This master´s thesis deals with designing a web application for the purpose of providing management with requested financial information. In the theoretical part are explanations of targets, methods, and principles of databases, information systems, programing in PHP, Nette Framework, definition of Business Intelligence, financial data followed by an analysis of the current state of the company's finances. The practical part describes the development of the application and it's usage. This thesis then concludes with an economic evaluation of the designed application.

Functional data analysis (FDA) has grown into a substantial field of statistical research, with new methodology, numerous useful applications and interesting novel theoretical developments. My dissertation focuses on the empirical properties of functional regression models and their application to financial data. We start from testing the empirical properties of forecasts with the functional autoregressive models based on simulated and real data. We define intraday returns and consider their prediction from such returns on a market index. This is an extension to intraday data of the Capital Asset Pricing model. Finally we investigate multifactor functional models and assess their suitability for the prediction of intraday returns for various financial assets, including stock and commodity futures.

It is hard for retail investors and data providing companies to attain financial data of European companies. The work of extracting financial data of European companies is most likely done manually, which is a time-consuming process. This would explain why European companies’ data is supplied slower than American companies. This thesis attempts to see if it is possible to automatise the process of extracting financial data of European companies by creating two proof of concept systems. One focuses on collecting financial reports of European companies using a web scraper and directly scrapes the reports from the source. The other system extracts financial data from the reports using Amazon Web Services(AWS), specifically the text extraction tool called Textract. The system that collects financial reports from companies could not be automated and did not meet the expectations set by the company that commissioned the thesis. The system that extracts financial data from companies was promising as all data points of interest could be extracted. The second system was deemed promising however since it is reliant on a system that supplies it with reports, it cannot be implemented.The work conducted shows that automating the process of extracting financial data from European companies is not (yet) possible. Extracting the data from reports is possible however collecting the report is the bottleneck which is not possible. It would have been better to manually collect financial reports instead of using a web scraper in this thesis. This was a bottleneck which could be solved in future projects. / Det svårt för privata investerare och företag som tillhandahåller data att få tillgång till finansiella data om europeiska företag. Uppgiften att extrahera finansiella data från europeiska företag sker med största sannolikhet manuellt, vilket är en tidskrävande process. Detta skulle förklara varför europeiska företags finansiella data levereras långsammare än amerikanska företag. Denna rapport försöker testa ifall det är möjligt att automatisera processen att extrahera finansiella data för europeiska företag genom att skapa två proof of concept-system. En fokuserar på att samla in finansiella rapporter från europeiska företag som använder en webbskrapa och skrapar rapporterna direkt från källan. Det andra systemet extraherar finansiella data från rapporterna med hjälp av Amazon Web Services(AWS), specifikt verktyget som extraherar text, även kallad Textract. Systemet som samlar in finansiella rapporter från företag kunde inte automatiseras och motsvarade inte de förväntningar som ställts av företaget som föreslog examensarbetet. Systemet som extraherar finansiella data från företag var lovande eftersom alla eftertraktade datapunkter kunde extraheras. Det andra systemet ansågs lovande men eftersom det är beroende av ett system som förser det med rapporter kan det inte implementeras. Arbetet som utförts visar att det ännu inte är möjligt att automatisera processen att extrahera finansiell data från europeiska företag. Det är möjligt att extrahera data från rapporter men att samla in rapporten är flaskhalsen som inte är möjlig. Det hade varit bättre att manuellt samla in finansiella rapporter istället i denna avhandling. Detta var en flaskhals som skulle kunna lösas i framtida projekt.

