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1
Cheng, Sai-ho. "Rolling Forex /". Hong Kong : University of Hong Kong, 1998. http://sunzi.lib.hku.hk/hkuto/record.jsp?B19909135.
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Cheng, Sai-ho, i 鄭世河. "Rolling Forex". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1998. http://hub.hku.hk/bib/B31268663.
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Polnický, Martin. "Psychologie investora na trhu FOREX". Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-198619.
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In the introduction, this dissertation about "Psychology of an investor on the Forex market" introduces to the reader the prerequisites for trading on the foreign exchange market. On a theoretical level, it deals mostly with fundamental, technical as well as psychological analysis of prediction of development of exchange rates on the Foreign Exchange Market. Theoretical part also includes an outline of basic criteria for choosing a Forex broker and introduction of a trading platform. Practical part of the dissertation focuses on comparing and choosing a broker, plus the process for opening a real trading account; creating a trading plan and strategy, which will be used to apply different tools and indicators of technical analysis of inter-day trading of EUR/USD pair. In the conclusion, trading system created by myself is evaluated and psychological phenomenon affecting investors' decision-making during real Forex trading. This dissertation deals only with Spot Forex market, because trading through FX brokers is done on the Spot market.
4
Vítovec, Josef. "Use of technical analysis in FOREX trading". Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-96396.
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The paper reacts to tremendous increase in popularity of FX trading among retail investors in recent years, caused mainly by easy accessibility through numerous online trading platforms and dramatic fall in trading costs. One of the accompanying trends along with increasing trading speed is a departure from fundamental analysis and shift towards more technical approach. In reaction to that, the paper aims to review the most popular technical trading rules and puts the findings in contrast with existing empirical literature and efficient market hypothesis. Although being far from discovering an ultimate trading formula, the paper concludes that selected trading strategies do demonstrate a certain degree of predictability of future exchange rate movements.
5
Trnik, Erik. "Návrh a optimalizace automatického obchodního systému pro forex". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2017. http://www.nusl.cz/ntk/nusl-318583.
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The master's thesis deals with the design of the proposed automatic trading system especially for daily trading on the currency markets. The aim of the thesis is to create a complex theoretical basis, in the practical part of the work to use the knowledge to create a suitable automatic trading system. The thesis focuses on the technical analysis of the currency markets. The proposed system will be optimally optimized to maximize profitability and stability with application to the most liquid currency pairs.
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Lei, Song. "Informative correlation extraction from and for Forex market analysis". AUT University, 2010. http://hdl.handle.net/10292/899.
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The forex market is a complex, evolving, and a non-linear dynamical system, and its forecast is difficult due to high data intensity, noise/outliers, unstructured data and high degree of uncertainty. However, the exchange rate of a currency is often found surprisingly similar to the history or the variation of an alternative currency, which implies that correlation knowledge is valuable for forex market trend analysis. In this research, we propose a computational correlation analysis for the intelligent correlation extraction from all available economic data. The proposed correlation is a synthesis of channel and weighted Pearson's correlation, where the channel correlation traces the trend similarity of time series, and the weighted Pearson's correlation filters noise in correlation extraction. In the forex market analysis, we consider 3 particular aspects of correlation knowledge: (1) historical correlation, correlation to previous market data; (2) cross-currency correlation, correlation to relevant currencies, and (3) macro correlation, correlation to macroeconomic variables. While evaluating the validity of extracted correlation knowledge, we conduct a comparison of Support Vector Regression (SVR) against the correlation aided SVR (cSVR) for forex time series prediction, where correlation in addition to the observed forex time series data is used for the training of SVR. The experiments are carried out on 5 futures contracts (NZD/AUD, NZD/EUD, NZD/GBP, NZD/JPY and NZD/USD) within the period from January 2007 to December 2008. The comparison results show that the proposed correlation is computationally significant for forex market analysis in that the cSVR is performing consistently better than purely SVR on all 5 contracts exchange rate prediction, in terms of error functions MSE, RMSE, NMSE, MAE and MAPE. However, the cSVR prediction is found occasionally differing significantly from the actual price, which suggests that despite the significance of the proposed correlation, how to use correlation knowledge for market trend analysis remains a very challenging difficulty that prevents in practice further understanding of the forex market. In addition, the selection of macroeconomic factors and the determination of time period for analysis are two computationally essential points worth addressing further for future forex market correlation analysis.
7
Giačienė, Dovilė. "Investicijų Forex rinkoje ekonominė analizė ir pagrindimas". Master's thesis, Lithuanian Academic Libraries Network (LABT), 2013. http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2013~D_20130211_142858-19480.
