Title: Analýza spekulativních obchodů s komoditami na základě detekce parametrických extrémů v časových řadách cen
Other Titles: Analysis of commodity speculations based on parametrical extremes in prices´ time series
Authors: Pešík, Jiří
Šlehoferová, Marta
Citation: Trendy v podnikání = Business trends : vědecký časopis Fakulty ekonomické ZČU v Plzni. 2013, č. 4, s. 4-10.
Issue Date: 2013
Publisher: Západočeská univerzita v Plzni
Document type: article
článek
URI: http://hdl.handle.net/11025/16293
ISSN: 1805-0603
http://www.fek.zcu.cz/tvp/doc/akt/tvp-4-2013-clanek-5.pdf
Keywords: ceny komodit;komoditní spekulace;časové řady;extrémy v časové řadě;technická analýza
Keywords in different language: commodity prices;commodity speculations;time series;extremes in time series;technical analysis
Abstract in different language: This article is focused on a definition and detection of extremes in prices of sugar No. 11 futures, sugar No. 16 futures and other commodities futures. The purpose of the paper is to investigate intervals between extremes in time series. The extremes detected in the same day or short intervals between extremes would foreshadow that there are significant moves of capital between the commodities. And these moves would be one of the key factors of making the commodities’ prices. The other possibility is joint move of capital from two or more commodities to other financial assets. We used polynomial moving averages to filter the time series. A definition of the extreme was based on an absolute value of difference between filtered value and the actual price. The conclusion of our analysis is that occurrence of the extremes are quite independent. We can say that the investors reflect more information during their decision-making than prices of other commodities. This statement is consistent with efficient market hypothesis.
Rights: © Západočeská univerzita v Plzni
Appears in Collections:Číslo 4 (2013)
Články / Articles (KEM)
Číslo 4 (2013)

Files in This Item:
File Description SizeFormat 
Pesik.pdfPlný text555,67 kBAdobe PDFView/Open


Please use this identifier to cite or link to this item: http://hdl.handle.net/11025/16293

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.