Os mercados financeiros são de extrema relevância para as diversas economias do mundo. Sua efetividade na atração de capitais e investimentos é notória. Atualmente, o fluxo financeiro entre os diversos países é muito intenso, devido ao fenômeno da globalização. Tal situação provoca transmissão de crises financeiras entre diferentes países. Neste contexto, a avaliação de contágio financeiro torna-se um tema bastante relevante. A presente dissertação almejou verificar se houve contágio financeiro da crise americana de 2008 sobre os países do BRIC (Brasil, Rússia, Índia e China). Para tanto, foram utilizadas duas metodologias distintas. Uma delas, devido a Fermanian et al. (2002), foi empregada para estimação não paramétrica das cópulas via kernel. Assim, pode-se averiguar se houve aumento significativo nas medidas de dependência. A outra, desenvolvida por Remillard e Scaillet (2009), é um teste de comparação entre duas cópulas empíricas que investiga se houve mudança na estrutura de dependência no período de crise. Os dois procedimentos metodológicos indicaram a ocorrência de contágio da crise americana de 2008 sobre todos os países do BRIC. / Financial markets are extremely relevant to the world's diverse economies. Its effectiveness in attracting capital and investments is notorious. Currently, the financial flow between the various countries is very intense, due to the phenomenon of globalization. This situation leads to the transmission of financial crises between different countries. In this context, the evaluation of financial contagion becomes a very relevant issue. The present dissertation aimed to verify if there was financial contagion of the 2008 US crisis on the BRIC countries (Brazil, Russia, India and China). For that, two different methodologies were used. One of them, due to Fermanian et al. (2002), was used for non-parametric estimation of copula via kernel. Thus, it can be verified if there was a significant increase in the measures of dependence. The other, developed by Remillard and Scaillet (2009), is a test of comparison between two empirical copulas that investigates if there was a change in the dependency structure in the crisis period. The two methodological procedures indicated the occurrence of contagion of the American crisis of 2008 on all BRIC countries.

<!-- /* Style Definitions */ p.MsoNormal, li.MsoNormal, div.MsoNormal {mso-style-parent:""; margin:0cm; margin-bottom:.0001pt; mso-pagination:widow-orphan; font-size:12.0pt; font-family:"Times New Roman"; mso-fareast-font-family:"Times New Roman"; mso-ansi-language:SV;} @page Section1 {size:612.0pt 792.0pt; margin:72.0pt 90.0pt 72.0pt 90.0pt; mso-header-margin:35.4pt; mso-footer-margin:35.4pt; mso-paper-source:0;} div.Section1 {page:Section1;} --> This thesis is designed to offer an approach to modeling volatility in the Swedish limit order market. Realized quadratic variation is used as an estimator of the integrated variance, which is a measure of the variability of a stochastic process in continuous time. Moreover, a functional time series model for the realized quadratic variation is introduced. A two-step estimation procedure for such a model is then proposed. Some properties of the proposed two-step estimator are discussed and illustrated through an application to high-frequency financial data and simulated experiments. In Paper I, the concept of realized quadratic variation, obtained from the bid and ask curves, is presented. In particular, an application to the Swedish limit order book data is performed using signature plots to determine an optimal sampling frequency for the computations. The paper is the first study that introduces realized quadratic variation in a functional context. Paper II introduces functional time series models and apply them to the modeling of volatility in the Swedish limit order book. More precisely, a functional approach to the estimation of volatility dynamics of the spreads (differences between the bid and ask prices) is presented through a case study. For that purpose, a two-step procedure for the estimation of functional linear models is adapted to the estimation of a functional dynamic time series model. Paper III studies a two-step estimation procedure for the functional models introduced in Paper II. For that purpose, data is simulated using the Heston stochastic volatility model, thereby obtaining time series of realized quadratic variations as functions of relative quantities of shares. In the first step, a dynamic time series model is fitted to each time series. This results in a set of inefficient raw estimates of the coefficient functions. In the second step, the raw estimates are smoothed. The second step improves on the first step since it yields both smooth and more efficient estimates. In this simulation, the smooth estimates are shown to perform better in terms of mean squared error. Paper IV introduces an alternative to the two-step estimation procedure mentioned above. This is achieved by taking into account the correlation structure of the error terms obtained in the first step. The proposed estimator is based on seemingly unrelated regression representation. Then, a multivariate generalized least squares estimator is used in a first step and its smooth version in a second step. Some of the asymptotic properties of the resulting two-step procedure are discussed. The new procedure is illustrated with functional high-frequency financial data.