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Magistro darbe yra analizuojama: techninės analizės praktinis pritaikymas Forex rinkoje, rizikos įvertinimas ir portfelio sudarymas. Pagrindinis darbo tikslas ištirti investicijas Forex rinkoje ir jas pagrįsti naudojant investicijų ekonominę analizę. Darbe išnagrinėti pagrindiniai indikatoriai: slankiųjų vidurkių divergencija konvergencija, Bolingerio ribos, santykinis stiprumas, stochastikas. Šiais indikarotiais nustatyti pagrindiniai signalai ir apskaičiuotas pelnas punktais. Taip pat apskaičiuota kiekvienos valiutos rizika, su kuria susiduria kiekvienas investuotojas. Norint gauti maksimalų pelną buvo sudarytas Markowitz portfelis.This master's work is analyzing: practical application of technical analysis in the Forex market, risk assessment and creating portfolio. The main goal of the work is to explore the investments in Forex market and to substantiate them using investment economic analysis. The main indicators are analyzed in the work: Moving Average Convergence/Divergence, Bollinger bands, Relative Strength Index, Stochastic oscillator. These indicators identify the key signals and the estimated gain points. Also was calculated the risks of each currency faced by each investor. In order to get the maximum profit was made Markowitz portfolio.
8
Dufek, Radim. "Návrh a optimalizace automatického obchodního systému pro forex". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2015. http://www.nusl.cz/ntk/nusl-224967.
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This thesis deals with the design and optimization of an automatic trading system based on trend indicators. This thesis describes entire proces of system development from its parts to the whole system. It focuses on the optimization of each part and the complete system. This thesis also describes the testing proces of the systém on historical data and its application on the latest data.
9
Mockus, Dovydas. "Investavimo strategijų Forex rinkoje formavimas ir vertinimas taikant techninę analizę". Bachelor's thesis, Lithuanian Academic Libraries Network (LABT), 2013. http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2013~D_20130626_102750-46572.
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Šiame baigiamajame bakalauro darbe tiriamas strategijų, paremtų technine analize, taikymas prekyboje Forex rinkoje. Pirmiausia teorinėje dalyje nagrinėjama pasaulinės valiutų rinkos sistema, aptariami privataus asmens dalyvavimo šioje rinkoje aspektai. Po to atskleidžiama techninės analizės specifika, pateikiant jos sampratą, pagrindines priemones bei teorinius, techninės analizės pagrindu sudarytos, strategijos formavimo principus. Praktinėje dalyje vertinamos, pagal teorinėje dalyje atskleistus principus, sudarytų strategijų efektyvumas Forex rinkoje analizuojant istorinius duomenis. Atliekant tyrimą buvo naudojamos šešios valiutų poros, siekiant įvertinti techninės analizės efektyvumo priklausomybę nuo valiutų poros likvidumo. Rašant darbą buvo naudotasi Lietuvos bei užsienio autorių moksline literatūra, internetiniais portalais bei Meta Trader 4 programa analizuojant istorinius duomenis.This Bachelor's thesis analyses on technical analysis based strategies usage in Forex market. At first in theoretical part author looks into the system of Forex market, and presents it from private investor point of view. Later the particularity of technical analysis is presented by inducting it‘s definition, basic instruments and theoretical on technical analysis based strategies forming principles. In practical part the efficiency of technical analysis strategies is tested by analysing historical data. In this research six currencies pairs were used in order to value the relation between efficency of technical analysis and currency pair liquidity. In writing of thesis author used Lithuanian and foreigner authors literature, internet sites and Meta Trader 4 program by analysing historical data.
10
Karpava, Marharyta. "Determinants of forex market movements during the European sovereign debt crisis: The role of credit rating agencies". Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Economics, Finance and Statistics, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-18398.
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The purpose of this thesis is to identify key factors underlying exchange rate developments during the European sovereign debt crisis by examining the impact of credit rating news, published by the three leading credit rating agencies, on conditional returns and volatility of EUR/USD (direct quotation) exchange rate. Empirical results highlight the importance of interest rate differential and volatility index of options exchange in explaining EUR/USD exchange rate volatilities. Downgrade announcements by Standard & Poor’s as well as watch revisions by Fitch Ratings had a detrimental impact on the value of Euro, leading to a subsequent Euro depreciation over the period under consideration (January 2009 – April 2012).
11
Cibula, Peter. "Návrh automatizovaného obchodního systému na bázi trendových ukazatelů a oscilátorů". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2014. http://www.nusl.cz/ntk/nusl-224712.
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This thesis deals with the implementation of the software for automated stock trading based on trend indicators and oscillators. It describes the various signals that are provided by formations in charts and technical indicators, but also the possibility of using advanced artificial intelligence methods. This document describes entire development process of the software from individual parts to the folding of these parts into one system. It focuses on the optimization processes of individual parts, as well as a complete system. This thesis also deals with the testing of the system on historical data and its application on the latest data. It introduces the future plans, deployment options to the real market and its further improvement in order to develop ideal business system capable of autonomous thinking and trading.
12
Nguyen, Tran Phuc. "Exchange Rate Policy and the Foreign Exchange Market in Vietnam, 1985-2009". Thesis, Griffith University, 2012. http://hdl.handle.net/10072/365707.
