L’intérêt des modèles non-linéaires réside, d’une part, dans une meilleure prise en compte des non-linéaritéscaractérisant les séries macroéconomiques et financières et, d’autre part, dans une prévision plus riche en information.A ce niveau, l’originalité des intervalles (asymétriques et/ou discontinus) et des densités de prévision (asymétriqueset/ou multimodales) offerts par cette nouvelle forme de modélisation suggère qu’une amélioration de la prévisionrelativement aux modèles linéaires est alors possible et qu’il faut disposer de tests d’évaluation assez puissants pourvérifier cette éventuelle amélioration. Ces tests reviennent généralement à vérifier des hypothèses distributionnellessur les processus des violations et des transformées probabilistes associés respectivement à chacune de ces formes deprévision. Dans cette thèse, nous avons adapté le cadre GMM fondé sur les polynômes orthonormaux conçu parBontemps et Meddahi (2005, 2012) pour tester l’adéquation à certaines lois de probabilité, une approche déjà initiéepar Candelon et al. (2011) dans le cadre de l’évaluation de la Value-at-Risk. Outre la simplicité et la robustesse de laméthode, les tests développés présentent de bonnes propriétés en termes de tailles et de puissances. L’utilisation denotre nouvelle approche dans la comparaison de modèles linéaires et de modèles non-linéaires lors d’une analyseempirique a confirmé l’idée selon laquelle les premiers sont préférés si l’objectif est le calcul de simples prévisionsponctuelles tandis que les derniers sont les plus appropriés pour rendre compte de l'incertitude autour de celles-ci. / The interest of non-linear models is, on the one hand, to better take into account non-linearities characterizing themacroeconomic and financial series and, on the other hand, to get richer information in forecast. At this level,originality intervals (asymmetric and / or discontinuous) and forecasts densities (asymmetric and / or multimodal)offered by this new modelling form suggests that improving forecasts according to linear models is possible and thatwe should have enough powerful tests of evaluation to check this possible improvement. Such tests usually meanchecking distributional assumptions on violations and probability integral transform processes respectively associatedto each of these forms of forecast. In this thesis, we have adapted the GMM framework based on orthonormalpolynomials designed by Bontemps and Meddahi (2005, 2012) to test for some probability distributions, an approachalready adopted by Candelon et al. (2011) in the context of backtesting Value-at-Risk. In addition to the simplicity androbustness of the method, the tests we have developed have good properties in terms of size and power. The use of ournew approach in comparison of linear and non-linear models in an empirical analysis confirmed the idea according towhich the former are preferred if the goal is the calculation of simple point forecasts while the latter are moreappropriated to report the uncertainty around them.

Cette thèse se concentre sur des mesures du risque financier et la modélisation de la volatilité. L’objectifgénéral est : (i) de proposer de nouvelles techniques pour mesurer à la fois le risque systémique et lerisque à haute fréquence, et (ii) d’appliquer et d’améliorer les outils économétriques de modélisation etde prévision de la volatilité. Ce travail comporte quatre chapitres (papiers de recherche).La première partie de la thèse traite des questions liées à la modélisation et la prévision des mesuresdu risque à haute fréquence et du risque systémique. Plus précisément, le deuxième chapitre proposeune nouvelle mesure du risque systémique utilisée pour identifier les institutions financières d’importancesystémique (SIFIs). Basée sur une approche spécifique, cette mesure originale permet de décomposer lerisque global du système financier tout en tenant compte des caractéristiques de l’entreprise. Le troisièmechapitre propose des mesures du risque de marché intra-journalier dans le contexte particulier des donnéesà haute fréquence irrégulièrement espacées dans le temps (tick-by-tick).La deuxième partie de la thèse est consacrée aux méthodes d’estimation et de prévision de la volatilitéincluant directement des données à haute fréquence ou des mesures réalisées de volatilité. Ainsi, dans lequatrième chapitre, nous cherchons à déterminer, dans le contexte des modèles de mélange des fréquencesd’échantillonnage (MIDAS), si des regresseurs à haute fréquence améliorent les prévisions de la volatilitéà basse fréquence. Une question liée est de savoir s’il existe une fréquence d’échantillonnage optimaleen termes de prévision, et non de mesure de la volatilité. Le cinquième chapitre propose une versionrobuste aux jumps du modèle Realized GARCH. L’application porte sur la crise / This thesis focuses on financial risk measures and volatility modeling. The broad goal of this dissertationis: (i) to propose new techniques to measure both systemic risk and high-frequency risk, and (ii) toapply and improve advanced econometric tools to model and forecast time-varying volatility. This workhas been concretized in four chapters (articles).The first part addresses issues related to econometric modeling and forecasting procedures on bothsystemic risk and high-frequency risk measures. More precisely, Chapter 2 proposes a new systemic riskmeasure used to identify systemically important financial institutions (SIFIs). Based on a componentapproach, this original measure allows to decompose the risk of the aggregate financial system whileaccounting for the firm characteristics. Chapter 3 studies the importance and certifies the validity ofintraday High Frequency Risk (HFR) measures for market risk in the special context of irregularly spacedhigh-frequency data.The second part of this thesis tackles the need to improve the estimation/prediction of volatility bydirectly including high-frequency data or realized measures of volatility. Therefore, in Chapter 4 weexamine whether high-frequency data improve the volatility forecasts accuracy, and if so, whether thereexists an optimal sampling frequency in terms of prediction. Chapter 5 studies the financial volatilityduring the global financial crisis. To this aim, we use the largest volatility shocks, as provided by therobust version of the Realized GARCH model, to identify and analyze the events having induced theseshocks during the crisis.

