| 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: | článek article |
| 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) |
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