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Since the mid-1980s, when Vietnam embarked on a transitional path to a market-oriented economic system, the country’s exchange rate regime has undergone major changes. To what extent have these changes facilitated the pursuit of the authorities’ main policy priorities? How appropriate are the current exchange rate setting arrangements, in light of domestic and international developments? These questions are of potential interest to researchers as well as to policy-makers not only in Vietnam, but also in other developing and transitional economies. Yet they are difficult to answer satisfactorily, partly because of the opaque nature of information about the Vietnamese authorities’ policy objectives and partly because of a relative scarcity of systematic and rigorous studies of these issues in the Vietnamese context. The purpose of this study is to help address this relative gap in the literature and to provide a better understanding of Vietnam’s exchange rate policy since the late 1980s and its consequences for macroeconomic performance and foreign exchange (forex) market development. In pursuing these objectives, this study employs three methods of analysis: (i) analytical review and synthesis; (ii) econometric analysis; and (iii) questionnaire survey. These different analytical techniques are applied in a complementary and integrated way to provide a broadly-based analysis of different but inter-related aspects of exchange rate policy and the forex market in Vietnam.Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Griffith Business School
Griffith Business School
Full Text
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Dukov, Kristian, i Elena Kyriaki. "Triangular Arbitrage in the ForexMarket : Emerging versus Developed markets". Thesis, Umeå universitet, Företagsekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-90714.
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Over the last decade, researchers have attempted to show how efficient the markets are by using Fama’s Efficiency Market Hypothesis (EMH). The theory states that an investor cannot increase his returns without taking additional risk. The markets can be efficient in different forms depending on the information included in the traded asset. It is quoted that: "There ain't no such thing as a free lunch". However, the topic still remains disputable since researchers have introduced controversial findings after investigating different markets. Overall, emerging markets have been characterized with higher volatility which consequently declares for market imperfections. Commonly, these market inefficiencies are quickly captured by the eye of the investors who are lurking for potential benefits through exploiting them. These are the so called arbitrage opportunities which exist on different level of impact, depending on the attitude of the market. The existence of arbitrage is clear evidence against Fama’s theory and it has been documented in numerous studies. Unfortunately those events occur rarely and disappear in a matter of seconds, thus; is highly competitive to capitalize. Over the last decade high frequency trading (HFT) became popular on different markets and it allowed traders to make decisions and execute transactions in a matter of milliseconds using algorithms. The market we are interested in is the Forex market which is a decentralized market where currencies from all over the world are traded. Main participants include multinational banks which rely heavily on HFT. The method used to benefit from inefficiency is called triangular arbitrage and it involves selling and buying 3 sets of currency pairs in times when a parity is violated. The goal of this study is to answer the following research question, “Is there a difference in triangular arbitrage opportunities between emerging markets and developed ones?” The main objective of this research is to examine how the number of arbitrage occurrences varies considering different market characteristics. Furthermore, the originality of the research stems from the comparison between strategies using currencies from developed economies and emerging ones. Moreover, the additional academic value comes from the analysis of a new dataset that has not yet been examined. Lastly, our results make an empirical contribution into a country’s economy by reducing market inefficiencies and increasing economic stability. Our sample consists of quantitative data totaling to 2.4 million observations per quotation taken from 2011 and 2013 for currencies picked using a non-probability convenience method based on their property to be converted to EUR and USD currency and availability of information. The research revealed that differences between the two types of market exist, and indicates that the “early” markets possess higher arbitrage activity in contrast to the mature economies. These results should boost the potential for a better trading management and upgrade the profit growth.
14
Trnka, Radek. "Obchodování na finančních trzích". Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-204054.
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The thesis aims to analyze opportunities for trading in the financial markets for the retail investor, including a specific trading system applied to real investment instrument in the form of currency pair EUR / USD. A partial aim is an understandable and simple way to introduce the essence of the functioning of financial markets, introduce the various bodies that are active in the financial markets, including methods of their regulation. Another objective is to introduce various investment instruments, and because that the thesis discusses investing of real funds, the emphasis is on the list of risks and possibilities of their elimination.
15
Pozník, Petr. "Návrh a optimalizace automatického obchodního systému pro měnový trh". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2015. http://www.nusl.cz/ntk/nusl-224974.
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The main objective of this thesis is to design and optimize an automated trading system so as to achive stable equity curve and profit. This model is tested on historical and current market data. Area of trading in the currency markets by using automated trading systems is very large and therefore the biggest focus is on current aproaches to technical analysis, automated systems and summarizes interesting ideas which are used to design my own automated strategy. After completing system design and optimization of the selected input parameters follows its testing on historical data and simulation of real market environment. In both cases the equity curve is profitable and shows a trend of steady growth.
16
Kinc, Petr. "Návrh trading strategie pro řízení volného finančního kapitálu jednotlivce". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2016. http://www.nusl.cz/ntk/nusl-241202.
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This diploma thesis deal with creation of trading strategy proposal results in controlling free financial capital of individual. In this diploma thesis is created a tested trading strategy, which is applicable for forex trading. Trading strategy use technical analysis rules, market profile and order flow chart. This strategy was tested on historical data. After that was used on real trading account with aim of maximum profit.
