The major purpose of this study is to explore the stock movements of a publicly traded high-frequency trading firm, Virtu Financial. Virtu Financial, as of November 2015, is the only publicly traded high frequency trading firm, offering a opportunity to study the market behavior of a new kind of stock. Since Virtu serves as a unique financial intermediary, my hypothesis is that Virtu should be a market-neutral company since it is able to profit equally in economic upswings and downturns. This study uses a regression based on the Fama and French three factor model, focusing on the influence of the market risk premium, small sized company vs. medium sized company returns, and growth stock vs. value stock returns in changes in inter-daily Virtu Financial returns, These results are then compared to the returns of Virtu’s brokerage competitors, as deemed so by analysts, and CBOE Holding, a company with . The results suggest that Virtu Financial has a market neutral stock, consistent with its means of generating revenue, while its traditional brokerage competitors do not. On the basis of this research, it is concluded that HFT brokerages may present an opportunity to invest in a non-cylcical segment of the finance industry.

Thesis (MScEng (Electrical and Electronic Engineering))--University of Stellenbosch, 2010. / ENGLISH ABSTRACT: Flanged coaxial probes are widely used to conduct accurate, broadband permittivity measurements of various dielectric materials. A metrology study, discussed in [1], revealed that small perturbations in measured permittivity data, are due to escaping common-mode (CM) current that propagates onto exposed VNA feed cabling. This is not considered in published permittivity extraction algorithms, like the National Institute of Standards and Technology (NIST) full-wave code that assumes an infinite flange radius. To characterise this effect we validate a finite volume time domain (FVTD) CST simulation model of an SMA coaxial probe, by probing sensitive E-fields in a metallic shielding cylinder, placed around it. For this process, electro-optic (EO) E-field sensors are considered and a Mach-Zehnder type sensor is designed. Manufacturing difficulties discontinues this approach, but the revisited extended centre conductor E-field probing technique proves successful. The technique entails a high dynamic range, two-port VNA measurement. Through CST we gain knowledge of the physics behind the CM-problem and the behaviour of fields around the coaxial probe. Different shielding environments are simulated to establish their ability to impede CM-current coupling onto measurement cabling. To study the CM-effect on extracted permittivity results, the investigation is extended to Short-Open-Load (SOL) calibrated face-plane measurements of dielectric solids. A CST model, which considers escaping CM-energy, is used to generate open circuit (OC) calibration coefficients and to serve as an independent extraction method. We inspect the effect of different shielding environments and through CST, extract accurate permittivity results for e00, to a degree not previously achieved for such systems. This allows comment on the infinite-flange-radius assumption of the NIST method and proves the significance of the CM-effect. / AFRIKAANSE OPSOMMING: Geflensde koaksiale probes word algemeen in die praktyk gebruik om akkurate, wyeband permitiwiteitmetings van diëlektriese materiale te verrig. ’n Studie wat in [1] bespreek word, dui aan dat klein verskynsels in gemete resultate, verband hou met gemene-modus (GM) stroom, wat ontsnap en teenwoording is aan die buitekant van onbeskermde voerkabels. Hierdie verkynsel word nie deur huidige volgolf ekstraksie-algoaritmes, soos die van NIST wat ’n onëindige flensradius aanvaar, in ag geneem nie. Om die GM-effek te karakteriseer, verifieer ons ’n eindige-volume tyd-gebied CST simulasiemodel, deur sensitiewe metings binne ’n silidriese metaalskerm, wat om so ’n probe geplaas word. Vir hierdie meting word elektro-optiese E-veld probes eers oorweeg. In gevolg word ’n Mach-Zehnder-tipe probe ontwerp, maar vervaardigingsprobleme en tyd-oorwegings kniehalter hierdie benadering. Heroorweging van die verlengde koaksiale sentraalgeleier, E-veld-probe tegniek, wat hoë dinamiese bereik twee-poort netwerkanaliseerder metings behels, slaag uiteindelik in hierdie doel. CST maak dit nou moontlik om die GM stroomprobleem te simuleer en spesefieke veldgedrag te kan waarneem. Verskillende afskermingsmetodes se vermoë om GM-koppeling na kabels te beperk word ondersoek. Die GM studie word uitgebrei na SOL-gekalibreerde, flensvlakverwysde permitwiteitmetings van diëlektriese vastestowwe. ’n CST model, wat GM stroom in ag neem, word gebruik om oopgeslote kalibrasiekofisiënte te genereer en dien ook as ‘n alternatiewe permitiwiteit ekstraksiemetode. Die effek van die verskillende afskermingstegnieke word ondersoek en deur die CST metode te gebruik, word ’n aansienlike verbetering in akkuraatheid van e00 waardes verkry. Dit regverdig kommentaar oor die aannames wat in die NIST metode gemaak word en beklemtoon die belangrikheid om GM stroom in ag te neem.

