Over the last decades, multifractality has become a downright stylized fact in financial markets. However, its presence has not been adequately statistically proved. The main aim of this thesis is to contribute to the discussion by an ex- tensive statistical analysis of the problem. We investigate returns and volatility of the collection of the four stock indices employing the three popular methods: the GHE, the MF-DFA, and the MF-DMA method. By comparing the results of the original series to those for simulated monofractal series, we conclude that stock market returns as well as volatility exhibit a multifractal nature. Additionally, in order to understand the origin of underlying multifractality, we study vari- ous surrogate series. We found that a fat-tailed distribution significantly affects multifractality. On the other, we were not able to confirm the impact of time correlations as the results strongly depend on the applied model. JEL Classification F12, G02, G10, C12, C22, C49, C58 Keywords econophysics, multifractality, financial markets, Hurst exponent Author's e-mail jana.sedlarikova@gmail.com Supervisor's e-mail kristoufek@ies-prague.org

This diploma thesis deals with hedge funds' strategies' analysis. First part is about an introduction into collective investment schemes, shares funds and investment funds. The reader can find the pros and cons of collective investment schemes in the next part. The second section focuses on investment approaches of four hedge fund strategies: global macro, directional, event-driven and relative value, whereby the strategies' classification corresponds with the most common databases of financial providers. They are divided into subcategories and each strategy is characterized by its principle. Special attention is paid to a specific kind of a hedge fund, the so called Fund of Funds. The strategies' rates of return in different market conditions are compared in the conclusion.

The thesis is focused on financial derivatives, their types, development and practical application. The first chapter deals with the definition of derivatives and description of basic types of derivatives and exotic options. The second chapter describes the development of derivatives in Czech Republic in comparison with G10 countries. In the continuous process of derivative products innovation credit, inflation derivatives and derivatives for electricity and weather are developed. The third chapter presents the derivatives in terms of practical application in the form of option structures, which are used for hedging against the currency risk. The structures are applied to the exchange rate development during the financial crisis period and their impact on businesses is analyzed. Then the hedge efficiency of the structures is analyzed due to use of hedge accounting

Comportement de l'investisseur et impact sur les prix du marché. / Sir Isaac Newton, who is one of the most influential physicist and mathematician of all time, after he suffered huge losses in tulip market said: “I can calculate the motions of heavenly bodies, but not the madness of people.” Financial markets are full of uncertainties. The movement and volatility in stock prices has been the focus of attention for scholars all the time. Over the last decades, financial markets gain influence both at people’s life and country’s economics as a result of technological advances, financial liberalization, and ongoing international trade. On one hand, participant’s property and investor’s market performance are impacted by price fluctuation. On the other hand, the development of national economic is closely interrelated to the stability of financial markets. In this effect, the understanding of investors’ designing making and how it affect the market price movement is of vital interest to both researchers and economic policy market. Experimental Finance has already become a well-established field, a fact that was recognized by the attribution of the Nobel Prize in Economics to Vernon Smith in 2002 who’s most significant work was concerned with market mechanisms and tests of different auction forms. However so far the major part of experimental work in Finance has considered (including Vernon Smith) human rationality and the ability of markets to find the proper price close to an equilibrium setting. [...]

Comparing the performance of a pure momentum strategy with a strategy based on intermediate past returns on OMXS 1999-2018, this study shows that a pure momentum strategy significantly outperforms a strategy based on intermediate past returns. The pure momentum strategy delivers significant returns, primarily for portfolios based on shorter formation and holding periods. Furthermore, this study show that these significant returns are not due to loading on common systematic risk factors. Moreover, this study shows that by implementing a scaling component to the pure momentum strategy, investors can mitigate the crash risk in momentum strategies to some extent.

