Číslo 2

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Browsing Číslo 2 by Subject "C02"

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    A NOVEL SORTING METHOD TOPSIS-SORT: AN APPLICATION FOR TEHRAN ENVIRONMENTAL QUALITY EVALUATION
    (Technická Univerzita v Liberci, ) Faraji Sabokbar, Hassanali; Hosseini, Ali; Banaitis, Audrius; Banaitiene, Nerija; Ekonomická fakulta
    Many real-life problems are multi-objective by nature that requires evaluation of more than one criterion, therefore MCDM has become an important issue. In recent years, many MCDM methods have been developed; the existing approaches have been improved and extended. Multi criteria decision analysis has been regarded as a suitable set of methods to perform sustainability evaluations. Among numerous MCDM methods developed to solve real-life decision problems, Technique for Order Preference by Similarity to Ideal Solution (TOPSIS) continues to work satisfactorily in diverse application areas. In this paper, a novel sorting method (TOPSIS-Sort) based on the classic TOPSIS method is presented. In the TOPSIS-Sort approach an outranking relation is used for sorting purposes. The proposed approach uses characteristic profi les for defi ning the classes and outranking relation as the preference model. Application of the proposed approach is demonstrated by classifying 22 districts of Tehran into fi ve classes (but none of the districts fi ts into Classes 4 and 5), representing areas with different levels of environmental quality. An analysis and assessment of the environmental conditions in Tehran helps to identify the districts with the poor environmental quality. Priority should be given to these areas to maintain and improve the quality of environment. The results obtained by the TOPSIS-Sort give credence to its success, because the results of sorting confi rm our and specialists’ evaluation of the districts. This research provides appropriate results with respect to the development of sorting models in the form of outranking relations. The model, proposed by this study, is applicable to the other outranking methods such as ELECTRE, PROMETHEE, etc.
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    STOCHASTIC MODEL OF SHORT-TERM PREDICTION OF STOCK PRICES AND ITS PROFITABILITY IN THE CZECH STOCK MARKET
    (Technická Univerzita v Liberci, ) Svoboda, Milan; Ekonomická fakulta
    This paper deals with stochastic modelling and short time prediction of share price development in Czech stock market. The aim of this research is to create such models which can be used for creating automatic trading strategies that will beat the market. Reliability of these models is being checked in three highly liquid shares from Prague Stock O2, CEZ and KB in seven years long period in years 2006–2012. We used Markov chain analysis for modelling. In our models a state space is defi ned on the basis of cumulative daily changes of share price and a state space with eight states is used. The state space is defi ned parametrically as a multiple of standard deviation of daily yields for each share. There were 14 parameters calculated in total and for each parameter nine trading strategies for all shares were applied. It means that 378 trading strategies were calculated. We succeeded in fi nding a set of compact state space models and in applying a compact group of trading strategies on these models which always beat the market when invested in portfolio. The average annual market yield was 3.6%. The average yield of our portfolios oscillates between 4.7% and 14.8%. Strategies overcame the market also even after including transaction costs. After including transaction costs in amount of 0.1% from the trade volume a decrease of average annual yields would occur in the range from 0.45 to 2.1 percentage points. We reached the best results in the sideway trend and in shares with less changing volatility. Conclusions of this research are in contradiction to the Effi cient Market Hypothesis. Results indicate that Czech stock market is not effective in any of its form.