Magister Scientiae - MSc / This study examines the behaviour of the South African financial markets with regards to the Geometric Brownian motion process. It uses the daily, weekly, and monthly stock returns time series of some major securities trading in the South African financial market, more specifically the US dollar/Euro, JSE ALSI Total Returns Index, South African All Bond Index, Anglo American Corporation, Standard Bank, Sasol, US dollar Gold Price , Brent spot oil price, and South African white maize near future. The assumptions underlying the Geometric Brownian motion in finance, namely the stationarity, the normality and the independence of stock returns, are tested using both graphical (histograms and normal plots) and statistical test (Kolmogorov-Simirnov test, Box-Ljung statistic and Augmented Dickey-Fuller test) methods to check whether or not the Brownian motion as a model for South African financial markets holds. The Hurst exponent or independence index is also applied to support the results from the previous test. Theoretically, the independent or Geometric Brownian motion time series should be characterised by the Hurst exponent of ½. A value of a Hurst exponent different from that would indicate the presence of long memory or fractional Brownian motion in a time series. The study shows that at least one assumption is violated when the Geometric Brownian motion process is examined assumption by assumption. It also reveals the presence of both long memory and random walk or Geometric Brownian motion in the South African financial markets returns when the Hurst index analysis is used and finds that the Currency market is the most efficient of the South African financial markets. The study concludes that although some assumptions underlying the rocess are violated, the Brownian motion as a model in South African financial markets can not be rejected. It can be accepted in some instances if some parameters such as the Hurst exponent are added. / South Africa

L'innovation financière tire avantage de la déconnexion entre forme juridique et substance économique. Les contrats financiers sur actions permettent de répliquer synthétiquement les attributs économiques de la propriété des actions sans organiser le transfert des droits sur la chose. Tandis que le droit des sociétés reconnaît le principe d'autonomie juridique des contrats financiers à l'égard des actions sous-jacentes en attribuant les droits politiques et pécuniaires de l'associé aux seuls titulaires de la propriété juridique des titres financiers, les principes directeurs du droit boursier conduisent à y faire exception face aux perturbations engendrées par ces techniques de dissociation de la forme juridique et de la substance économique. Affichant son pragmatisme, le régulateur boursier saisit la complexité de cette réalité dérivée pour appréhender, au-delà des catégories juridiques formelles, la substance économique des opérations réalisées. Le droit boursier adopte une approche substantielle de l'avoir et du pouvoir au sein des sociétés par actions, pour déterminer notamment l'application des régimes de déclaration des prises de participations significatives et d'offre publique obligatoire. Apparaissent alors les contours d'une méthode raisonnée de régulation de l'innovation financière en droit des sociétés cotées. La démarche que nous proposons opère tant ex ante sur le plan normatif qu'ex post au stade de la sanction. Elle suppose une réflexion d'ensemble sur l'élaboration de la norme en droit des sociétés cotées et les conditions de son application par le régulateur boursier. dans sa double fonction normative et contentieuse. / The dissociation of legal form and economic substance is one of the main drivers of financial innovation. Equity derivatives allow parties to replicate the economic substance of share ownership without transferring the legal title itself. Whereas corporate law acknowledges the autonomy of the financial contract with respect to the underlying shares by granting voting and dividend rights to their sole legal owner, core principles of securities regulation are challenged by transactions taking advantage of the dissociation between form and substance. Taking a pragmatic stance, the regulator addresses the complexity of this derivative reality by grasping the economic substance of such transactions beyond their mere legal form. Recent developments in the major shareholding notification regime and the mandatory tender offer rule indicate an increasing focus on the substance of beneficial ownership and voting power in listed companies. From this evolution emerge the contours of a regulatory approach aiming to tackle the specific issues raised by financial innovation. The approach we advocate operates both ex ante at the normative stage and ex post at the enforcement stage of the regulatory process. It is an invitation to rethink the determinants of securities regulation as well as the role of the securities regulator in the exercise of its dual power to establish norms and to impose sanctions.

The thesis introduces a framework for analysing market monitoring and surveillance systems in order to provide a common foundation for researchers and practitioners to specify, design, implement, compare and evaluate such systems. The proposed framework serves as a reference map for researchers and practitioners to position their work in the context of market monitoring and surveillance, resulting in a useful instrument for the analysis, testing and management of such systems. More specifically, the thesis examines the new requirements for the operation of financial markets, the role of technologies, the recent consultations on the structure and governance of EU and US markets, as well as, future usage scenarios and emerging technologies. It examines the context in which market monitoring and market surveillance systems are currently been used. It reports on their processes, performance, and on the organisational and regulatory environments in which they exist. Furthermore, it develops a set of taxonomies which cover the majority of the concepts of market manipulation, market monitoring, market surveillance, entities, technologies and actors that are relevant for the work in this thesis. Building on the gaps and limitations of the current systems, it proposes a new framework following the Design Science methodology. The usefulness of the framework is evaluated through four critical case studies, which not only help to understand with practical exercises the way how markets monitoring and surveillance systems work, but also to investigate their weaknesses, potential evolution and ways to improve them. For each case study, the thesis develops a fully working prototype tested using a sample prosecution case and evaluated in terms of the appropriateness and suitability of the proposed framework. Finally, implications relating to policies, procedures and future market structures are discussed followed by suggestions for future research.

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.

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.

The subject of my Master´s Thesis is the technical analysis. Teoretical part is about the approach of the theoretical issues, description of its individual methods, in the second part I'm concerned with the practical use of technical analysis in trading on the financial market and at the end of the thesis I will evaluate the effect of using the technical analysis in practice, in general also in the specific cases I investigated, I summarize its advantages and disadvantages.

This Master’s thesis deals with the analysis of long-term corporate financing. Described is financing through the capital market securities – by shares and bonds as well as bank loan. The first part compares the theoretical possibilities of external financing, the second part is focused on the analyse of IPO and analysis of IPO which was realized in Czech republic by listed companies.

This diploma thesis discusses about the possibilities of investing in the capital market with a focus on the foreign exchange market. Analysis of the company, whose output is SWOT analysis, is focused on the economic justification of investments. The essence is the proposal of automatic trading systems that will automatically trade on the basis of information from the market and add value to ivested capital. This automatic trading systems are designed in analytic platform named MetaTrader and their parameters are optimized by genetic algorithms.

This master’s thesis is focused on the development, optimization and testing automated trading systems (ATS) using technical analysis. The first part, which describes mainly theoretical background, is followed by the practical part. This section deals with designing workflow for the development of ATS. Outcome of this thesis is portfolio of strategies that can be traded on e-mini markets. Some systems have been designed in Adaptrade Builder using genetic algorithms, while all testing was performed in TradeStation platform.

The aim of this work is to create an automated trading system for trading currency pairs using technical indicators and technical analysis. The proposed trading system is tested and optimized on historical price data. To verify the robustness of the proposed system was used walk-forward analysis. Automatic trading system also uses rules for position sizing and risk management of open positions. Created system is profitabel on historical price data and also in the walk-forward analysis.