由於近幾年來網際網路電子資源的數量大量成長下，搜尋引擎技術的誕生為使用者帶來檢索資料文件上極高的便利與效率。但網路資源和使用者大量成長下，現有的關鍵字檢索技術已無法滿足使用者需求。然而「資訊擷取」就是將從檢索文件中擷取重要特定訊息或產生資訊間特定關係的一種技術。其不僅從文件中能過濾不必要的資訊，而且產生有興趣或特定的重要訊息和摘要。 企業評價即為一套收集、分析與應用財務或非財務資訊來評價企業的價值，其評估的結果可做為企業決策和無形資產買賣訂價之依據。目前在國內企業的財務報表、財務附註和財經新聞內容皆有與企業評價所需重要訊息和資料，並以網頁和PDF格式呈現。因此，本研究將對國內企業財務報表、財務附註和財經新聞為資料來源，以企業評價概念基礎下建立中文財務項資料的資訊擷取系統。從這些不同的異質資料來源中，擷取正確的財務項資料與其所對應之企業評價模型，以達成自動擷取企業評價資料。使用者能在最短的時間內取得相關有效評價資訊和學習評價模型，使資訊處理品質能夠提昇正確性和效率性。 / Due to an increase in the wealth of electronic resources on the Internet in the past several years, the birth of the search engine has brought the utmost convenience and efficiency for users. However, searching for data by keyword retrieval techniques in information retrieval is not contented with some users’ specific demands due to a large number of network resources and users on the Internet. Information extraction (IE) is an improvement method which extracts the important specific event or produces specific relations among information from documents. IE can not only filter unnecessary information in any documents but also produce specific important messages and summaries that users are interested in. Business valuation is collecting, analyzing, and applying to financial or non- financial integral information to appraise the business value. The evaluated results are used in the commerce pricing for the business decision and intangible assets. There are specific information and events about business valuation stored in the Chinese financial statements, notes to financial statements, and financial news of Taiwan’s companies at present and data is presented by the HTML and PDF files. Hence, we developed an information extraction system of Chinese financial data for business valuation from the domestic business financial statements, notes to financial statements, and financial news as our data sources. We extracted the correct financial data and their corresponding business valuation model to achieve an automatic extraction in the financial data from these different heterogeneous data sources. Users can collect the relevant valid valuation information and learn valuation models concepts within a very short time to improve accuracy and efficiency in information processing quality.

Doctor of Philosophy (PhD) / This thesis mainly builds on the Variance Gamma (VG) model for financial assets over time of Madan & Seneta (1990) and Madan, Carr & Chang (1998), although the model based on the t distribution championed in Heyde & Leonenko (2005) is also given attention. The primary contribution of the thesis is the development of VG models, and the extension of t models, which accommodate a dependence structure in asset price returns. In particular it has become increasingly clear that while returns (log price increments) of historical financial asset time series appear as a reasonable approximation of independent and identically distributed data, squared and absolute returns do not. In fact squared and absolute returns show evidence of being long range dependent through time, with autocorrelation functions that are still significant after 50 to 100 lags. Given this evidence against the assumption of independent returns, it is important that models for financial assets be able to accommodate a dependence structure.

Doctor of Philosophy (PhD) / This thesis mainly builds on the Variance Gamma (VG) model for financial assets over time of Madan & Seneta (1990) and Madan, Carr & Chang (1998), although the model based on the t distribution championed in Heyde & Leonenko (2005) is also given attention. The primary contribution of the thesis is the development of VG models, and the extension of t models, which accommodate a dependence structure in asset price returns. In particular it has become increasingly clear that while returns (log price increments) of historical financial asset time series appear as a reasonable approximation of independent and identically distributed data, squared and absolute returns do not. In fact squared and absolute returns show evidence of being long range dependent through time, with autocorrelation functions that are still significant after 50 to 100 lags. Given this evidence against the assumption of independent returns, it is important that models for financial assets be able to accommodate a dependence structure.