Neste trabalho realizamos um amplo estudo de simulação com o objetivo principal de avaliar o desempenho de carteiras de mínima variância global construídas com base em modelos de previsão da volatilidade que utilizam dados de alta frequência (em comparação a dados diários). O estudo é baseado em um abrangente conjunto de dados financeiros, compreendendo 41 ações listadas na BM&FBOVESPA entre 2009 e 2017. Nós avaliamos modelos de previsão de volatilidade que são inspirados na literatura ARCH, mas que também incluem medidas realizadas. Eles são os modelos GARCH-X, HEAVY e Realized GARCH. Seu desempenho é comparado com o de carteiras construídas com base na matriz de covariância amostral, métodos de encolhimento e DCC-GARCH, bem como com a carteira igualmente ponderada e o índice Ibovespa. Uma vez que a natureza do trabalho é multivariada, e a fim de possibilitar a estimação de matrizes de covariância de grandes dimensões, recorremos à especificação DCC. Utilizamos três frequências de rebalanceamento (diária, semanal e mensal) e quatro conjuntos diferentes de restrições sobre os pesos das carteiras. A avaliação de desempenho baseia-se em medidas econômicas tais como retornos anualizados, volatilidade anualizada, razão de Sharpe, máximo drawdown, Valor em Risco, Valor em Risco condicional e turnover. Como conclusão, para o nosso conjunto de dados o uso de retornos intradiários (amostrados a cada 5 e 10 minutos) não melhora o desempenho das carteiras de mínima variância global. / In this work we perform an extensive backtesting study targeting as a main goal to assess the performance of global minimum variance (GMV) portfolios built on volatility forecasting models that make use of high frequency (compared to daily) data. The study is based on a broad intradaily financial dataset comprising 41 assets listed on the BM&FBOVESPA from 2009 to 2017. We evaluate volatility forecasting models that are inspired by the ARCH literature, but also include realized measures. They are the GARCH-X, the High-Frequency Based Volatility (HEAVY) and the Realized GARCH models. Their perfomances are benchmarked against portfolios built on the sample covariance matrix, covariance matrix shrinkage methods, DCC-GARCH as well as the naive (equally weighted) portfolio and the Ibovespa index. Since the nature of this work is multivariate and in order to make possible the estimation of large covariance matrices, we resort to the Dynamic Conditional Correlation (DCC) specification. We use three different rebalancing schemes (daily, weekly and monthly) and four different sets of constraints on portfolio weights. The performance assessment relies on economic measures such as annualized portfolio returns, annualized volatility, Sharpe ratio, maximum drawdown, Value at Risk, Expected Shortfall and turnover. We also account for transaction costs. As a conclusion, for our dataset the use of intradaily returns (sampled every 5 and 10 minutes) does not enhance the performance of GMV portfolios.

