| Thesis title: |
Aplikace ekonometrických metod v algoritmickém obchodování |
| Author: |
Radil, Martin |
| Thesis type: |
Bakalářská práce |
| Supervisor: |
Neugebauer, Jakub |
| Opponents: |
Hruška, Jakub |
| Thesis language: |
Česky |
| Abstract: |
Tato práce se zabývá vývojem funkčního obchodovacího algoritmu za pomoci ekonometrických modelů v pythonu, jeho propojení na burzu a následné porovnání efektivnosti oproti indexu Dow Jones Industrial Average. |
| Keywords: |
backtesting; hybridní ARIMA-GARCH model; GARCH; High frequency trading; DJIA; bull market; API; ARIMA; bear market |
| Thesis title: |
Application of econometric methods in algorithmic trading |
| Author: |
Radil, Martin |
| Thesis type: |
Bachelor thesis |
| Supervisor: |
Neugebauer, Jakub |
| Opponents: |
Hruška, Jakub |
| Thesis language: |
Česky |
| Abstract: |
This work focuses on the development of a functional trading algorithm with use of econometric models in python, its connection to the stock exchange, and subsequent comparison of its effectiveness against the Dow Jones Industrial Average index. |
| Keywords: |
ARIMA; GARCH; Backtesting; Hybrid model ARIMA-GARCH; API; High frequency trading; DJIA; Bull market; Bear market |
Information about study
| Study programme: |
Matematické metody v ekonomii/Ekonometrie a operační výzkum |
| Type of study programme: |
Bakalářský studijní program |
| Assigned degree: |
Bc. |
| Institutions assigning academic degree: |
Vysoká škola ekonomická v Praze |
| Faculty: |
Faculty of Informatics and Statistics |
| Department: |
Department of Econometrics |
Information on submission and defense
| Date of assignment: |
7. 2. 2024 |
| Date of submission: |
27. 6. 2024 |
| Date of defense: |
2024 |
Files for download
The files will be available after the defense of the thesis.