This thesis deals with trading on stock market. It focuses on technical analysis and algorithms based on that. The thesis also includes design, implementation, optimization and testing a trading system which is based on a combination of exponential and simple moving averages. The thesis presents the achieved results.

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.

This diploma thesis is focused on teoretical and practial aspects in the creation of trading strategie on FOREX market. The thesis include indicator and strategy that are build for tradning with EUR/USD currency. The designed strategy is developed in MetaTrader enviroment in MetaQuotes programming language. Indicator is optimalized on historical dates and choose settings for indicator to profit.

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.

The master’s thesis deals with trading the currency market. The aim of thesis is the creation of an automated trading system based on technical analysis. This thesis is divided into several parts. The theoretical aspects and analysis of current situation are followed by automated trading system proposal. The system is designed on basis of technical indicators and tested on historical data and then optimized.

The phenomenon of underpricing is a matter often spoken about in previous research, there are also well known papers that touch upon the subject of asymmetrical information on the marketplace as the central theory. This paper seeks to analyze the Swedish IPO market from 2011 through 2021 and is further limited to Swedish Tech companies listed on Nasdaq First North Growth Market. When a company decides to introduce their stocks onto the market, it is interesting to observe the market trends and the stock price changes from the first day of introduction. Prior studies analyze how stocks are heavily underpriced on the date of introduction as a strategy to spike the value on the first active day on the market, and thereafter slow down their growth in the coming months. Using prior research as a point of reference, the purpose of this paper is to observe how market trends on the day of an IPO affect its long-term performance. This study is based on an observation of 79 IPO:s on First North, where 30% of the cases were underpriced, and 70% were overpriced. The analysis shows that the underpricing of an IPO tends to lead to a positive performance of the stock over the coming 6 months, and the opposite is considered to be true for overpriced stocks. Further analysis of the result implies that the stock's performance follows a negative trend among 50 of the studied cases, independent of the industry trend as a whole. A statistical significance could not be found for underpricing in regard to both the following long-term performance of the stock and the industry trend; therefore, no statistical correlation could be determined. / Fenomenet om underprissättning är ett omtalat ämne i tidigare forskningsstudier fram till idag. Det finns även välkända teorier som behandlar detta ämnesområde där asymmetrisk information på marknaden är den centrala ideologin. Denna studie ämnar analysera den svenska IPO-marknaden från och med 2011 till och med 2021, och är vidare avgränsad till svenska tech-bolag listade på Nasdaq First North Growth Market. När ett företag tar beslut om att introduceras på aktiemarknaden är det intressanta att observera marknadstrenden och aktiekursens riktning från bolagets första handelsdag. Detta eftersom tidigare forskning har studerat hur aktier vid börsintroduktion är signifikant underprissatta för att sedan snabbt stiga i värde de första handelsdagarna och därefter sjunka kraftigt månaderna efter. Med utgångspunkt från dessa forskningsstudier är syftet med denna studie att observera hur marknadstrender på börsintroduktionsdagen påverkar aktiens långsiktiga prestation. Studien är bestående av 79 observerade börsintroduktioner på First North, där 30% av fallen var underprissatta och resterande 70% överprissatta. Analysen visar att när en underprissättning sker vid börsintroduktion tenderar aktien att prestera positiv avkastning sex månader efter, och motsatsen för om en överprissättning sker. Vidare analys av resultatet visar att aktiens kursriktning vid 50 av fallen har en nedåtgående trend oavsett hur dess branschtrend beter sig. En statistisk signifikans mellan underprissättning och den efterföljande total avkastningen samt branschtrenden och den efterföljande totalavkastningen var inte möjlig att påvisas i studien, och något samband mellan dessa anses därmed inte föreligga.

