A partir de 1996 pour combattre une inflation galopante, Haïti a mis en place une politique de ciblage de la masse monétaire avec un objectif d’inflation. La forte inflation a pris naissance dans l’accumulation du déficit budgétaire et le financement monétaire de celui-ci par le seigneuriage. Cette pratique du financement par l’impôt inflationniste engendre donc un problème de crédibilité, en dépit de la double circulation monétaire caractérisée par un niveau élevé de dollarisation de l’économie qui a atteint 50% dès 2004. La politique monétaire mise en œuvre vise à éviter le biais inflationniste et différentes approches pour améliorer la crédibilité ont été considérées. La crise économique commencée en 2007 dans les pays développés, est née de l’instabilité des marchés financiers et a obligé la mise en place de politique monétaire non conventionnelle afin d’éviter la trappe de liquidité. Cette crise a donné lieu à une accumulation de réserves internationales et un faible taux d’intérêt dans les économies des pays émergents et les économies des pays sous-développés. Il devenait évident que le fondement théorique de la stratégie de politique monétaire demeure la recherche à la fois de la stabilité monétaire et la stabilité des marchés financiers afin de conserver la crédibilité et l’efficacité de la politique monétaire des banques centrales. L’utilisation abusive faite par la FED aux USA de l’assouplissement quantitatif, fait craindre une crise de la dette souveraine des Etats, la création de bulle spéculative, et un retour à la récession. Avec le cas d’Haïti, les anticipations ne sont pas rationnelles à cause des erreurs de prévisions. Une analyse jointe des taux des banques, en utilisant un modèle VECM, ne nous a pas permis de trouver un taux d’équilibre de long terme entre eux. Le test de Seo conclu que les chocs ont affecté la dynamique de ces taux. Les accords avec le FMI ont permis une très faible amélioration de l’efficacité de la politique monétaire avec l’accumulation de réserves dans la foulée de la crise qui a démarré en 2007. / Since 1996 in order to fight inflation, Haiti put in place a monetary policy targeting money supply with inflation target. Inflation high gets started from budget deficit accumulation and monetary financing by seigniorage. This practice of financing by inflationary taxes implies a problem of credibility of monetary policy even with a double monetary circulation and a dollarization of the economy reaching 50% since 2004. The monetary policy implementation aims to avoid inflation bias and different approaches for improving credibility has been considered. The economic crisis started in 2007 created by the instability of the financial markets, forced the establishment of non-conventional monetary policy to avoid the liquidity trap. This crisis has resulted in an accumulation of international reserves and low interest rate in emerging economies and the economies of underdeveloped countries. It became more and more evident that the theoretical basis of the monetary policy strategy remains looking for both, monetary stability and the stability of the financial markets, in order to maintain the credibility and efficiency of the monetary policy of central banks. The misuse made by the FED in the USA of quantitative easing, rise concerns about a crisis of sovereign debt of the Sates, the creation of speculative bubble, and a possible return to the recession. With the case of Haiti, the expectations are not rationales because of forecast errors. A joint analysis of banks interests’ rates using a VECM model has not enabled us to find a long run equilibrium rate between them. The Seo test concluded that chocks affect the dynamic of both rates. The agreements with the IMF allowed improving weakly the monetary policy efficiency with the accumulation of international reserves in the wake of the crisis which started in 2007.

Scale invariance, collective behaviours and structural reorganization are crucial for portfolio management (portfolio composition, hedging, alternative definition of risk, etc.). This lack of any characteristic scale and such elaborated behaviours find their origin in the theory of complex systems. There are several mechanisms which generate scale invariance but maximum entropy models are able to explain both scale invariance and collective behaviours.<p>The study of the structure and collective modes of financial markets attracts more and more attention. It has been shown that some agent based models are able to reproduce some stylized facts. Despite their partial success, there is still the problem of rules design. In this work, we used a statistical inverse approach to model the structure and co-movements in financial markets. Inverse models restrict the number of assumptions. We found that a pairwise maximum entropy model is consistent with the data and is able to describe the complex structure of financial systems. We considered the existence of a critical state which is linked to how the market processes information, how it responds to exogenous inputs and how its structure changes. The considered data sets did not reveal a persistent critical state but rather oscillations between order and disorder.<p>In this framework, we also showed that the collective modes are mostly dominated by pairwise co-movements and that univariate models are not good candidates to model crashes. The analysis also suggests a genuine adaptive process since both the maximum variance of the log-likelihood and the accuracy of the predictive scheme vary through time. This approach may provide some clue to crash precursors and may provide highlights on how a shock spreads in a financial network and if it will lead to a crash. The natural continuation of the present work could be the study of such a mechanism. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