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Gonzáles, Tanaka José Carlos. "An empirical applicatin of a random level shift model with time-varying probability and mean reversion to the volatility of Latin-America forex market returns". Bachelor's thesis, Pontificia Universidad Católica del Perú, 2017. http://tesis.pucp.edu.pe/repositorio/handle/123456789/8482.
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Following Xu and Perron (2014), this paper uses daily data for six Forex Latin American markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru). Four models of the family of the Random Level Shift (RLS) model are estimated: a basic model where probabilities of level shift are driven by a Bernouilli variable but probability is constant; a model where varying probabilities are allowed and introduced via past extreme returns; a model with mean reversion mechanism; and a model incorporating last two features. Our results prove three striking features: rst, the four RLS models t well the data, with almost all the estimates highly signi cant; second, the long memory property disappears completely from the ACF, including the GARCH e¤ects; and third, the forecasting performance is much better for the RLS models against an overall of four competitor models: GARCH, FIGARCH and two ARFIMA models.Siguiendo el trabajo de Xu y Perron (2014), este documento utiliza datos diarios de volatilidades de retornos cambiarios para seis mercados de América Latina (Argentina, Brazil, Chile, Colombia, Mexico and Peru). Cuatro modelos del tipo Random Level Shifts (RLS) son estimados: un modelo básico donde las probabilidades de cambios de nivel son gobernadas por una variable del tipo Bernouilli pero dicha probabilidad es constante; un modelo donde las probabilidades son cambiantes en el tiempo y dependen de los retornos bursátiles extremos negativos del periodo anterior; un modelo con reversión a la media; y un modelo que incorpora los dos aspectos mencionados anteriormente. Los resultados sugieren tres importantes aspectos: el primero es que los cuatro modelos RLS ajustan bien los datos con prácticamente todos los estimados altamente significativos; segundo, la característica de larga memoria desaparece completamente de la ACF, incluyendo los efectos GARCH; y, tercero, la performance de los cuatro modelos en términos de predicción es buena contra diferentes modelos rivales como los modelos GARCH, FIGARCH, y dos modelos ARFIMA.
Tesis
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Dekýš, Marek. "Návrh automatického obchodního systému na měnových trzích s využitím breakout strategie". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2015. http://www.nusl.cz/ntk/nusl-224982.
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This thesis addresses the analysis and design of automatic trading system on currency markets using breakout strategy for capital appreciation for company ALFA – zdravá výživa. The description of implementation of this strategy on chosen trading platform and its summary will represent an output of this thesis.
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Rozsnyó, Tomáš. "Modular Multiple Liquidity Source Price Streams Aggregator". Master's thesis, Vysoké učení technické v Brně. Fakulta informačních technologií, 2012. http://www.nusl.cz/ntk/nusl-236492.
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This MSc Thesis was performed during a study stay at the Hochschule Furtwangen University, Furtwangen, Germany. This Master Project provides a theoretical background for understanding financial market principles. It focuses on foreign exchange market, where it gives a description of fundamentals and price analysis. Further, it covers principles of high-frequency trading including strategy, development and cost. FIX protocol is the financial market communication protocol and is discussed in detail. The core part of Master Project are sorting algorithms, these are covered on theoretical and practical level. Aggregator design includes implementation environment, specification and individual parts of aggregator application represented as objects. Implementation overview can be found in last Chapter.
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Nečas, Ondřej. "Návrh automatického obchodního systému měnové burzy". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2015. http://www.nusl.cz/ntk/nusl-225269.
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The content of this diploma thesis is building an automatic trading system and its exact description. The thesis is focused on the classification of system requirements and on this base selection of underlying asset, which is defined by the forex contracts category.
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Ručka, Tomáš. "Technická analýza". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2016. http://www.nusl.cz/ntk/nusl-234800.
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The master thesis is focused on detailed description of technical analysis and familiarization with fundamental analysis options. Theoretical part of the thesis is focused on describing the market behaviours, the most used technical indicators and tools which are used during market trading. Following part describes the most used trading platform and its weaknesses. Practical part designs and implements tools for elimination of the platform weaknesses.
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Poláchová, Zuzana. "Návrh automatického obchodního systému pro obchodování na forexu". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2018. http://www.nusl.cz/ntk/nusl-378355.
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This diploma thesis deals with the design of automated trading system for trading the currency market. On the basis of technical indicators is created a trading system in MQL4 for the MetaTrader4 platform. Part of the thesis is optimization of the proposed system and testing on historical data in order to increase stability and maximize profit.
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Obergruber, Petr. "Psychologie investora na devizových trzích". Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-162782.
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The topic of work "Investor's psychology on Foreign Exchange market" is to explain basic assumption for business on the Foreign Exchange markets and also methods how to profit on them. Work focus on soft factors, which are important in investor's decisions making process. These factors are typical for human's decisions, which are not always optimal from statistical and logical side, and may cause mistakes and investor's lost. The most important economic theories of client's behavior are used for conclusions. The major part of work foces on client as individual, describes his motivation, expectation, trade joining and risk adaptation. Theoretical data are participants of the research, which is based in two decision's making games. Conclutions are created from results of games and their comparison.
