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dc.contributor.authorPešík, Jiří
dc.contributor.authorŠlehoferová, Marta
dc.date.accessioned2015-10-07T07:00:03Z
dc.date.available2015-10-07T07:00:03Z
dc.date.issued2013
dc.identifier.citationTrendy v podnikání = Business trends : vědecký časopis Fakulty ekonomické ZČU v Plzni. 2013, č. 4, s. 4-10.cs
dc.identifier.issn1805-0603
dc.identifier.issnhttp://www.fek.zcu.cz/tvp/doc/akt/tvp-4-2013-clanek-5.pdf
dc.identifier.urihttp://hdl.handle.net/11025/16293
dc.format7 s.
dc.format.mimetypeapplication/pdf
dc.language.isocscs
dc.publisherZápadočeská univerzita v Plznics
dc.relation.ispartofseriesTrendy v podnikánícs
dc.rights© Západočeská univerzita v Plznics
dc.subjectceny komoditcs
dc.subjectkomoditní spekulacecs
dc.subjectčasové řadycs
dc.subjectextrémy v časové řaděcs
dc.subjecttechnická analýzacs
dc.titleAnalýza spekulativních obchodů s komoditami na základě detekce parametrických extrémů v časových řadách cencs
dc.title.alternativeAnalysis of commodity speculations based on parametrical extremes in prices´ time seriesen
dc.typečlánekcs
dc.typearticleen
dc.rights.accessopenAccessen
dc.type.versionpublishedVersionen
dc.description.abstract-translatedThis 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.en
dc.subject.translatedcommodity pricesen
dc.subject.translatedcommodity speculationsen
dc.subject.translatedtime seriesen
dc.subject.translatedextremes in time seriesen
dc.subject.translatedtechnical analysisen
dc.type.statusPeer-revieweden
Appears in Collections:Číslo 4 (2013)
Články / Articles (KEM)
Číslo 4 (2013)

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