No ensino de Administração de Empresas, o uso de Jogos de Empresas é uma prática relevante dado que existe a necessidade de um laboratório onde os alunos possam realizar experimentos com base na teoria ensinada, em um ambiente controlado, e com grande aderência com a realidade. Os Jogos de Empresas aplicados a cada área da administração, têm a vantagem de serem direcionados para as disciplinas, e dentre estas o Jogo de Bancos é um caso específico de Finanças e tem relevância para a área de Administração Financeira. Os Jogos de Empresas vêm se desenvolvendo dentro do contexto de Educação à Distância pela sua grande dependência tecnológica, muito embora sejam aplicados constantemente na forma presencial. O estudo levanta a seguinte hipótese: se for dada a oportunidade para que os alunos escolham as carteiras em que desejam atuar durante os exercícios, após uma fase inicial de ambientação, isso pode significar uma vantagem sobre a metodologia linear seqüencial adotada. Normalmente, as rodadas no Jogo de Bancos são aplicadas seqüencialmente cobrindo todos os tópicos, que por vezes são repetitivos. O objetivo do trabalho é testar sob forma controlada, em uma turma de graduação, como se desenvolve a aplicação das duas formas (\"linear seqüencial\" e \"com maior complexidade\") de aplicação do Jogo de Bancos, e compara os resultados apresentando um conjunto de observações que sugere uma abordagem não linear nos modelos de Jogos de Empresas. / In the education of Business administration, the use of Business Games is one excellent use since that there is the necessity of a laboratory where the pupils can carry through experiments on the basis of the taught theory, in a controlled environment, and with great tack with the reality. The Business Games applied to each area of the administration, have the advantage to be directed for the discipline, and amongst these the Banking Game is a specific case in Finance and has relevance for the area of Financial Administration. The Business Games are developing inside of the context of Distance Education for its great technological dependence, although is applied constantly in the actual form. The study raises the following hypothesis: if you give the pupils the chance that the pupils choose portfolios where they desire to act during the exercises, after an initial phase of adaptation, this can mean an advantage on the adopted sequential linear methodology. Normally, the rounds in the Banking Game are applied sequentially covering all the topics, that sometimes are repetitive. The objective of the work is to test under controlled way, in a graduation class, the two forms (\"linear sequential\" and \"with bigger complexity\") of the Banking Game, and compare the results presenting a set of comments that a not linear boarding in the models of Business Games suggests.

Este estudo preocupou-se em analisar os efeitos da globalização financeira sobre o mercado de capitais brasileiros. A globalização foi caracterizada através da emissão de ADRs, do inglês American Depositary Receipts, ou Recibos de Depósitos Americanos – instrumentos financeiros que possibilitam que uma empresa estrangeira liste suas ações em bolsas de valores domésticas e internacionais e obtenha o acesso ao mercado de capitais norte-americano. O mercado de ADRs em bolsas norte-americanas foi caracterizado em relação à sua contribuição ao processo de formação de portfólios internacionais e à sua eficiência informacional fraca. Os resultados obtidos indicaram uma importante contribuição dos ADRs para carteiras norte-americanas, com reduções de riscos e aumentos dos retornos. As respostas dos diversos testes estatísticos aplicados, também, permitiram concluir quanto à eficiência informacional fraca destes mercados. A contribuição decorrente da emissão dos ADRs para o mercado brasileiro foi analisada com ênfase no eventual aumento dos níveis de eficiência informacional e alocacional do mercado doméstico. Aplicações do teste de raiz unitária de Phillips-Peron não permitiram verificar contribuições ao aumento da eficiência informacional fraca dos preços de fechamento das ações. A análise das séries de cotações anteriores e posteriores ao evento de emissão de ADRs possibilita caracterizar o mercado como informacionalmente eficiente em ambos os períodos, não sendo possível verificar um aumento da eficiência alocacional após a emissão de ADRs. Por outro lado, a comparação e posterior análise do custo de capital próprio em instantes anteriores e posteriores ao lançamento de ADRs evidenciou a contribuição deste instrumento à eficiência alocacional do mercado brasileiro, com significativas reduções do custo de capital próprio, expresso através da variação negativa dos betas das ações. Outro ponto analisado no estudo referiu-se à análise da eficiência semi-forte do mercado de capitais doméstico, ilustrada através do evento relativo à emissão de ADRs. Os resultados indicaram a presença de retornos anormais maiores no período anterior ao evento, anormais significativos e positivos em torno do evento e negativos no período posterior – o que corrobora com as evidências de reduções nos níveis do custo de capital. / The present study was undertaken with the intent of analyzing the effects of the financial globalization upon the Brazilian stock market. Globalization was marked by the issuance of American Depositary Receipts, ADR’s, which are financial instruments that enable a foreign company to be listed twice in the domestic and international stock exhange as well as to access to the US stock market. ADR’s market in the US stock exchanges was characterized by its contribution to both the arrangement process of international portfolios and its weak informative efficiency. The results achieved pointed out a remarkable contribution made by the ADR’s to the US portfolios, by reducing risks and increasing yields. The responses to several statistical tests carried out also allow conclusions concerned with the weak informative efficiency of such markets to be taken. The contribution arising from ADR’s issuance to the Brazilian market was analyzed with an emphasis on the occasional increase in both information and allocation efficiency levels in the domestic market. Phillips-Peron’s Unitary background tests did not allow contributions to the increase in the share-closing prices’ weak informative efficiency to be checked out. The analysis of the exchange series before and after ADR’s issuance event enable the market to be regarded as informatively efficient in both of the periods, what causes a verification of an increase in the allocations’ efficiency to become impossible once the ADR’s are issued. On the other hand, the comparison as well as the posterior analysis of the own capital cost in moments before and after ADR’s release stressed the contribution of this instrument to the allocations’ efficiency in the Brazilian market, by presenting significant reductions of the own capital cost, expressed by the betas’negative ratio in shares. Another analyzed matter in the study relates to the analysis of the semi-strong efficiency of the domestic stock market, clearly shown by the ADR’s issuance event. The results pointed out the presence of abnormal bigger yields in the period preceding the event, significant and positive abnormal yields around the event time and negative yields in the posterior period – what confirms the evidences of reductions in capital cost levels.