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Peroutková, Jaroslava. "Finanční krize a její vliv na burzovní obchody". Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-113548.
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This thesis presents market stock trading focused on analysis of financial crisis which falls on world's biggest exchange stocks and strategy of trading for a small investor. In the first part of this thesis will be explained priciples of trading on stock markets with modern trading business platformes. I explain economic conections and economy cycles which influence development of financial markets. In second part of thesis I analyse financial crisis fall on stock markets, indexis, commodities (gold, silver, brend crude oil) and currency markets (forex). I appreciate situation in Czech republik and course of czech index PX. Important role has a fundamental and technical analysis. I will analyse and descript modern trends of this business.
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Gazsi, Ján. "Obchodování s měnami". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2013. http://www.nusl.cz/ntk/nusl-224001.
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This thesis deals with the possibilities of electronic stock trading of currency pairs. It analyzes the basic conditions and criteria which trader needs to meet to be able to participate on this market. This master’s thesis describes the use of technical indicators and fundamental messages through electronic trading platforms. Further thesis graphically compares the types of trading according to the time horizonts and then concludes suggestions and recommendations.
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Sauer, Václav. "Tvorba obchodní strategie pro měnový trh". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2017. http://www.nusl.cz/ntk/nusl-318623.
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This thesis deals with the design, implementation and optimization of the automated trading system for the foreign exchange market. Thesis analyses theoretical aspects for the system implementation, including introduction of foreign exchange market, types of market analysis, money management, risk management and technical indicators. The thesis further describes, what is required for development of such system and what important parts the system must contain. The work also describes how the system can be tested and optimised based on historical data.
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Olejník, Tomáš. "Zpracování obchodních dat finančního trhu". Master's thesis, Vysoké učení technické v Brně. Fakulta informačních technologií, 2011. http://www.nusl.cz/ntk/nusl-412828.
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The master's thesis' objective is to study basics of high-frequency trading, especially trading at foreign exchange market. Project deals with foreign exchange data preprocessing, fundamentals of market data collecting, data storing and cleaning are discussed. Doing decisions based on poor quality data can lead into fatal consequences in money business therefore data cleaning is necessary. The thesis describes adaptive data cleaning algorithm which is able to adapt current market conditions. According to design a modular plug-in application for data collecting, storing and following cleaning has been implemented.
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Kanoš, Petr. "Návrh a optimalizace automatického obchodního systému na měnových trzích". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2016. http://www.nusl.cz/ntk/nusl-241612.
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This master thesis deals with design of automated trading system for currency trading. The thesis includes testing of this system on historical data and its optimization for achieving stability and profit. Thesis is divided into theoretical, analytical and practical part. The goal of the first part is to provide theoretical knowledge of the currency market, methods for analysis of the currency market and to define fundamental terminology. Second part describes properties of technical analysis indicators and introduces optimization and testing methods for automated trading systems. The last part is focused on design, implementation, optimization and testing of the automated trading systems.
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Kušnírová, Jana. "Analýza vplyvu fundamentálnych správ na pohyby menových kurzov". Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-201626.
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The Diploma Thesis deals with influence of announcing economic indicators on currency exchange rate AUD/USD. The Thesis focuses on fundamental news announced in Australia, USA and China, as these play a significant role in forming of analyzed currency exchange rate. The first part includes general description of fundaments, explanation of investor's psychology, description of world's most important banks, because the financial world waits for their announcements and reacts upon them. Next subchapter of thesis focuses on central bank of Australia and its monetary policy. The research itself is situated in the second part of the thesis, containing testing the influence of fundamental news on logarithmic return of exchange rate AUD/USD, using linear regression analysis. The objective of this part is to find out what is the influence of news on exchange rate return of AUD/USD. The last part examines whether investing strategies based on announcing fundamental news can bring profit to the investor or the efficient market theory will be confirmed.
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Boček, František. "Návrh a optimalizace automatického obchodního systému". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2016. http://www.nusl.cz/ntk/nusl-241636.
Pełny tekst źródłaStreszczenie:
The goal of this work is to describe approaches to financial market analysis and implement chosen approaches in automatic trading system in the MetaQuote Language environment for Metatrader platform. Another objective is to optimise the designed trading system and test additional rules to achieve maximum profit during minimalization risks.
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Kolář, Jan. "Návrh automatického obchodního systému pro forex". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2016. http://www.nusl.cz/ntk/nusl-241445.
Pełny tekst źródłaStreszczenie:
The thesis deals with designing an automated trading system, especially for intra-day trading the currency markets. The aim is to create a comprehensive theoretical background, practical work knowledge can be used to develop appropriate automated trading system. The thesis is an emphasis on technical and partly a psychological analysis of currency markets. Designed system will be suitably optimized to maximize profits and stability of applications on the most liquid currency pairs.
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Borek, Martin. "Investiční strategie založená na Bollingerových pásmech". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2015. http://www.nusl.cz/ntk/nusl-224965.
