This masters thesis is based on study of technical analysis of financial markets, i.e. analysis of dependencies between past and present price data, especially when it comes to "supports" and "resistances" or historical price levels where price recently tended to stop and reverse. First of all, summary of the most relevant literature on technical analysis is presented, together with literature on psychology of investing, behavioral finance and market efficiency. Following that, theoretical arguments in favor of possible edge in trading of technical levels are introduced and possible objections are addressed. This theory - in the form of several thousands of unique but similar trading strategies - is then tested on historical data of the most important financial assets. Results are compared to those of conservative buy-and-hold strategy and random trading. We reached the conclusion that trading based on technical price levels brings positive capital gains which are better than those achieved by random trading and buy-and-hold strategy. Parameters of our strategies influence the results in expectable manner more often than not.

The aim of the Thesis is to determine the influence of technical analysis to the profitability of shares by O2 Telefónica, Komerční banka and ČEZ whan applied to a predeterminated trading model and judge the validity of Efective Markets Theory. It will be also followed up the influence of trading signals of technical indicators on the shape and characteristics of conditional distribution set by those signals. The Crystal Ball was used as the main software tool. This software dispose of all tools necesarry for the analysis. There is also desribed the theoretical background of areas like shares, technical analysis, random quantity distribution, generating of random numbers and other related areas in the Thesis, so the reader who does not understand the problemacy could understand the best.

The aim of this thesis is to examine the dependence of the exchange rate movement on the core fundamentals of the economy in the long term, as well as to test the validity of selected indicators of technical analysis in the short term. The dependence of the exchange rate will be examined using correlation and the discussed fundamentals are the main macroeconomic indicators, such as GDP, short-term interest rates and money base M2. In the part, which deals with the technical analysis, I will test the two groups of indicators, namely trend indicators and oscillators. From the first group it will be simple moving average (SMA), Exponential Moving Average (EMA), the weighted moving average (WMA), the triangular moving average (TMA) and MACD. From the group of oscillators I will test the relative strength index (RSI). All these indicators will be first described in the theoretical part of this thesis. The thesis is divided into two parts - theoretical and practical. The theoretical part includes two chapters which deals with the analysis of the Forex market. The first chapter deals with fundamental analysis. The second chapter deals with technical analysis. In the third chapter I will discuss both methods in practice, with emphasis on technical analysis.

Os transformadores para instrumentos (TIs) são equipamentos essenciais para a realização das funções de medição e de proteção nos sistemas elétricos de potência. O mau funcionamento dos TIs nos sistemas de proteção pode provocar tanto atuações indevidas como falhas de operação e, em ambos os casos, acarretará prejuízos à concessionária ou a terceiros, podendo, ainda, serem gerados danos materiais ou pessoais. Quando os transformadores de corrente (TCs) ou de potencial (TPs) estão instalados em sistemas de medição para faturamento e não funcionam com a precisão necessária, milhares ou milhões de reais podem ser perdidos por ano, seja por quem vende a energia, seja por quem a compra. O presente estudo, analisa a viabilidade (ou possibilidade) da utilização de TIs ópticos no sistema elétrico de potência brasileiro. Foram realizados comparativos técnicos e econômicos entre os TIs convencionais e os ópticos, sendo que no aspecto econômico são analisadas situações em que maus funcionamentos (ou falhas) dos TIs convencionais podem causar prejuízos às concessionárias. São apresentados levantamentos de dados indicativos das quantidades de TIs em uso e dos preços de aquisição desses equipamentos. Também é apresentado o resultado de uma enquete que avaliou o grau de familiaridade que os engenheiros do setor elétrico brasileiro tem com a tecnologia de TIs ópticos. O trabalho apurou que os TIs ópticos demonstram superioridades técnicas e econômicas frente aos TIs convencionais, mas que, para que eles sejam utilizados mais amplamente nas subestações, além de uma maior divulgação dos mesmos por parte de seus fabricantes, ainda são necessários esforços de adaptação e/ou aplicação de novas tecnologias que facilitem a conexão dos TIs ópticos aos sistemas de proteção e medição em uso. O trabalho indica também que esse problema, no futuro, deverá ser eliminado com a natural modernização das subestações e com a implantação de redes de comunicação aderentes à norma IEC 61850-9-2. / The instruments transformers (ITs) are essential equipment to perform the measurement and protection functions in electrical power systems. The malfunctioning of ITs in protection systems can cause undue actuations as well as operation failures and, in both cases, the utilities or third parties will face financial losses and, also, personal or material damages can be generated. When current transformers (CTS) or potential transformers (PTs) are used for revenue metering applications and do not work with the necessary precision, thousands or millions of reais may be lost per year, either by those who sell energy, or by whom purchase it. This study examines the viability of optical ITs applications in brazilian electric power systems. Technical and economical comparisons between conventional and optical ITs were carried out, and economic aspects of situations in which malfunctions (or failures) of conventional ITs can cause financial losses to utilities are discussed. Data about quantities and prices of conventional ITs in use in Brazil are shown. Also, results of a research evaluating the familiarity of engineers working in electric power utilities with the optical ITs technology are presented. The study found that optical ITs have shown technical and economical superiorities over conventional ITs, but, in order to be widely used in substations there are still needed adaptation efforts and/or application of new technologies that facilitate the connection of optical ITs to protection and measurement systems already in use. The present work also indicates that this problem, in the future, should be eliminated by natural modernization of substations and the installation of communication networks compliant to the IEC 61850-9-2 standard.