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Submitted by EDUARDO HINTERHOLZ (eduh17@gmail.com) on 2015-08-26T19:57:33Z No. of bitstreams: 1 DissertaçãoFinal.pdf: 1431279 bytes, checksum: dea2c0cdc148ed945cdfc8b33e86f668 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2015-08-26T20:02:31Z (GMT) No. of bitstreams: 1 DissertaçãoFinal.pdf: 1431279 bytes, checksum: dea2c0cdc148ed945cdfc8b33e86f668 (MD5) / Made available in DSpace on 2015-08-27T13:12:19Z (GMT). No. of bitstreams: 1 DissertaçãoFinal.pdf: 1431279 bytes, checksum: dea2c0cdc148ed945cdfc8b33e86f668 (MD5) Previous issue date: 2015 / This work proposes a method to examine variations in the cointegration relation between preferred and common stocks in the Brazilian stock market via Markovian regime switches. It aims on contributing for future works in 'pairs trading' and, more specifically, to price discovery, given that, conditional on the state, the system is assumed stationary. This implies there exists a (conditional) moving average representation from which measures of 'information share' (IS) could be extracted. For identification purposes, the Markov error correction model is estimated within a Bayesian MCMC framework. Inference and capability of detecting regime changes are shown using a Montecarlo experiment. I also highlight the necessity of modeling financial effects of high frequency data for reliable inference. / Este trabalho propõe um método para examinar variações na relação cointegração de preços de ações preferenciais e ordinárias da bolsa brasileira através de mudanças de regime no sentido de Markov. Este modelo tem como objetivo contribuir tanto para futuros trabalhos em negociações de pares ('pairs trading') quanto, principalmente, para aplicação em descoberta de preços visto que, condicional nos estados, é pressuposta estacionariedade no sistema. Desta maneira seria possível a extração de medidas de 'parcela de informação' (IS) baseadas na representação de médias móveis de um modelo de correção de erros Markoviano, estimado através de um ferramental bayesiano do tipo MCMC por questões de identificação. A validade do modelo no sentido de capturar as variações de regime é demonstrada através de experimento de Montecarlo, bem como é evidenciada a necessidade da modelar não normalidades na distribuição dos dados de alta frequência visando inferência.

vi Abstract Proper understanding of the dependence between assets is a crucial ingredient for a number of portfolio and risk management tasks. While the research in this area has been lively for decades, the recent financial crisis of 2007-2008 reminded us that we might not understand the dependence properly. This crisis served as catalyst for boosting the demand for models capturing the dependence structures. Reminded by this urgent call, literature is responding by moving to nonlinear de- pendence models resembling the dependence structures observed in the data. In my dissertation, I contribute to this surge with three papers in financial econo- metrics, focusing on nonlinear dependence in financial time series from different perspectives. I propose a new empirical model which allows capturing and forecasting the conditional time-varying joint distribution of the oil - stocks pair accurately. Em- ploying a recently proposed conditional diversification benefits measure that con- siders higher-order moments and nonlinear dependence from tail events, I docu- ment decreasing benefits from diversification over the past ten years. The diver- sification benefits implied by my empirical model are, moreover, strongly varied over time. These findings have important implications for asset allocation, as the benefits of...

Os Sistemas de Distribuição de Energia Elétrica (SDEE) estão constantemente expostos à ocorrência de faltas, o que torna de primordial importância para as concessionárias que estas sejam localizadas com rapidez e precisão. Com isso, a degradação da confiabilidade do sistema e as perdas econômicas são minimizadas. Com este intuito, diversas pesquisas vêm sendo conduzidas nas últimas décadas tendo em vista o desenvolvimento de métodos computacionais para Localização de Faltas (LF) em SDEE. Embora as técnicas disponíveis atualmente sejam capazes de estimar a distância das faltas com relativa exatidão, algumas características intrínsecas aos SDEE ainda impõem limitações à LF em alimentadores radiais. Em geral, o aspecto econômico requer o uso de dados provenientes de um único terminal de medição. Ainda, a quantidade significativa de ramais laterais tipicamente presentes nos SDEE faz com que o problema das múltiplas estimativas da LF seja considerado como a principal limitação à efetividade das técnicas existentes na atualidade. Neste contexto, este trabalho apresenta uma metodologia baseada na análise dos transitórios de alta frequência gerados pelas faltas, a qual é capaz de fornecer uma estimativa única para a LF em SDEE ramificados a partir de medições somente no terminal local. O ramal em falta e a distância da falta em relação ao terminal de medição são determinados através da comparação entre as frequências características identificadas no espectro do transitório, e as frequências teóricas calculadas para os possíveis caminhos de propagação. Uma das principais contribuições deste trabalho consiste na formulação de um modelo detalhado das linhas de distribuição desequilibradas. A formulação proposta é baseada na modificação nas equações de Carson, considerando a dependência da frequência e a inclusão dos efeitos pelicular e da corrente de retorno pela terra para altas frequências. Como resultado, esta abordagem permite