Valutamarknaden är världens största marknad och en nödvändig del av dagens globala samhälle, som gör det möjligt för företag att göra affärer i olika valutor och mellan olika gränser. Marknaden utgör en stor handelsplattform för både små och stora aktörer, för vilka det är viktigt att prognostisera valutakurser med gott resultat. Att modellera finansiella instrument i form av tidsserier är en av de vanligaste investeringsstrategierna och dess användningsområde sträcker sig från valutamarknaden till bland annat aktiemarknaden och råvarumarknaden. I denna uppsats undersöks fyra olika statistiska metoder för att modellera valutakursen Euro-US Dollar givet historisk data, och prognoser görs med de framtagna modellerna. Dessa metoder är slumpvandring, ARIMA, ARIMA-GARCH och VAR. Vidare undersöks för den dynamiska VAR-modellen hur valutamarkanden påverkar, och blir påverkad av, långa och korta räntan. Resultaten visar att ARIMA(3,1,2) förklarar valutakursen bäst medan VAR(2) med valutakursen och skillnaden mellan långa räntor som ingående variabler ger de bästa prediktionerna. / The foreign exchange market is the world’s largest market and is an essential part of the global society of today. The FX market enables companies to trade with different currencies across country borders. It is also a large trade-platform for both big and small financial actors, who greatly benefit from the advantages of good predictions. Modeling of financial instruments is one of the most commonly used investment strategies and its area of application ranges from the FX market to markets suchas the stock market and the commodity market. In this paper, four different statistical models are used to model the currency pair Euro-US Dollar. These methods are random walk, ARIMA, ARIMA-GARCH and VAR. Besides investigating which method that gives the best forecasts, the method that best describes the training datais also found. Furthermore, for the dynamic VAR model, it is explored how the FX market affects, and is affected by, the long term and short term interest. The results show that ARIMA(3,1,2) is the best at describing the exchange rate while VAR(2) with the exchange rate and the difference between long term interests as variables gives the best predictions.

Submitted by Luciana Ferreira (lucgeral@gmail.com) on 2016-06-01T09:08:49Z No. of bitstreams: 2 Dissertação - Georgeo Dias Fernandes - 2016.pdf: 4550829 bytes, checksum: c89172b3acd5d16ace7d0bf283fc8446 (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) / Approved for entry into archive by Luciana Ferreira (lucgeral@gmail.com) on 2016-06-01T09:10:55Z (GMT) No. of bitstreams: 2 Dissertação - Georgeo Dias Fernandes - 2016.pdf: 4550829 bytes, checksum: c89172b3acd5d16ace7d0bf283fc8446 (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) / Made available in DSpace on 2016-06-01T09:10:55Z (GMT). No. of bitstreams: 2 Dissertação - Georgeo Dias Fernandes - 2016.pdf: 4550829 bytes, checksum: c89172b3acd5d16ace7d0bf283fc8446 (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) Previous issue date: 2016-01-28 / Traditional construction methods are questioned, because of low productivity, waste, rework, low standardization, among other things. Because of these problems and taking into account environmental aspects, new building systems that make use of reusable or recyclable materials from other industries are analyzed to verify its efficiency in technical and economic level. In this context, the aim of the dissertation is to describe the technical development and assess costs and benefits of the constructive system sandwich panels, molded on site, which reuses bottles of polyethylene terephthalate (PET) to make up the core of the walls and slabs. Concerning the technical development was described experiments and tests carried out for the conformation of the construction system, with the configuration of its characteristics and peculiarities, discussed the results of the tests performed, including the early to define the structural safety of the walls and slabs together with the presentation of the theoretical model calculation and performance evaluation for the validation. In the economic aspect, there was a comparison between the traditional construction system and the studied system. The cost direct was examined and observed the benefits with the help of value attributes expected to prefabricated options construction, drawn by Cook (2013), namely: direct costs (material and labor), time (schedule), design flexibility, work time management, quality, delivery and conference in work, subcontractors activities in work, work safety, exercise stress testing, health, environmental impact, LEED certification, rubble and dispensing, public relations, marketing, maintenance (life cycle). With the help of estimators engineers, through interviews, the steps we investigated, activities, productivity and resources needed to execute a project in the traditional building system, building system in masonry traditional system and building system analyzed. Was elaborated cost composition of spreadsheets and productivity for hypothetical situations of conventional and innovative construction system of sealing walls with slabs of residential buildings and walls and structural slabs works until two floors. The mapping process was designed, in which to extract the consideration of potential benefits or otherwise of the building system. Technical descriptions highlight the possibility of constructive feasibility of sandwich panels, with core of PET bottles, molded on site. And the evaluation of costs and benefits demonstrates its value, not so much due to the direct cost, but in terms of building system management benefits. / Os métodos construtivos tradicionais são questionados em função da baixa produtividade, desperdícios, retrabalhos e baixa padronização, dentre outros aspectos. Em virtude destes problemas e levando em conta aspectos ambientais, novos sistemas construtivos, que fazem uso de materiais reutilizáveis ou recicláveis de outras indústrias, são analisados visando verificar sua eficiência em nível técnico-econômico. Diante desse contexto, o objetivo da dissertação é descrever o desenvolvimento técnico e avaliar custo e benefício do sistema construtivo em painéis sanduíche, moldados no local, que reutiliza garrafas de politereftalato de etileno (PET) para compor o núcleo das paredes e lajes. Relativo ao desenvolvimento técnico, descrevem-se os experimentos e ensaios realizados para a conformação do sistema construtivo, apresentando a configuração das suas características e peculiaridades. Em seguida, discutem-se os resultados dos ensaios executados, compreendendo os iniciais para definição da segurança estrutural das paredes e lajes conjuntamente com a apresentação do modelo teórico de cálculo, bem como os de avaliação de desempenho para validação. No aspecto econômico, faz-se um comparativo entre o sistema construtivo tradicional e o sistema estudado. A relação custo direto foi examinada e observou-se os benefícios com a ajuda dos atributos de valor esperados para opções pré-fabricadas de construção, quais sejam: custo direto (material e mão de obra), tempo (cronograma), flexibilidade de projeto, tempo de administração de obra, qualidade, entregas e conferência em obra, atividades de subempreiteiros em obra, segurança do trabalho, ergometria, condições de saúde, impacto ambiental, certificação LEED, entulho e descarte, relações públicas, marketing e manutenção (ciclo de vida). Com a ajuda de engenheiros orçamentistas, por meio de entrevistas, investigaram-se as etapas, atividades, produtividade e recursos necessários para executar um projeto no sistema construtivo tradicional, sistema construtivo em alvenaria estrutural e no sistema construtivo analisado. Elaboraram-se planilhas de composição de custo e produtividade para as situações hipotéticas do sistema construtivo inovador e convencional de paredes de vedação com lajes de edifícios habitacionais e para paredes e lajes estruturais de obras até dois pavimentos. O mapeamento dos processos foi delineado, no qual foram extraídas as considerações sobre possíveis benefícios ou não do sistema construtivo. As descrições técnicas evidenciam a possibilidade da viabilidade construtiva de painéis sanduíche, com núcleo de garrafas PET, moldados no local. Já o a avaliação de custo e benefício demonstrou seu valor, nem tanto em função do custo direto, mas, em termos de benefícios de gestão do sistema construtivo.