A versatilidade do mercado de opções o torna atrativo para diversos perfis de investidores. Especuladores e hedgers dispõem de uma grande variedade de estratégias e conseguem modelar uma relação risco-retorno apropriada para o seu perfil de investimento. Operar nesse mercado, no entanto, exige do investidor muito cuidado em suas análises, já que uma operação malsucedida pode ter um efeito muito mais desastroso do que no mercado à vista. Surge, então, o interesse no uso da Análise Gráfica, como uma poderosa ferramenta de reconhecimento de tendências, para a identificação de melhores oportunidades de operação. O objetivo deste estudo foi avaliar a eficiência da aplicação da Análise Gráfica no mercado de opções. A estratégia adotada foi a de realizar operações com opções a partir da Análise Gráfica dos ativos no mercado à vista. Foram estudadas séries históricas das cotações da Petrobras PN (2004 a 2008), Telemar PN (2004 a 2006) e Vale do Rio Doce PNA (2006 a 2008). Foram identificadas 79 oportunidades de operação e seus resultados variaram entre um prejuízo de 95,72% e um lucro de 801,96%. Os resultados sugerem que operar no mercado de opções a partir da Análise Gráfica dos ativos no mercado à vista pode ser uma estratégia muito lucrativa, desde que alguns cuidados fundamentais sejam tomados para amenizar a exposição ao grande risco imposto pelas operações com opções. / The versatility of the options market makes it attractive to investors of various profiles. Speculators and hedgers hold a great variety of strategies and manage to model an appropriate risk-return relationship which fits their investment profile. Nevertheless, in order to trade in this market, an investor must be very careful in his analysis, once an unsuccessful trade might have a much more disastrous effect than in the stock market. It comes to light, then, the interest in the usage of the Technical Analysis as a powerful tool for spotting trends in order to identify the best trade opportunities. The objective of this study was to evaluate the efficiency of the application of the Technical Analysis in the options market. The adopted strategy was to trade options based on the Technical Analysis of its underlying instrument. A variety of historical prices of Petrobras PN (2004 to 2008), Telemar PN (2004 to 2006) and Vale do Rio Doce PNA (2006 to 2008) were studied. Seventy-nine trade opportunities were identified and their results varied from a 95.72% loss to an 801.96% profit. The results suggest that trading in the options market based on the Technical Analysis of its underlying instrument might be a very profitable strategy, provided that some fundamental precautions are taken in order to minimize the exposure to the great risk presented by the options trading.

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.

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.

