse.cz/zp/61414/podrobnosti dc:identifier NEPOSILAT VSKP vse61414 170624 61414