Denna studie syftar till att åskådliggöra huruvida bankernas hållbarhetsrapporter innehåller olika detaljerad information och om viss information i sådana fall prioriteras. Forskaren avser vidare studera vad hållbarhetsrapporterna har för betydelse för investerare, och om eventuella trender i aktiekurserna kan identifieras i samband med hållbarhetsrapporternas publicering. För att besvara studiens syfte och forskningsfrågor har forskaren analyserat Handelsbankens, SEB:s och Swedbanks hållbarhetsrapporter mellan 2016 och 2020.  I denna studie har forskaren tillämpat en flerforskningsmetod, vilket är en kombination av en kvalitativ och kvantitativ forskningsstrategi. Genom att tillämpa en flerforskningsmetod avser forskaren att minimera respektive forskningsstrategis svagheter och därigenom öka resultatets trovärdighet. Studien har analyserats med hjälp av CONI-modellen som belyser kvaliteten och kvantiteten i rapporterna för att underlätta en empirisk jämförelse. Resultatet indikerar att bankernas hållbarhetsrapporter innehåller olika detaljerad information samt att bankerna prioriterar viss information framför annan. Forskaren har sedermera genomfört ett ANOVA- test för att besvara huruvida signifikanta skillnader existerar mellan hållbarhetsrapporterna. Resultatet visar att det inte finns några signifikanta skillnader, vilket skulle kunna bero på att det lagstadgade kravet på hållbarhetsredovisning trädde i kraft 1 januari 2017. Vidare visar den tekniska analysen att aktiekurser sjunker i samband med att hållbarhetsrapporter publiceras. Med stöd i tidigare forskning, och med hjälp av resultatet från CONI-modellens tolkande och mekanistiska delar, drar forskaren slutsatsen att bankernas hållbarhetsarbete, och således hållbarhetsrapportering, är av betydande vikt för investerare. / This study aims to illustrate whether the banks’ sustainability reports contain various detailed information, and if certain information is prioritized. The researcher also intends to study the significance of sustainability reports for investors, and whether any trends in share prices can be identified in connection with the publication of sustainability reports. To answer the study’s purpose and research questions, the researcher has analyzed Handelsbanken’s, SEB’s and Swedbank’s sustainability reports between 2016 and 2020.  In this study, the researcher has applied mixed methods research which is a combination of a qualitative and quantitative research strategy. Mixed methods research intends to minimize the weaknesses of each research strategy and thereby increase the credibility of the results. The study has been analyzed using the CONI-model, which highlights the quality and quantity of the reports to facilitate an empirical comparison. The results indicate that the banks’ sustainability activities contain various detailed information and that the banks prioritize certain information over others. The researcher has subsequently carried out an ANOVA-test to answer whether significant differences exist between the sustainability reports. The results show that there are no significant differences, which may be due to the legal obligation for sustainability reporting coming into force on the 1st of January 2017. Furthermore, the technical analysis indicates that share prices fall in connection with the publication of sustainability reports. With support from previous research, and with the results from the CONI-model, the researcher draws the conclusion that the banks’ sustainability activities, and thus sustainability reporting, is significant to investors.

The increasing usage of algorithms and extensive collections of data have changed the discipline of finance and created new possibilities for analyzing the financial markets. To further explore the potential of developing new methods for understanding financial market behaviour, this thesis examines the first digit probability distribution of Benford's Law and its applicability within the financial markets. The research investigates various indices', equities', and technical analysis tools' conformity to Benford's Law by using relative price changes and volume traded. It was found that both indices and equities exhibit resemblance with Benford's Law, whereas technical analysis tools did not. In addition, the relevance of data frequency was explored, but it was deemed not to have any effect on conformity found. In an attempt to apply the findings, a regression analysis was conducted to forecast volatility. However, even though correlation was found, the regression model failed to predict future volatility accurately. / Den ökade användningen av algoritmer och omfattande datainsamling har förändrat det finansiella spelrummet och skapat nya möjligheter för analys av finansmarknaden. För att ytterligare undersöka potentialen i att utveckla nya metoder för att förstå finansmarknadens beteende utforskar denna avhandling Benfords lag och dess tillämpbarhet på den finansiella marknaden. Studien testar olika index, aktiers och tekniska analysverktygs överensstämmelse med Benfords lag genom att använda relativa prisförändringar och handlad volym. Det visade sig att både index och aktier följer Benfords lag medan tekniska analysverktyg inte gjorde det. Dessutom undersöktes datafrekvensens relevans, men detta ansågs inte ha någon effekt på överensstämmelsen med fördelningen. I ett försök att tillämpa resultaten genomfördes en regressionsanalys för att prognosticera volatilitet. Korrelation hittades men regressionsmodellen gav inte ett tillförlitligt resultat.