Pełny tekst źródłaStreszczenie:
This thesis deals with the automatization and comparison of two different strategies for the forex markets, based on the indicator, one from the tools of technical analysis, called Bollinger Bands. Both strategies are first optimized and then compared. Automatization of strategies will be implemented by? using the Meta Quotes Language for MetaTrader broker and its testing will be done on historical data. The goal with this thesis is the operational objective application of the better strategy in the environment of real market.
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Vojtěch, Tomáš. "Návrh a implementace automatického obchodního systému pro měnový trh". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2017. http://www.nusl.cz/ntk/nusl-318620.
Pełny tekst źródłaStreszczenie:
This diploma thesis deals with the design of a trading strategy and subsequent implementation of an automated trading system for the forex currency market. In this thesis, a "breakout" strategy with trade filtering based on moving average is created. Consequently, an automated trading system for the MetaTrader 4 platform is developed in MQL4 language. This thesis also deals with the back-testing and optimization of the system in order to maximize the stability and profit.
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Langer, Roman. "Statistická analýza vysokofrekvenčních časových řad finančních trhů". Master's thesis, Vysoké učení technické v Brně. Fakulta informačních technologií, 2011. http://www.nusl.cz/ntk/nusl-237000.
Pełny tekst źródłaStreszczenie:
The goal of this Master's thesis is to analyze financial data by focusing primarily on the search of market inefficiencies that may lead to capitalization of found anomalies. The data comes from various sources and they need to be preprocessed. The analysis is based on high frequency time series statistical methods. The resultant characteristics are visualized.
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Doležal, Radek. "Návrh a implementace automatického obchodního systému pro devizový trh". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2016. http://www.nusl.cz/ntk/nusl-241411.
Pełny tekst źródłaStreszczenie:
The subject of this diploma thesis is a design and implementation of an automated trading system for the forex market. It includes an analysis of the main concepts and methods of technical analysis and money management, which constitute an essential theoretical basis for the subsequent practical design of an automatic system. The objective of this work is a development of an automated trading system whose robustness and stability is tested by a walk forward analysis.
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Kovářová, Petra. "Obchodování na Forexu a srovnání vybraných obchodních platforem". Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-81897.
Pełny tekst źródłaStreszczenie:
This thesis deals with the Forex and trading on it. The aim of this work is to evaluate the possibility of trading primarily for retail investors, for which this financial market is becoming increasingly popular. In the first two chapters, Forex, its characteristic and information about trading are presented. In the next chapter, analysis of exchange rate development is described , both fundamental and technical. More attention is paid to technical analysis. The demonstration of application of technical analysis is presented. The last chapter deals with comparing the selected trading platforms in terms of availability, technical analysis and trading opportunities.
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Nemček, Tomáš. "Hodnocení výnosnosti různých forem investic do nemovitostí". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2014. http://www.nusl.cz/ntk/nusl-224607.
Pełny tekst źródłaStreszczenie:
The diploma thesis focuses on evaluation of revenue of investing in real estate through collective investment, especially through the real estate investment trusts and revenue gained by direct investment in real estate with regard to current situation in Slovak real estate market. The thesis should guide potential investor through these types of investments and its result is formulation of investment recommendation.
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Atiah, Frederick Ditliac. "Dynamic multi-objective optimization for financial markets". Diss., University of Pretoria, 2019. http://hdl.handle.net/2263/79571.
Pełny tekst źródłaStreszczenie:
The foreign exchange (Forex) market has over 5 trillion USD turnover per day. In addition,
it is one of the most volatile and dynamic markets in the world. Market conditions
continue to change every second. Algorithmic trading in Financial markets have received
a lot of attention in recent years. However, only few literature have explored the applicability
and performance of various dynamic multi-objective algorithms (DMOAs) in the
Forex market. This dissertation proposes a dynamic multi-swarm multi-objective particle
swarm optimization (DMS-MOPSO) to solve dynamic MOPs (DMOPs). In order to
explore the performance and applicability of DMS-MOPSO, the algorithm is adapted for
the Forex market. This dissertation also explores the performance of di erent variants
of dynamic particle swarm optimization (PSO), namely the charge PSO (cPSO) and
quantum PSO (qPSO), for the Forex market. However, since the Forex market is not
only dynamic but have di erent con
icting objectives, a single-objective optimization
algorithm (SOA) might not yield pro t over time. For this reason, the Forex market was
de ned as a multi-objective optimization problem (MOP). Moreover, maximizing pro t
in a nancial time series, like Forex, with computational intelligence (CI) techniques is
very challenging. It is even more challenging to make a decision from the solutions of a
MOP, like automated Forex trading. This dissertation also explores the e ects of ve decision
models (DMs) on DMS-MOPSO and other three state-of-the-art DMOAs, namely
the dynamic vector-evaluated particle swarm optimization (DVEPSO) algorithm, the
multi-objective particle swarm optimization algorithm with crowded distance (MOPSOCD)
and dynamic non-dominated sorting genetic algorithm II (DNSGA-II). The e ects
of constraints handling and the, knowledge sharing approach amongst sub-swarms were
explored for DMS-MOPSO. DMS-MOPSO is compared against other state-of-the-art
multi-objective algorithms (MOAs) and dynamic SOAs. A sliding window mechanism
is employed over di erent types of currency pairs. The focus of this dissertation is to
optimized technical indicators to maximized the pro t and minimize the transaction
cost.