This diploma thesis deals with trading in the international stock markets in conditions of financial crisis. The theoretical part covers basic definitions associated with stock markets, followed by a chapter dedicated to business cycles, which are significantly related to the stock markets. The first goal of the thesis is numerical comparison of the extensions of the actual financial crisis with the most meaningful financial crisis over last one hundred years. The second aim of the work is to effectuate the technical analysis using selected technical indicators and evaluate its results in chosen periods.

The graduation thesis "Analysis of stock-exchange data using AI methods" is focused on the use of neural networks while predicating the exchange-rate movements on Change. The theoretical part is divided into three independent units. The Change matters and the related individual terms are described in the first part. In the second part, the two basic approaches to the stock-exchange data analysis are analyzed, these two approaches being the fundamental and technical analysis. The third, and the last, theoretical part forms an individual unit describing the Artificial Intelligence theory. Particularly the issue of the neuronal networks is described in detail. The practical part seeks the use for the chosen neuronal network GAME. It analyses the chosen YMZ9 market. It focuses on the prediction of the exchange-rate movements using the "sliding window" method. The last chapter summarizes the results and it proves that under certain circumstances it is possible to properly use the neuronal networks both for the prediction of the stock-exchange movements and as one of the corner-stones of the profitable trading system.

This graduation thesis is exploring using of Information and Communication Technologies in the course of analysis of capital markets. The basic financial theory is described at the begging of the thesis. After this we investigate information dilemmas. Expansion of information science allowed modern stock exchanges to change their traditional trading model to electronically trading model, which is much cheaper and faster. Stock exchange trading systems, clearing centers, depositors of securities and trading platforms are described in this thesis. These technologies allow us to automate a process of trading. Nowadays the modern stock exchange is a provider of high-quality IT services. In addition, IT offers a number of tools for analysis of capital markets. These tools are applications for technical and fundamental analyses. Stock screeners allowed us to filter a big set of securities. It is the most usable analysis technology. In the last section of the thesis the technical stock screener which allowed identifying market opportunities was created. We used Microsoft Visual Studio 2008 and C# the programming language. We found a volume indicator which allowed us to achieve above-average gain 5% during the analysis of the big set of market data.

The diploma thesis deals with currency market analysis. There are three main types of analysis: fundamental, technical and psychological analysis. Each of these methods contains explanation of logic, on which the method is based, its advantages, disadvantages and specific examples of this analysis. Neural networks are furher explained in technical analysis. The practical part of the diploma thesis builds on knowledge of technical analysis and tests functionality of the neural networks in the environment of currency markets. The model is calibrated first and then it is used to predict the development of major currency pairs. The prediction is carried out on a monthly chart for December 2013.

This diploma thesis is engaging in investing on international stock markets and the main objective was to analyze the profit potential with consideration of possible risks. At first I have characterized international stock market and the theory of effective markets. In the second chapter I was focusing on methods that are used for stock valuations. The third chapter is comparing particular investment strategies that proved to be profitable in a long term. The secondary objective of my diploma thesis was recognition of investment risks, thus the fourth chapter is engaging in market and exchange rate risks. The fifth chapter is focusing on the hedging of exchange rate risk. I was applying obtained theoretical knowledge on a case study about BP company. All the results of the analysis were included in the final investment recommendation. The thoughts of the investment recommendation were then generalized into common investment principles.

Diploma thesis is focused on problematics of artificial neural networks and their usage on capital markets. There is a software created as a part of this diploma thesis which can load input data and create neural network that serves for share price forecast. This program is created in numerical computing environment MATLAB. Created neural network is tested under simulation of business model. Results are discussed upon examination of results of simulation.

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.