Made available in DSpace on 2010-04-20T21:00:18Z (GMT). No. of bitstreams: 3 ernestokabashimaturma2003.pdf.jpg: 14228 bytes, checksum: dee04567d9b7d510262698cc8b1aac7a (MD5) ernestokabashimaturma2003.pdf: 322209 bytes, checksum: 07320e4df8ce4733adad8f20e464b5f9 (MD5) ernestokabashimaturma2003.pdf.txt: 96815 bytes, checksum: 7704291ee38c7a6004795b3faa07da1f (MD5) Previous issue date: 2006-02-01T00:00:00Z / Esta dissertação estuda a aplicação da estratégia Pairs Trading no mercado acionário brasileiro. Envolve basicamente a identificação de pares de ações que tenham movimentos de preço semelhantes e posteriormente a operação do diferencial entre seus preços. É possível observar no mercado a existência de um valor de equilíbrio de longo prazo para alguns pares de ações e quando o diferencial divergir de certa quantidade pré-definida opera-se o diferencial no intuito de que o mesmo retorne ao seu valor de equilíbrio de longo prazo, ou seja, espera-se que ocorra uma reversão à média do diferencial. A metodologia para a identificação desses pares de ações que descrevem movimentos semelhantes vem do conceito de cointegração. Essa metodologia é aplicada sobre as ações do índice Bovespa de 04-Jan-1993 a 30-Jun-2005. Inicialmente é feita uma pré-seleção dos pares de ações via correlação, ou medida de distância. Para a seleção final é feito o teste de cointegração, onde é utilizado o método de Dickey-Fuller aumentado (Augmented Dickey-Fuller test – ADF) para verificar a existência de raiz unitária da série de resíduo da combinação linear do logaritmo dos preços. Após a seleção, os pares são simulados historicamente (backtesting) para se analisar a performance dos retornos dos pares de ações, incluindo também os custos operacionais. / This dissertation addresses the application of Pairs Trading strategy in the Brazilian equity market. Basically it consists in the identification of the stock pairs, that have similar price movements, which can be subsequently traded based on their prices spread. It can be observed in the market that a long-term equilibrium value can be determined between some pairs of stocks and when this spread diverges to a certain predetermined value from the mean, it is traded in the expectation that it will return to the long term equilibrium value, i.e., the spread mean reversion. The methodology used to identify the pairs of stocks, which have similar movements, is derived from the concept of cointegration. This methodology was applied to all of the stocks that compose the Bovespa index from 04-Jan-1993 to 30-Jun-2005. Initially pairs of stocks were pre-selected using correlation, or distance measure. The Augmented Dickey-Fuller test (ADF) was also used in order to determine the cointegrated pairs. ADF is used to verify the existence of the unit root in the residual time series of the logarithm of prices. After the selection was completed the chosen pairs were backtested in order to analyze the performance of their returns, with the addition of the operational costs.