Os transformadores para instrumentos (TIs) são equipamentos essenciais para a realização das funções de medição e de proteção nos sistemas elétricos de potência. O mau funcionamento dos TIs nos sistemas de proteção pode provocar tanto atuações indevidas como falhas de operação e, em ambos os casos, acarretará prejuízos à concessionária ou a terceiros, podendo, ainda, serem gerados danos materiais ou pessoais. Quando os transformadores de corrente (TCs) ou de potencial (TPs) estão instalados em sistemas de medição para faturamento e não funcionam com a precisão necessária, milhares ou milhões de reais podem ser perdidos por ano, seja por quem vende a energia, seja por quem a compra. O presente estudo, analisa a viabilidade (ou possibilidade) da utilização de TIs ópticos no sistema elétrico de potência brasileiro. Foram realizados comparativos técnicos e econômicos entre os TIs convencionais e os ópticos, sendo que no aspecto econômico são analisadas situações em que maus funcionamentos (ou falhas) dos TIs convencionais podem causar prejuízos às concessionárias. São apresentados levantamentos de dados indicativos das quantidades de TIs em uso e dos preços de aquisição desses equipamentos. Também é apresentado o resultado de uma enquete que avaliou o grau de familiaridade que os engenheiros do setor elétrico brasileiro tem com a tecnologia de TIs ópticos. O trabalho apurou que os TIs ópticos demonstram superioridades técnicas e econômicas frente aos TIs convencionais, mas que, para que eles sejam utilizados mais amplamente nas subestações, além de uma maior divulgação dos mesmos por parte de seus fabricantes, ainda são necessários esforços de adaptação e/ou aplicação de novas tecnologias que facilitem a conexão dos TIs ópticos aos sistemas de proteção e medição em uso. O trabalho indica também que esse problema, no futuro, deverá ser eliminado com a natural modernização das subestações e com a implantação de redes de comunicação aderentes à norma IEC 61850-9-2. / The instruments transformers (ITs) are essential equipment to perform the measurement and protection functions in electrical power systems. The malfunctioning of ITs in protection systems can cause undue actuations as well as operation failures and, in both cases, the utilities or third parties will face financial losses and, also, personal or material damages can be generated. When current transformers (CTS) or potential transformers (PTs) are used for revenue metering applications and do not work with the necessary precision, thousands or millions of reais may be lost per year, either by those who sell energy, or by whom purchase it. This study examines the viability of optical ITs applications in brazilian electric power systems. Technical and economical comparisons between conventional and optical ITs were carried out, and economic aspects of situations in which malfunctions (or failures) of conventional ITs can cause financial losses to utilities are discussed. Data about quantities and prices of conventional ITs in use in Brazil are shown. Also, results of a research evaluating the familiarity of engineers working in electric power utilities with the optical ITs technology are presented. The study found that optical ITs have shown technical and economical superiorities over conventional ITs, but, in order to be widely used in substations there are still needed adaptation efforts and/or application of new technologies that facilitate the connection of optical ITs to protection and measurement systems already in use. The present work also indicates that this problem, in the future, should be eliminated by natural modernization of substations and the installation of communication networks compliant to the IEC 61850-9-2 standard.

Submitted by Ricardo Cedraz Duque Moliterno (ricardo.moliterno@uefs.br) on 2015-10-07T21:48:06Z No. of bitstreams: 1 Disserta??o de Mestrado - Marcus Vinicius Araujo Martins.pdf: 17313212 bytes, checksum: c8f53c6ca71e9fd04eb76a8bfaa1f1a1 (MD5) / Made available in DSpace on 2015-10-07T21:48:06Z (GMT). No. of bitstreams: 1 Disserta??o de Mestrado - Marcus Vinicius Araujo Martins.pdf: 17313212 bytes, checksum: c8f53c6ca71e9fd04eb76a8bfaa1f1a1 (MD5) Previous issue date: 2015-07-23 / This dissertation includes the implementation of an investment strategy using the divergence pattern of Technical Analysis indicator MACD. This pattern, when it occurs in historical price series indicate trend reversals and thus signal moments of buying and selling of shares, within the so-called Capital Markets. An investment strategy composed of a pattern detection algorithm divergence of the MACD indicator was implemented and applied to several historical series of american stock prices considering trade volumes, popularity of the company, price volatility and their comparison with returns on random dates market entrance. In addition, a stock portfolio composed of the higher volume trading and more volatile stocks was implemented. These tests considered the period from 2003 to 2013. Another test on definite trend moments and not definite considered the interval from 2000 to 2013. Overall, all the tests and simulations, were obtained positive returns on investments based on past prices using a strategy when compared with simple strategies such as buy a stock and hold it till the end of the period, or in comparison with major indexes in the US market. One can conclude, therefore, that the divergence pattern of the MACD indicator was able to predict reversals trends in stock prices used as reference during the period. / Esse trabalho contempla a implementa??o de uma estrat?gia de investimento utilizando o padr?o de diverg?ncia do indicador de An?lise T?cnica MACD. Esse padr?o, quando ocorre em s?ries hist?ricas de pre?os, indicam revers?es de tend?ncia e, dessa forma, sinalizam momentos de compra e venda de a??es, dentro do que se chama Mercado de Capitais. Uma estrat?gia de investimento composta por um algoritmo de detec??o do padr?o de diverg?ncia do indicador MACD foi implementada e aplicada a diversas s?ries hist?ricas de pre?os de a??es americanas, considerando volume de negocia??es, popularidade da empresa, volatilidade dos pre?os e comparativos com retornos por datas aleat?rias de entrada no mercado. Al?m disso, foi implementada uma carteira de a??es composta pelas empresas de maior volume de negocia??o e volatilidade de pre?os. Esses testes consideraram o per?odo de 2003 a 2013. Outro teste, sobre momentos de tend?ncia definida e n?o definida considerou o intervalo de 2000 a 2013. No geral, em todos os testes e simula??es, foram obtidos retornos positivos sobre investimentos baseados em pre?os passados utilizando a estrat?gia, quando comparado com estrat?gias simples como comprar uma a??o e mant?-la at? o fim do per?odo, ou na compara??o com principais ?ndices do mercado americano. Pode-se concluir, portanto, que o padr?o de diverg?ncia do indicador MACD foi capaz de prever revers?es de tend?ncias nos pre?os das a??es utilizadas como refer?ncia no per?odo considerado.