The obtained results showed that both dynamic single-objective optimization (SOO)
algorithms and dynamic multi-objective optimization (MOO) algorithms performed better
than static algorithms on dynamic poroblems. Moreover, the results also showed that
a multi-swarm approach for MOO can solve dynamic MOPs.Dissertation (MEng)--University of Pretoria, 2019.
Computer Science
MSc
Unrestricted
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El, Ouadghiri Imane. "Analyse du processus de diffusion des informations sur les marchés financiers : anticipation, publication et impact". Thesis, Paris 10, 2015. http://www.theses.fr/2015PA100096.
Pełny tekst źródłaStreszczenie:
Les marchés financiers sont sujets quotidiennement à la diffusion de statistiques économiques ainsi que leurs prévisions par des institutions publiques et privées. Ces annonces sont prévues ou non prévues. Les annonces prévues sont organisées selon un calendrier connu à l’avance par tous les opérateurs. Ces annonces telles que les statistiques d'activité, d’exportation ou de sentiments, sont publiées une fois par mois par des agences spécialisées telles que Bloomberg. La diffusion d’une statistique économique ou financière est toujours précédée par la publication de sa prévision calculée comme la médiane de toutes les prévisions individuelles fournies par les agents. Cette médiane est un proxy de la vision commune des opérateurs et aide à la construction d'une représentation collective de l'environnement économique. Le premier chapitre de ma thèse a pour objectif d'analyser l'hétérogénéité dans la prévision des annonces macroéconomiques est testée grâce à des données mensuelles de prévisions issues d'enquêtes conduites par Bloomberg, sur une série d'indicateurs macroéconomiques. S’ensuit alors une deuxième problématique. Quels sont aux yeux des investisseurs, les critères qui permettent de considérer qu’une annonce est plus importante qu’une autre ? L’analyse du processus par lequel une information est incorporée dans les cours, nous a éclairés sur l’existence d’une forte rotation dans les statistiques considérées comme importantes (Market Mover indicators). Le deuxième chapitre tente donc de répondre à cette problématique. Dans un dernier chapitre je m’interroge sur la dynamique des prix post-publications d’annonces macroéconomiques et financières. Des connections sont réalisées entre les Jumps sur les cours des actifs et les annonces macroéconomiques, financières mais aussi imprévuesFinancial markets are subjected daily to the diffusion of economic indicators and their forecasts by public institutions and even private ones. These annoncements can be scheduled or unscheduled. The scheduled announcements are organized according to a specific calendar and known in advance by all operators. These news such as activity indicators, credit, export or sentiments’ surveys, are published monthly or quarterly by specialized agencies to all operators in real time. Our thesis contributes to diferent literatures and aims to thoroughly analyze the three phases of the diffusion process of new information on financial markets : anticipation of the announcement before its publication, interest that arouse its publication and impact of its publication on market dynamics. The aim of the first chapter is to investigate heterogeneity in macroeconomic news forecasts using disaggregate data of monthly expectation surveys conducted by Bloomberg on macroeconomic indicators from January 1999 to February 2013. The second chapter examines the impact of surprises associated with monthly macroeconomic news releases on Treasury-bond returns, by paying particular attention to the moment at which the information is published in the month. In the third chapter we examine the intraday effects of surprises from scheduled and unscheduled announcements on six major exchange rate returns (jumps) using an extension of the standard Tobit model with heteroskedastic and asymmetric errors
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Kosek, Lukáš. "Technická analýza". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2014. http://www.nusl.cz/ntk/nusl-224762.
Pełny tekst źródłaStreszczenie:
This thesis deals with problems of the technical analyses and its usage during creation of the automated trading systems. Theoretical section explains the basic principles of functioning of the monetary market (Forex) and includes technical indicators. Portfolio of strategies, as output of this work, was applied onto monetary pairs of Euro/American dollar and British pound/American dollar. Computer program Adaptrade Builder was used for proposed commercial strategies with help of the genetic algorithms and subsequently tested on the MetaTrader 4 commercial platform.
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Ondo, Ondrej. "Návrh a optimalizace automatického obchodního systému". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2014. http://www.nusl.cz/ntk/nusl-224709.
Pełny tekst źródłaStreszczenie:
This thesis focuses on automated trading systems for foreign exchange markets. It describes theoretical background of financial markets, technical analysis approaches and theoretical knowledge about automated trading systems. The output of the thesis is set of two automated trading systems built for trading the most liquid currency pairs. The process of developing automated trading system as well as its practical start up in Spartacus Company Ltd. is documented in the form of project documentation. The project documentation captures choosing necessary hardware components, their installation and oricess of ensuring smooth operation, as well as the selection and installation of the necessary software resources. In the Adaptrade Builder enviroment there has been shown the process of developing strategies and consequently theirs characteristics, performance, as well as a graph showing the evolution of the account at the time. Selected portfolio strategy has been tested in the MetaTrader platform and in the end of the thesis is offered assessing achievements and draw an overall conclusion.