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[pt] A dificuldade de se prever movimento de ativos financeiros é objeto de estudo de diversos autores. A fim de se obter ganhos, se faz necessário estimar a direção (subida ou descida) e a magnitude do retorno do ativo no qual pretende-se comprar ou vender. A proposta desse trabalho consiste em desenvolver um modelo de otimização matemática com variáveis binárias capaz de prever movimentos de subidas e descidas de ativos financeiros e utilizar um modelo de otimização de portfólio para avaliar os resultados obtidos. O modelo de previsão será baseado no Support Vector Machine (SVM), no qual faremos modificações na regularização do modelo tradicional. Para o gerenciamento de portfólio será utilizada otimização robusta. As técnicas de otimização estão sendo cada vez mais aplicadas no gerenciamento de portfólio, pois são capazes de lidar com os problemas das incertezas introduzidas na estimativa dos parâmetros. Vale ressaltar que o modelo desenvolvido é data-driven, i.e, as previsões são feitas utilizando sinais não-lineares baseados em dados de retorno/preço histórico passado sem ter nenhum tipo de intervenção humana. Como os preços dependem de muitos fatores é de se esperar que um conjunto de parâmetros só consiga descrever a dinâmica dos preços dos ativos financeiros por um pequeno intervalo de dias. Para capturar de forma mais precisa essa mudança na dinâmica, a estimação dos parâmetros dos modelos é feita em janela móvel. Para testar a acurácia dos modelos e os ganhos obtidos foi feito um estudo de caso utilizando 6 ativos financeiros das classes de moedas, renda fixa, renda variável e commodities. Os dados abrangem o período de 01/01/2004 até 30/05/2018 totalizando um total de 3623 cotações diárias. Considerando os custos de transações e os resultados out-of-sample obtidos no período analisado percebe-se que a carteira de investimentos desenvolvida neste trabalho exibe resultados superiores aos dos índices tradicionais com risco limitado. / [en] The difficulty of predicting the movement of financial assets is the subject of study by several authors. In order to obtain gains, it is necessary to estimate the direction (rise or fall) and the magnitude of the return on the asset in which it is intended to be bought or sold. The purpose of this work is to develop a mathematical optimization model with binary variables capable of predicting up and down movements of financial assets and using a portfolio optimization model to evaluate the results obtained. The prediction model will be based on the textit Support Vector Machine (SVM), in which we will make modifications in the regularization of the traditional model. For the portfolio management will be used robust optimization. The robust optimization techniques are being increasingly applied in portfolio management, since they are able to deal with the problems of the uncertainties introduced in the estimation of the parameters. It is noteworthy that the developed model is data-driven, i.e., the predictions are made using nonlinear signals based on past historical price / return data without any human intervention. As prices depend on many factors it is to be expected that a set of parameters can only describe the dynamics of the prices of financial assets for a small interval of days. In order to more accurately capture this change in dynamics, the estimation of model parameters is done in a moving window To test the accuracy of the models and the gains obtained, a case study was made using 6 financial assets of the currencies, fixed income, variable income and commodities classes. The data cover the period from 01/01/2004 until 05/30/2018 totaling a total of 3623 daily quotations. Considering the transaction costs and out-of-sample results obtained in the analyzed period, it can be seen that the investment portfolio developed in this work shows higher results than the traditional indexes with limited risk.