本研究首先針對下列不同市場類型、不同投資期限及不同投資方式，全面探討市場股票指數其績效報酬及風險的差異為何。 一、 投資全球型、新興市場、區域型及單一國家等不同類型。 二、 3個月、半年、1年、3年、5年、10年、20年及30年等不同投資期限。 三、 單筆、「定期定額」等不同策略。 其後，以基金淨值之RSV技術指標，來調整扣款時機，來探討定期定額及調整式定期定額等2種投資方式，何者所獲得之資本利得較佳。 本研究主要結論及建議如下： 一、 投資地區投資期間及投資方式對報酬及風險的影響： （一） 除台灣市場外，投資期間加長確實使風險（標準差）明顯下降，且平均報酬率差異不大。 （二） 投資地區仍以區域型為較佳考量，單一國家之股票市場可能因選擇誤差而產生較大風險，至各區域之投資如將報酬率與風險併同考量，則可用延長投資期間來獲取穩定投資報酬。 （三） 以拉丁美洲、全球、美國及全球新興等市場較具投資價值；台灣市場不宜作為非專業人士之投資標的。 （四） 單筆投資報酬率明顯優於定期定額，如以年利率3%來進行資金折現後，年平均投資報酬率約為6%-9%，顯示及早將資金投入可獲較佳報酬。 （五） 迴歸模型實證結果（99％的顯著水準下） 1. 投資地區、投資期間、投資方式對報酬率的影響是否存在差異性：投資期間及投資方式2變數與報酬率有密切的關係，至投資區域除全球新興市場外，餘5個區域與報酬率皆有密切的關係。 2. 不同投資地區報酬率的影響是否存在差異性：除全球及美國2區域外，餘4個區域顯示投資期間與報酬率有密切的關係，且報酬率隨投資期間的增長而減少，惟差距甚小。另6個投資區域皆顯示投資方式與報酬率有密切的關係，且以單筆投資報酬率較高，惟差距幅度亦甚小。 3. 若以「標準差」當作基金的風險指標，經統計分析後『風險』與『報酬』呈現正相關，表示高風險可相對獲得較高之報酬。 4. 投資期間與Sharp值有密切的關係，且投資期間加長可提高每單位風險之報酬；投資方式與Sharp值無密切的關係；至投資區域除亞洲(不含日本)及美國與Sharp值有密切的關係外，餘4個區域與Sharp值皆無密切的關係。 二、 “定期定額”與”定期定額+RSV指標”的績效比較 （一） 以全部樣本(方式Ａ)、RSV區分(方式Ｂ) 2分類方式，其10年之超額平均報酬小；以投資地區(方式Ｃ)分類，其10年之超額報酬最高為8.9(拉丁美洲) ，最低為-5.95(亞洲(不含日本))，差異不大。 （二） 進行T檢定後，僅方式Ｃ分組呈現“定期定額”較”定期定額+RSV指標”二者報酬率具顯著差異。