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Vlček, Tomáš. "Podpora v rozhodování pro investičního experta na měnových trzích". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2014. http://www.nusl.cz/ntk/nusl-224707.
Pełny tekst źródłaStreszczenie:
The thesis focuses on automated trading systems for trading on currency market. It describes basics of market analysis and deals with the design, optimization and identifying appropriate indicators of automatic trading system, which is based on the Fibonacci retracement. This system should serve as a decision support for trader's operations in the currency market. Furthermore, this thesis deals with the possibility of avoiding exchange rate risk by trading in the foreign exchange market.
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Vrba, Patrik. "Využití prostředků umělé inteligence na finančních trzích". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2011. http://www.nusl.cz/ntk/nusl-222913.
Pełny tekst źródłaStreszczenie:
This Master's thesis focuses on applying artificial intelligence tools for the prediction of development financial markets. Major emphasis is placed on evaluating the usability of neural networks to determine the prediction in the foreign exchange markets. It is also provided suggestion for fully automated processing of market data and subsequent submitting of trading orders.
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Mičulka, Václav. "Automatický obchodní systém založený na breakout strategii a veřejných fundamentálních datech". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2014. http://www.nusl.cz/ntk/nusl-224711.
Pełny tekst źródłaStreszczenie:
This thesis focuses on design, implementation and optimalization of automated trading system based on breakout strategy and public fundamental data wich trades on FOREX. It descripes theoretical backgroud of financial markets and especially focuces on FOREX. This automated trade system is implemented in object oriented programing paradigm for MetaTrader 5 platform. Last part of thesis is aimed at testing implemented system on historical data in order to evaluate the correctness of system and optimalizations.
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Babič, Vojtěch. "Návrh automatického obchodního systému na devizových trzích s využitím fraktální geometrie". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2016. http://www.nusl.cz/ntk/nusl-254205.
Pełny tekst źródłaStreszczenie:
The main focus of the thesis are approaches to technical analysis, trading systems and it summarizes interesting findings, according to which a FOREX automated trading system was designed and implemented. Optimization and testing were a prerequisite for a real-world deployment, so the automated trading system was tested on historical data and some of its input parameters were optimized for maximum stability and profit.
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Novák, Tomáš. "Optimalizace investičních strategií pomocí genetických algoritmů". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2015. http://www.nusl.cz/ntk/nusl-224983.
Pełny tekst źródłaStreszczenie:
This thesis is focused on the design and optimization of automated trading system, which will be traded in FOREX. The aim is to create a business strategy that is relatively safe, stable and profitable. Optimization and testing on historical data are a prerequisite for the deployment into real trading.
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Barva, David. "Investiční modely v prostředí finančních trhů". Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2015. http://www.nusl.cz/ntk/nusl-233137.
Pełny tekst źródłaStreszczenie:
This master thesis evaluates about investing in the currency market, commonly known as Forex. The master thesis is primarily deal with proposal of automated trading system for trading in major currency pairs using breakout strategies. These strategies creation is based on market analysis, volatility, correlation and analysis revealing patterns of time during the trading day. In practical part is formed diversified investment portfolio composed of five investment profitable strategies, which were used during four-month testing period on unknown market data.
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Toth, Václav. "Návrh a implementace obchodního systému v prostředí devizových trhů". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2017. http://www.nusl.cz/ntk/nusl-318613.
Pełny tekst źródłaStreszczenie:
The master thesis deals with proposal of automated trading system and its implementation in the Foreign exchange market environment. This system will be developed as investment model based on the analyzes performed and then tested on real data to achieve maximum stability and profit.
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Kundračík, Roman. "Návrh a optimalizace obchodní strategie na platformě MetaTrader". Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2016. http://www.nusl.cz/ntk/nusl-241558.
Pełny tekst źródłaStreszczenie:
This Master’s thesis deals with implementation of an automated trading system for application in the currency market. The resulted system is tested and optimized on historical data. Robustness of this strategy is verified by testing on another currency pair and a different timeframe. Efficiency of the system is compared before and after optimization. Created trading system is profitable in all environments which it was tested on.
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Budík, Jan. "Vyhledávání vzorů v dynamických datech". Master's thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2009. http://www.nusl.cz/ntk/nusl-218213.
Pełny tekst źródłaStreszczenie:
First chapter is about basic information pattern learning. Second chapter is about solutions of pattern recognition and about using artificial inteligence and there are basic informations about statistics and theory of chaos. Third chapter is focused on time series, types of time series and preprocessing. There are informations about time series in financial sector. Fourth charter discuss about pattern recognition problems and about prediction. Last charter is about software, which I did and there are informations about part sof program.