Made available in DSpace on 2010-04-20T21:00:53Z (GMT). No. of bitstreams: 4 Eduardo Menescal Lustosa Longo.pdf.jpg: 10145 bytes, checksum: b065ece0a6050c28545e0c2004a42402 (MD5) Eduardo Menescal Lustosa Longo.pdf.txt: 40329 bytes, checksum: 1026ba29309ee769eab96eae93bebd92 (MD5) Eduardo Menescal Lustosa Longo.pdf: 273765 bytes, checksum: c3f0204a9f073bb4276db2a68130c0cb (MD5) license.txt: 4886 bytes, checksum: a7c9cfe8632065c9656e1d827d849400 (MD5) Previous issue date: 2009-01-29T00:00:00Z / In this dissertation, we assess the application of pairs trading strategy in the Brazilian stock market. Differently from other papers about the same theme, we built synthetic asset from a linear relationship between stock prices. Accordingly to Burgeois and Minko (2005), we applied the Johansen methodology to identify stock pairs to be evaluated. After identifying cointegrated stock pairs, in order to filter out nonstationary synthetic assets, we did the DF-GLS and KPSS tests and removed those with unit root in the time series. Thereafter, we simulate the strategy (backtesting) in the selected pairs and in order to find the best results parameters, we optimized the results using different formation periods, trading periods and entry, exit and stop-loss parameters. To assure the most close to reality backtesting, we included in the results the brokerage, exchange and stock loan fees. In addition we added one day lag to trade after an order has triggered. / Neste trabalho, verificamos viabilidade de aplicação da estratégia de pairs trading no mercado acionário brasileiro. Diferentemente de outros estudos do mesmo tema, construímos ativos sintéticos a partir de uma combinação linear de preços de ações. Conforme Burgeois e Minko (2005), utilizamos a metodologia de Johansen para a formação dos pares a serem testados. Após a identificação de pares cointegrados, para assegurar a estacionaridade do ativo sintético contruído a partir da relação linear de preços das ações, utilizamos os testes DF-GLS e KPSS e filtramos àqueles que apresentavam raiz unitária em sua série de tempo. A seguir, simulamos a estratégia (backtesting) com os pares selecionados e para encontrar os melhores parâmetros, testamos diferentes períodos de formação dos pares, de operação e de parâmetros de entrada, saída e stop-loss. A fim de realizarmos os testes de forma mais realista possível, incluímos os custos de corretagem, de emolumentos e de aluguel, além de adicionar um lag de um dia para a realização das operações

The subject of this thesis is a technical analysis as a specific method for prediction of the future trend of equities. The topic is introduced by an analysis of investment opportunities in markets in the Czech Republic and in the world, by a comparison of analytical methods. The main part consists of exploration and description of selected indicators of technical analysis. On their basis business strategies are created and reflected in automated trading systems. These strategies are subject of testing on historical data and of subsequent optimization to maximize potential profitability. The results of testing are summarized and evaluated in the final phase of this thesis that also analyzes advantages and shortcomings of the technical analysis and gives an idea for further investigation.