uma maior exatidão na determinação dos parâmetros modais que descrevem a propagação de transitórios em SDEE desequilibrados, eliminando as aproximações adotadas pela maioria das técnicas propostas na literatura atual. A técnica proposta foi avaliada considerando simulações de faltas nos alimentadores IEEE 13 e 34 barras através do ATP/EMTP. Os resultados apresentados incluem diversos cenários de faltas, bem como a comparação com um método de LF para SDEE considerado estado da arte atualmente. / Electric power distribution systems (EPDS) are continuously exposed to faults, therefore fast and accurate fault location is of paramount importance for utilities. Thus, degradation of system reliability and economic losses are minimized. In this sense, several studies have been conducted in the last decades aiming to the development of computational methods for Fault Localization (FL) in EPDS. Although the currently available techniques are able to estimate fault distance with relative accuracy, some intrinsic characteristics of EPDS still impose limitations to FL in radial feeders. In general, the economic aspect requires use of data from one-terminal measurements. Also, typical EPDS have a large number of branches, which makes the problem of multiple FL estimates the main limitation to the effectiveness of the existing techniques. In this context, this work presents a methodology based on the analysis of the high frequency transient generated by faults, which is able to provide a unique FL estimate in branched EPDS by using only one-terminal measurements. The faulted branch and the fault distance from the measurement terminal are determined by correlating the characteristic frequencies identified in the transient spectrum and theoretical frequencies calculated for the possible propagation paths. One of the main contributions of this work is the formulation of a detailed model of unbalanced distribution lines. The proposed formulation is based on the modification of Carson’s equations, considering frequency dependence and inclusion of skin effects and the ground current return at high frequencies. As a result, this approach allows a greater accuracy in determining the modal parameters that describe the transients’ propagation in unbalanced EPDS, thus eliminating the approximations adopted by most of the techniques proposed in the current literature. The proposed technique was evaluated considering fault simulations in the IEEE 13 and 34 nodes feeders through the ATP/EMTP. Results presented include several fault scenarios as well as the comparison with a FL method for SDEE currently considered as the state of the art.

Neste trabalho realizamos um amplo estudo de simulação com o objetivo principal de avaliar o desempenho de carteiras de mínima variância global construídas com base em modelos de previsão da volatilidade que utilizam dados de alta frequência (em comparação a dados diários). O estudo é baseado em um abrangente conjunto de dados financeiros, compreendendo 41 ações listadas na BM&FBOVESPA entre 2009 e 2017. Nós avaliamos modelos de previsão de volatilidade que são inspirados na literatura ARCH, mas que também incluem medidas realizadas. Eles são os modelos GARCH-X, HEAVY e Realized GARCH. Seu desempenho é comparado com o de carteiras construídas com base na matriz de covariância amostral, métodos de encolhimento e DCC-GARCH, bem como com a carteira igualmente ponderada e o índice Ibovespa. Uma vez que a natureza do trabalho é multivariada, e a fim de possibilitar a estimação de matrizes de covariância de grandes dimensões, recorremos à especificação DCC. Utilizamos três frequências de rebalanceamento (diária, semanal e mensal) e quatro conjuntos diferentes de restrições sobre os pesos das carteiras. A avaliação de desempenho baseia-se em medidas econômicas tais como retornos anualizados, volatilidade anualizada, razão de Sharpe, máximo drawdown, Valor em Risco, Valor em Risco condicional e turnover. Como conclusão, para o nosso conjunto de dados o uso de retornos intradiários (amostrados a cada 5 e 10 minutos) não melhora o desempenho das carteiras de mínima variância global. / In this work we perform an extensive backtesting study targeting as a main goal to assess the performance of global minimum variance (GMV) portfolios built on volatility forecasting models that make use of high frequency (compared to daily) data. The study is based on a broad intradaily financial dataset comprising 41 assets listed on the BM&FBOVESPA from 2009 to 2017. We evaluate volatility forecasting models that are inspired by the ARCH literature, but also include realized measures. They are the GARCH-X, the High-Frequency Based Volatility (HEAVY) and the Realized GARCH models. Their perfomances are benchmarked against portfolios built on the sample covariance matrix, covariance matrix shrinkage methods, DCC-GARCH as well as the naive (equally weighted) portfolio and the Ibovespa index. Since the nature of this work is multivariate and in order to make possible the estimation of large covariance matrices, we resort to the Dynamic Conditional Correlation (DCC) specification. We use three different rebalancing schemes (daily, weekly and monthly) and four different sets of constraints on portfolio weights. The performance assessment relies on economic measures such as annualized portfolio returns, annualized volatility, Sharpe ratio, maximum drawdown, Value at Risk, Expected Shortfall and turnover. We also account for transaction costs. As a conclusion, for our dataset the use of intradaily returns (sampled every 5 and 10 minutes) does not enhance the performance of GMV portfolios.