The objective of the study is to establish how original financial integration could be attained in southern Africa in order to attract more foreign investment and develop a financially robust and stable region in the southern part of Africa; also to deal with the challenges, risks and remedies of prospective future financial crises. Financial markets are rapidly integrating into a single global market. Developing countries of various regions are drawn into the process with little choice, and without having sound financial infrastructure and policies in place. It is against this background that countries and regions of global integration choose policies that would benefit their regional economy and avert potential economic shock. The challenges posed to countries and regions by the progressive global integration of financial markets are becoming more urgent by the day. These challenges need to be addressed more effectively, either nationally or regionally, as demonstrated by the 1998 financial turmoil in Asia. Private capital flows are becoming intra regionally concentrated, particularly in the USA, Europe, Asia and Latin America. Be that as it may, failure in one market is likely to have immediate and large regional repercussions. Globalisation also marginalises Africa and other Least Developed Countries (LDC), leaving them more impoverished and with greater disparities in terms of income, GDP and FDI. Regional financial integration has to be efficient and sound in order to prevent or contain currency and capital market crises in the southern African region. This study identifies macro economic challenges and risks associated with financial integration. Recommendations are made about methodologies of addressing these issues in order to realise the benefits of regional financial integration in southern Africa, which could be a building block in realising the dream of an African Monetary Union. The study contributes greatly to the debate around the most appropriate criteria that are to be met by the SADC countries, before monetary integration can become a reality. A comparison of the benchmark macro economic convergence criteria of the EU and of the African Monetary Union is done and the performance of SADC countries is assessed in terms of both sets of benchmarks. Southern African states are found to not even be at a comparable level with regard to the EU targets of 1997. The thesis is also critical to the impact of the political instability in the SADC region on prospective monetary integration. Most importantly, SADC would be at a permanent disadvantage and face a long-run depreciation of its common currency, should it continue to integrate financially at macro economic benchmark levels inferior to those of its major trading partner, the EU. / Thesis (PhD)--University of Pretoria, 2009. / Economics / unrestricted

This diploma thesis comprises a theoretical, descriptive, comparative and econometric analysis of financial markets regulation in international context. In the first chapter I describe and analyse characteristics of modern financial markets, reasons for their regulation and institutional models of financial regulation and supervision. The second chapter offers an overview of the historical development of financial regulation and evaluates the role of regulatory factor in the outburst of the world financial crisis of 2008. In the third chapter I carry out a comparison of regulatory response to financial crisis in the USA and the EU. Forth chapter deals with regression analysis of the relation between Financial Soundness Indicators of three selected countries. The conclusions driven from this diploma thesis demonstrate that regulation is generally effective as a remedy for market failures, but in other aspects its effects are ambiguous. Intensity of regulation is a secondary impact factor in the formation of financial crises, in fact it is more reasonable to state that crises occur because of the failure of supervision rather than regulation. Due to the international attempts to harmonise the process of remediation of the consequences of the financial crisis, the regulatory response in the USA and the EU was very similar. Statistical analysis did not confirm the common idea that regulation represents a significant barrier for increasing the profitability of credit institutions.

Diploma thesis is focused on research and description of current state of machine learning field, focusing on methods that can be used for prediction and classification of time series, which could be then applied in the algorithmic trading field. Reading of theoretical section should explain basic principles of financial markets, algorithmic trading and machine learning also to reader, which was previously familiar with the subject only very thoroughly. Main objective of application part is to choose appropriate methods and procedures, which match current state of art techniques in machine learning field. Next step is to apply it to historical price data. Result of application of selected methods is determination of their success at out of sample data that was not used during model calibration. Success of prediction was evaluated by accuracy metric along with Sharpe ratio of basic trading strategy that is based on model predictions. Secondary outcome of this work is to explore possibilities and test usability of technologies used in application part. Specifically is tested and used SciPy environment, that combines Python with packages and tools designed for data analysis, statistics and machine learning.