Dans l’industrie, des méthodes de Maîtrise Statistique des Procédés (MSP) sont utilisées pour savoir si des pièces usinées lors d’un processus de fabrication sont non conformes aux spécifications. Les deux méthodes utilisées sont la méthode de Shewhart et la méthode EWMA (moyenne mobile à pondération exponentielle). Une adaptation de ces deux méthodes à la bourse est faite pour créer un modèle qui anticipe les cours sur les marchés à termes de matières premières. Ces deux méthodes sont utilisées simultanément, ce qui est une première. Le modèle présenté différencie plusieurs types de mouvements et plusieurs types d’investisseurs sur les marchés. C’est un modèle prudent. L’obtention de fortes performances est importante mais la diminution du risque et la limitation des pertes le sont également. Une simulation de la gestion d’un portefeuille pouvant être investi dans douze marchés à terme est faite. Ces marchés sont les suivants : le gaz naturel, le pétrole, le blé, le maïs, le soja, le bois, le jus d’orange concentré surgelé, le café, le cacao, le sucre, le coton et le cuivre. Cette simulation dans laquelle le portefeuille n’est pas « en levier » donne des résultats impressionnants. La simulation est faite du 3 janvier 2000 au 31 décembre 2013. Le capital initial est de $ 10 000 000 et à la fin de la simulation il est de $ 189 868 766. Le taux de rendement actuariel est de 23%. La seule rentabilité annuelle négative est celle de 2013 (-0.5%) et la meilleure est celle de 2010 (67%) La volatilité annualisée est de 17%. Le ratio d’information est exceptionnel : 0.85 ! La capacité au market-timing est de 47%. Ce pourcentage est ordinaire mais il recouvre le fait que la performance moyenne d’une position gagnante est de 17% tandis que celle d’une position perdante est de -6%. La performance d’une position gagnante compense, en moyenne, celle de trois positions perdantes. / Methods of Statistical Process Control (SPC) are used in the industrial sector to know if work pieces are conforms to specifications. Two methods are used: the Shewhart method and the Exponentially-weighted moving average method (EWMA). An adaptation of these methods to the financial markets is done to create a model which anticipates prices on commodities markets. Both methods are used simultaneously which is the first time. The developed model distinguishes several types of market movements and various types of investors. It is a safe model. Obtaining strong performances is important but reducing risk and limiting losses are too. A simulation of the management of a portfolio which may be invested of twelve commodities is done. The markets are: natural gas, oil, wheat, corn, soybeans, lumber, frozen concentrated orange juice, coffee, cocoa, sugar, cotton and copper. We decide to simulate a portfolio without “leverage” and results are impressive. The simulation is done from January 3rd 2000 to December 31th 2013. The initial capital of the portfolio is $ 10,000,000 and at the end of the simulation is $ 189,868,766. The rate of annual return is 23%. The only negative annual return is that of 2013 (-0.5%) and the best is that of 2010 (67%). The annualized volatility is 17%. The information ratio is exceptional: 0.85! The ability to market timing is 47%. This percentage is ordinary, but the average performance of winning positions is 17% while that of a losing position is -6%. The performance of a winning position, on average, corrects that of three losing positions.

In recent years socially responsible investing has become an increasingly more popular subject with both private and institutional investors. At the same time, a number of scientific papers have been published on socially responsible investments (SRIs), covering a broad range of topics, from what actually defines SRIs to the financial performance of SRI funds in contrast to non-SRI funds. In this paper, we revisit Markowitz' Portfolio Selection Theory and propose a modification allowing to incorporate not only asset-specific return and risk but also a social responsibility measure into the investment decision making process. Together with a risk-free asset, this results in a three-dimensional capital allocation plane that allows investors to custom-tailor their asset allocations and incorporate all personal preferences regarding return, risk and social responsibility. We apply the model to a set of over 6,231 international stocks and find that investors opting to maximize the social impact of their investments do indeed face a statistically significant decrease in expected returns. However, the social responsibility/risk-optimal portfolio yields a statistically significant higher social responsibility rating than the return/risk-optimal portfolio.

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.