Submitted by Camila Corrêa Moraes (camila.cmoraes@gmail.com) on 2013-02-24T03:00:19Z No. of bitstreams: 1 DISSERTAÇÃO CAMILA MORAES.pdf: 4708711 bytes, checksum: 3c2acb024f3dbcde7627bb8afea462fd (MD5) / Rejected by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br), reason: Prezada Camila, Seu titulo não confere com a Ata, não podemos aprovar o trabalho, pois não temos informação do orientador (verso da Ata) da mudança do título. Aguardo email do seu orientador informando a alteração e posteriormente o professor deve assinar o verso da ata. Att. Suzi 3799-7876 on 2013-02-25T15:26:27Z (GMT) / Submitted by Camila Corrêa Moraes (camila.cmoraes@gmail.com) on 2013-02-26T17:46:32Z No. of bitstreams: 1 DISSERTAÇÃO CAMILA MORAES.pdf: 4708711 bytes, checksum: 3c2acb024f3dbcde7627bb8afea462fd (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-02-26T17:50:59Z (GMT) No. of bitstreams: 1 DISSERTAÇÃO CAMILA MORAES.pdf: 4708711 bytes, checksum: 3c2acb024f3dbcde7627bb8afea462fd (MD5) / Made available in DSpace on 2013-02-26T18:41:00Z (GMT). No. of bitstreams: 1 DISSERTAÇÃO CAMILA MORAES.pdf: 4708711 bytes, checksum: 3c2acb024f3dbcde7627bb8afea462fd (MD5) Previous issue date: 2013-01-29 / Value at Risk (VaR) and Expected Shortfall (ES) are quantitative models to measure market risk of financial assets portfolios. The purpose of this study is to evaluate the results of these models for a portfolio traded in the Brazilian market through four backtesting methods - Basel Traffic Light Test, Kupiec Test, Christoffersen Test and McNeil and Frey Test - covering periods of domestic (2002) and international (2008) financial crisis. The VaR model described here presents two approaches - Parametric, where it is assumed that the distribution of asset returns follow a Normal, and Historical Simulation, where there are no assumption about the distribution of asset returns, but it is assumed that they are independent and identically distributed. The results of VaR were also evaluated with the Cornish-Fisher expansion, which tries to approximate the empirical distribution to a Normal distribution using the values of skewness and kurtosis. Another feature observed was the property of coherence, which evaluates if the risk measure follows four basic axioms - monotonicity, translation invariance, homogeneity and subadditivity. VaR is not considered a coherent risk measure because it doesn´t follow the subadditivity feature in all cases. On the other hand the ES follows the four axioms, thus considered a coherent risk measure. The ES model was evaluated according to the Parametric Normal approach. This work also verified through backtests, if the property of coherency improves the accuracy of the analyzed risk measures / Value at Risk (VaR) e Expected Shortfall (ES) são modelos quantitativos para mensuração do risco de mercado em carteiras de ativos financeiros. O propósito deste trabalho é avaliar os resultados de tais modelos para ativos negociados no mercado brasileiro através de quatro metodologias de backtesting - Basel Traffic Light Test, Teste de Kupiec, Teste de Christoffersen e Teste de McNeil e Frey – abrangendo períodos de crise financeira doméstica (2002) e internacional (2008). O modelo de VaR aqui apresentado utilizou duas abordagens – Paramétrica Normal, onde se assume que a distribuição dos retornos dos ativos segue uma Normal, e Simulação Histórica, onde não há hipótese a respeito da distribuição dos retornos dos ativos, porém assume-se que os mesmos são independentes e identicamente distribuídos. Também foram avaliados os resultados do VaR com a expansão de Cornish-Fisher, a qual visa aproximar a distribuição empírica a uma distribuição Normal utilizando os valores de curtose e assimetria para tal. Outra característica observada foi a propriedade de coerência, a qual avalia se a medida de risco obedece a quatro axiomas básicos – monotonicidade, invariância sob translações, homogeneidade e subaditividade. O VaR não é considerado uma medida de risco coerente, pois não apresenta a característica de subaditividade em todos os casos. Por outro lado o ES obedece aos quatro axiomas, considerado assim uma medida coerente. O modelo de ES foi avaliado segundo a abordagem Paramétrica Normal. Neste trabalho também se verificou através dos backtests, o quanto a propriedade de coerência de uma medida de risco melhora sua precisão.

This master’s thesis deals with automated trading systems based on chosen trading strategies, their testing and inputs optimization. The work begins with a theoretical basis for subsequent practical part, where is the solution process illustrated. In conclusion, final evaluation of results is performed and recommendations for the future are mentioned.

This master’s thesis deals with the technical analysis of Starbucks Corporation, Vodafone Group, Apple and Autodesk stocks, which are tradeable at stock market NASDAQ. At the beginning, this work focuses on theoretical materials, which are then used for elaborating three trading systems and their testing on selected stocks. Conclusion of this thesis contains a selection of trading system for each stock on selected period of time.