Uma correta especificação das funções densidade de probabilidade (fdp’s) de retornos de ativos é um tópico dos mais relevantes na literatura de modelagem econométrica de dados financeiros. A presente dissertação propõe-se a oferecer, neste âmbito, uma abordagem distinta, através de uma aplicação da metodologia desenvolvida em Bathia et al. (2010) a dados intradiários do índice bovespa. Esta abordagem consiste em focar a análise diretamente sobre a estrutura dinâmica das fdp’s dos retornos, enxergando-as como uma sequência de variáveis aleatórias que tomam valores em um espaço de funções. A dependência serial existente entre essas curvas permite que se obtenham estimativas filtradas das fdp’s, e mesmo que se façam previsões sobre densidades de períodos subsequentes à amostra. No artigo que integra esta dissertação, onde é feita a mencionada aplicação, encontrou-se evidência de que o comportamento dinâmico das fdp’s dos retornos do índice bovespa se reduz a um processo bidimensional, o qual é bem representado por um modelo var(1) e cuja dinâmica afeta a dispersão e a assimetria das distribuições no suceder dos dias. Ademais, utilizando-se de subamostras, construíram-se previsões um passo à frente para essas fdp’s, e avaliaram-se essas previsões de acordo com métricas apropriadas. / Adequate specification of the probability density functions (pdf’s) of asset returns is a most relevant topic in econometric modelling of financial data. This dissertation aims to provide a distinct approach on that matter, through applying the methodology developed in Bathia et al. (2010) to intraday bovespa index data. This approach consists in focusing the analysis directly on the dynamic structure of returns fdp’s, seeing them as a sequence of function-valued random variables. The serial dependence of these curves allows one to obtain filtered estimates of the pdf’s, and even to forecast upcoming densities. In the paper contained into this dissertation, evidence is found that the dynamic structure of the bovespa index returns pdf’s reduces to a R2-valued process, which is well represented by a var(1) model, and whose dynamics affect the dispersion and symmetry of the distributions at each day. Moreover, one-step-ahead forecasts of upcoming pdf’s were constructed through subsamples and evaluated according to appropriate metrics.

Os mercados financeiros são de extrema relevância para as diversas economias do mundo. Sua efetividade na atração de capitais e investimentos é notória. Atualmente, o fluxo financeiro entre os diversos países é muito intenso, devido ao fenômeno da globalização. Tal situação provoca transmissão de crises financeiras entre diferentes países. Neste contexto, a avaliação de contágio financeiro torna-se um tema bastante relevante. A presente dissertação almejou verificar se houve contágio financeiro da crise americana de 2008 sobre os países do BRIC (Brasil, Rússia, Índia e China). Para tanto, foram utilizadas duas metodologias distintas. Uma delas, devido a Fermanian et al. (2002), foi empregada para estimação não paramétrica das cópulas via kernel. Assim, pode-se averiguar se houve aumento significativo nas medidas de dependência. A outra, desenvolvida por Remillard e Scaillet (2009), é um teste de comparação entre duas cópulas empíricas que investiga se houve mudança na estrutura de dependência no período de crise. Os dois procedimentos metodológicos indicaram a ocorrência de contágio da crise americana de 2008 sobre todos os países do BRIC. / Financial markets are extremely relevant to the world's diverse economies. Its effectiveness in attracting capital and investments is notorious. Currently, the financial flow between the various countries is very intense, due to the phenomenon of globalization. This situation leads to the transmission of financial crises between different countries. In this context, the evaluation of financial contagion becomes a very relevant issue. The present dissertation aimed to verify if there was financial contagion of the 2008 US crisis on the BRIC countries (Brazil, Russia, India and China). For that, two different methodologies were used. One of them, due to Fermanian et al. (2002), was used for non-parametric estimation of copula via kernel. Thus, it can be verified if there was a significant increase in the measures of dependence. The other, developed by Remillard and Scaillet (2009), is a test of comparison between two empirical copulas that investigates if there was a change in the dependency structure in the crisis period. The two methodological procedures indicated the occurrence of contagion of the American crisis of 2008 on all BRIC countries.