Investing in high frequency
| dc.contributor.author | Málek, Jiří | |
| dc.contributor.author | Tran, Van Quang | |
| dc.date.accessioned | 2017-02-10T07:15:14Z | |
| dc.date.available | 2017-02-10T07:15:14Z | |
| dc.date.issued | 2016 | |
| dc.description.abstract-translated | The article analyzes the 10 min high frequency data of certain financial instruments (gold, exchange rate USD / Euro, stock quotes Boeing and Microsoft). As approximation of the empirical distribution of log-returns is used alpha stable distribution. This distribution allows to measure "power" tails and then compare them with the Gaussian distribution. The parameters of stable distributions are estimated using methods MLE (Maximum Likelihood Estimation), which proved to be the most accurate. At the same time four basic moments (mean, standard deviation, skewness and kurtosis) are also estimated .Using of the analysis of all these parameters are given investment characteristics considered instruments. | en |
| dc.format | 7 s. | cs |
| dc.format.mimetype | application/pdf | |
| dc.identifier.citation | Trendy v podnikání = Business trends : vědecký časopis Fakulty ekonomické ZČU v Plzni. 2016, č. 3, s. 21-27. | cs |
| dc.identifier.issn | 1805-0603 | |
| dc.identifier.uri | http://hdl.handle.net/11025/22527 | |
| dc.language.iso | en | en |
| dc.publisher | Západočeská univerzita v Plzni | cs |
| dc.relation.ispartofseries | Trendy v podnikání | cs |
| dc.rights | © Západočeská univerzita v Plzni | cs |
| dc.rights.access | openAccess | en |
| dc.subject | vysokofrekvenční údaje | cs |
| dc.subject | šikmost | cs |
| dc.subject | špičatost | cs |
| dc.subject | α stabilní distribuce | cs |
| dc.subject.translated | high frequency data | en |
| dc.subject.translated | skewness | en |
| dc.subject.translated | kurtosis | en |
| dc.subject.translated | α-stable distribution | en |
| dc.title | Investing in high frequency | en |
| dc.type | článek | cs |
| dc.type | article | en |
| dc.type.status | Peer-reviewed | en |
| dc.type.version | publishedVersion | en |
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