In post-financial crisis times, new legislation in combination with banks’ changed risk aversion has to a great extent changed the proprietary trading to client driven trading, i.e. market making or client facilitation. This type of trading complicates the risk-return dynamics, as the goal is often to minimize risk and achieve profitable commission revenues. This thesis aims to disclose the risk-return tradeoff in a client driven trading environment. This is done by investigating the conditional relation between risk and realized return. As opposed from many studies which proxy the risk with beta or variance, I use a delta-gamma Value at Risk model as the risk proxy, which I also backtest. For the return proxy, I use three different measures; P&L, commission revenues and the sum of these two. A positive tradeoff exists if (i) the return is equally negatively dependent on the risk if the ex post return is negative, as it is positively dependent on the risk if the ex post return is positive and (ii) the average return is significantly positive. For three different client driven trading portfolios tested, I found a positive risk-return tradeoff in one portfolio, between the P&L plus commission revenues and the Value at Risk. However, since a symmetrical conditional relationship between risk and P&L plus commission revenues was found in all portfolios, and the average return was positive, the positive tradeoff would have existed if the average return would have been significantly positive. On the other hand, one could argue that the tradeoff exists, but is not significant. No relation between risk and commission revenues was found. A probable cause to this is the hedging strategies, which would be an interesting topic for further research. / I tiden efter finanskrisen har nya regelverk i kombination med bankers förändrade riskaptit till stor del förändrat den proprietära handeln till klientdriven handel, i.e. ”market making” eller förenklad handel för kund. Denna typ av handel komplicerar dynamiken mellan risk och avkastning, då målet ofta är att minimera risk och nå lönsamma kommissionsintäkter. Denna uppsats ämnar påvisa förhållandet mellan risk och avkastning i en klientdriven handelsmiljö. Detta görs genom att undersöka den betingade relationen mellan risk och realiserad avkastning. Till skillnad från andra studier som använder beta eller varians som riskmått, använder jag en delta-gamma Value at Risk-modell som jag också backtestar. Som avkastningsmått, använder jag tre olika mått; P&L, kommissionsintäkter samt summan av dessa två. En positiv belöning för att bära risk existerar om (i) avkastningen är lika negativt beroende av risken om den realiserade avkastningen är negativ, som den är positivt beroende av risken om den realiserade avkastningen är positiv och (ii) medelvärdet på avkastningen är signifikant positiv. För tre olika klientdrivna portföljer som testats, hittades en positiv belöning för att bära risk endast i en portfölj, mellan P&L plus kommissionsintäkter och Value at Risk. Emellertid, eftersom en symmetrisk systematisk betingad relation mellan risk och P&L plus kommissionsintäkter hittades i alla portföljer, och medelavkastningen var positiv, skulle den positiva belöningen ha funnits om medelavkastningen varit signifikant positiv. Å andra sidan skulle jag kunna hävda att den positiva belöningen finns, men inte är signifikant. Ingen relation mellan risk och kommissionsintäkter hittades. En trolig orsak till detta är hedgnings-strategierna, vilket vore ett intressant ämne för fortsatt forskning.

[pt] Um dos principais desafios no mercado financeiro é simular preços mantendo a estrutura de correlação entre os inúmeros ativos de um portfólio. Análise de Componentes Principais emerge como uma solução para este último problema. Além disso, dada a incerteza presente nos mercados de commodities de derivados de petróleo, o investidor quer proteger seus ativos de perdas potenciais. Como uma alternativa a esse problema, a otimização de várias medidas de risco, como Value-at-risk, Conditional Value-at-risk e medida Ômega, são ferramentas financeiras importantes. Além disso, o backtest é amplamente utilizado para validar e analisar o desempenho do método proposto. Nesta dissertação, trabalharemos com um portfólio de commodities de petróleo. Vamos unir diferentes técnicas e propor uma nova metodologia que consiste na diminuição da dimensão do portfólio proposto. O passo seguinte é simular os preços dos ativos na carteira e, em seguida, otimizar a alocação do portfólio de commodities de derivados do petróleo. Finalmente, vamos usar técnicas de backtest, a fim de validar nosso método. / [en] One of the main challenges in the financial market is to simulate prices keeping the correlation structure among numerous assets. Principal Component Analysis emerges as solution to the latter problem. Also, given the uncertainty present in commodities markets, an investor wants to protect his/her assets from potential losses, so as an alternative, the optimization of various risk measures, such as Value-at-risk, Conditional Value-at-risk and Omega Ratio, are important financial tools. Additionally, the backtest is widely used to validate and analyze the performance of the proposed methodology. In this dissertation, we will work with a portfolio of oil commodities. We will put together different techniques and propose a new methodology that consists in the (potentially) decrease the dimension of the proposed portfolio. The following step is to simulate the prices of the assets in the portfolio and then optimize the allocation of the portfolio of oil commodities. Finally, we will use backtest techniques in order to validate our method.