An objective of my graduation thesis is an analysis of hedge funds and hedge strategies while reflecting the distribution of the investments to right portfolio taking into account the risk. The main aim is to provide clear and consistent classification of whole variety of different hedge styles and strategies. There are plenty of different investment and trading strategies of hedge funds and their classification differs from analyst to analyst and from database to database. The work focuses on finding an alternative consistent classification of hedge funds which will lead to improvement of investment decisions of financial market participants, to effective distribution of the investment portfolio and therefore to elimination of undiversified risks. For the practical analysis I use real data of hedge fund returns of particular relevant time period. I focus on research and description of possible methods of hedge fund classification mentioning their pluses and minuses. After passionate evaluation of each method I have chosen two methods according to which I classify the hedge funds datasets and finally I compare the results of both. The theoretical part of work focuses on definition of hedge funds, hedge styles and strategies, pluses and minuses as well as risk accompanying particular strategy.

Diploma thesis is dealing with causes of current financial crisis, especially with financial regulation failure and its analysis. Regulation failure was incontrovertibly the important cause of current crisis. As a result of regulation failure we can identify these as follows: asset securitization,rating agencies failure, information asymmetry,negative externalities etc. This thesis is also concerned with analysis of bankruptcy of american investment bank Lehman Brothers. The last part of work examine the financial regulatory reform.

La liberté contractuelle est un principe fondateur du droit civil français, en vertu duquel chaque sujet de droit est libre, non seulement de décider de s’engager ou non, mais également de déterminer les conditions de son engagement contractuel et la personnalité de son cocontractant. Malgré ses apparentes particularités, dues à son objet, le droit des marchés financiers ne constitue pas une branche autonome du droit, de telle sorte que le droit civil a toute vocation à s’appliquer sur les marchés financiers. Pour autant, un rapide examen du droit des marchés financiers fait apparaître des atteintes à la liberté contractuelle, en premier lieu à la libre détermination du contenu du contrat. Ce constat est d’autant plus frappant lorsque l’on approfondit l’étude des marchés financiers, les offres publiques étant en effet l’occasion de multiples atteintes. Plus particulièrement, l’initiative contractuelle est lourdement affectée par les offres publiques obligatoires, qu’elles soient d’acquisition ou de retrait. Cette thèse a pour objet d’examiner ces diverses atteintes portées par le droit des marchés financiers à la liberté contractuelle afin d’en déterminer le fondement. / Contractual freedom is a founding principle of French civil law, under which each legal subject is free, not only to decide whether to engage, but also to determine the conditions of his contractual commitment and the personality of the other party. Despite its apparent peculiarities, due to its object, the financial market legislation is not an autonomous branch of law, so that the civil law should apply to the financial markets. However, a quick review of the financial markets legislation revealed violations of contractual freedom, in the first place to free determination of the content of the contract. This finding is even more striking when looking further : the contractual intent is heavily affected both through the mandatory public bid and through the mandatory buyout offer. This thesis examines how the contractual freedom is affected by the financial market legislation to determine the causes.

This research seeks to identify the factors that account for the variation in development levels across nations by focusing on the institutional components of development, especially the effects of financial market development on economic and political development. I argue that financial market institutions are critical to economic and political development, and provide a partial explanation for the variation in development observed across nations. Financial market development affects political development indirectly through greater economic efficiency and growth and directly by reducing poverty, increasing economic equality, strengthening the middle class and increasing political participation. Increased financial market development also produces more efficient institutions and eliminates certain perverse incentives in government that result in corruption. The action mechanisms rest largely on the idea that increasing access to financial services allows the lower and middle- income segments of society to smooth their income and invest in high return activities that can lift people out of poverty. These improvements distribute both economic and intellectual resources throughout society and provide greater opportunities for political entrepreneurship from all societal groups. This, along with greater ability to participate either through monetary means or greater time, increases political participation and democratic development. Using a variety of econometric techniques to analyze data on 190 countries over 28 years (1975-2003), I show that financial market development has a significant effect in several areas of development. Specifically, I find that financial market development reduces poverty and income inequality and reduces the level of corruption. Increasing financial market development also increases political competition and civil rights protection in addition to increasing the effectiveness of government and regulatory levels. Ultimately, I assert that while financial market factors have not been previously targeted as sources for development, they may provide an effective policy tool for fostering equitable development in a variety of economic and political situations. I further argue that the state must have a greater role in development than the prevailing neoliberal paradigm prescribes, and must actively seek to develop institutions that support financial market development.

This master thesis deals with creation of a stock portfolio based on the economic results of the issuers listed on US stock market. The theoretical part describes basic terms and theoretical basis of financial markets and stock analysis. The practical part includes fundamental analysis based on selected methods and financial indicators. At the end there is proposal of appropriate stock portfolio structure.