Made available in DSpace on 2014-06-11T19:26:16Z (GMT). No. of bitstreams: 0 Previous issue date: 2010-12-17Bitstream added on 2014-06-13T18:54:26Z : No. of bitstreams: 1 nervis_jj_me_bauru.pdf: 692937 bytes, checksum: a9ef52afbfe5a4ae6482213875cfd47d (MD5) / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) / Estudos que proporcionem conhecer de forma mais adequada o mercado de capitais brasileiro são uma necessidade para um país que a cada dia tem a sua importância no cenário internacional acentuada. Compreender a dinâmica das flutuações do mercado de ações é um desafio científico possibilitado, no Brasil, por dois aspectos importantes: disponibilidade de dados de alta frequencia sobre os preços praticados no mercado e a utilização de métodos computacionais. O objetivo dessa pesquisa é verificar e analisar os principais fatos estilizados observados em séries temporais financeiras: agrupamento de volatilidade, distribuições de probabilidade com caudas gordas e a presença de memória de longo alcance na série temporal dos retornos absolutos. Para isso, foram utilizadas e analisadas as cotações intraday de ações de dez companhias negociadas na Bolsa de Valores, Mercadorias e Futuros que correspondem juntas a uma participação de 52,1%, para a data de 01/09/2009, no Ìndice Bovespa. Verificou-se a existência de vários fatos estilizados em todas as ações da amostra, bem como se procedeu a caracterização desses comportamentos por meio de gráficos e medidas estatísticas / Studies that provide to know in a more suitable way the Brazilian money market are a necessity for a country that has its importance increased in the international scenery every day. Understanding the dynamics of the stock market fluctuation is a scientific challenge possible, in Brazil, because of two important aspects: availability of high frequency data on the prices practiced in the stock market and the use of computing methods. The objective of this survey is to verify and analyze the stylized facts observed in financial seasonal series: gathering of volatility, probability distribution with fat tails and the presence of high reaching memory in the seasonal series of abolute recurrence. For this, it was used and analyzed the intraday quotations over stocks of ten enterprises in the stock exchange, commodities and futures that correspond together to a participation of 52,1% to th data of 09/01/2009, in the Bovespa index. It was verified the existence os several stylized fact in all stock samples and how it was preceded the characterization of this behavior by graphic displays and statistical measures

In this study interest centers on regional differences in the response of housing prices to monetary policy shocks in the US. We address this issue by analyzing monthly home price data for metropolitan regions using a factor-augmented vector autoregression (FAVAR) model. Bayesian model estimation is based on Gibbs sampling with Normal-Gamma shrinkage priors for the autoregressive coefficients and factor loadings, while monetary policy shocks are identified using high-frequency surprises around policy announcements as external instruments. The empirical results indicate that monetary policy actions typically have sizeable and significant positive effects on regional housing prices, revealing differences in magnitude and duration. The largest effects are observed in regions located in states on both the East and West Coasts, notably California, Arizona and Florida. / Series: Working Papers in Regional Science