none

Companies in the construction industry have a wide range of choices of suppliers for the company's needs in building materials. Local (in-state) suppliers within key southern states have issues gaining market share within the construction sectors. Construction companies often outsource their purchase of wood products from a different state or country, which adversely affects the local economy due to not purchasing from in-state or local wood product suppliers. Construction companies are often not aware of local suppliers due to lack of resources or general lack of knowledge. The primary research question of this thesis is: can construction company procurement decisions and supplier selection methods help local wood product suppliers gain more market share within the construction industry? Companies within the states of Georgia, Texas, Oklahoma, South Carolina, Florida, and Virginia were interviewed over the phone and in person to determine how the companies choose the wood product suppliers and what factors impact the purchasing decisions. Key factors included: cost, quality, delivery, flexibility, location, relationship, and payment options. A survey of construction companies was created and conducted after the interviews were concluded. Important factors highlighted by the survey responses included: cost, quality, relationship, and lead time in choosing a supplier. Suppliers were asked to differentiate their products using information the construction companies highlighted as factors they emphasized. Construction companies offered insight into how they purchase wood products, the factors they desire in their suppliers, and how often they purchase in-state. In-state wood product suppliers have an opportunity to gain market share within the construction industry using the factors those construction companies favored in interviews and survey results. / Master of Science / Companies in the construction industry have a wide range of choices of suppliers for the company's needs in building materials. Local (in-state) suppliers within key southern states have issues gaining market share within the construction sectors. Construction companies often outsource their purchase of wood products from a different state or country, which adversely affects the local economy due to not purchasing from in-state or local wood product suppliers. Companies within the states of Georgia, Texas, Oklahoma, South Carolina, Florida, and Virginia were interviewed over the phone and in person to determine how the companies choose the wood product suppliers and what factors impact the purchasing decisions. Key factors included: cost, quality, delivery, flexibility, location, relationship, and payment options. A survey of construction companies was created and conducted after the interviews were concluded. Important factors highlighted by the survey responses included: cost, quality, relationship, and lead time in choosing a supplier. Suppliers were asked to differentiate their products using information the construction companies highlighted as factors they emphasized. In-state wood product suppliers have an opportunity to gain market share within the construction industry using the factors those construction companies favored in interviews and survey results.

This dissertation addresses the fundamental question of what factors drive equity prices and investigates the mechanisms through which the drivers influence the price dynamics. The studies are based on the two different frequency levels of financial data. The first part aims to identify what systematic risk factors affect the expected return of stocks based on historical data with frequency being daily or monthly. The second part aims to explain how the hidden supply-demand of a stock affects the stock price dynamics based on market data observed at frequency levels generally between a millisecond and a second. With more and more financial market data becoming available, it greatly facilitates quantitative approaches for analyzing asset price dynamics and market microstructure problems. In the first part, we propose an econometric measure, terms as modularity, for characterizing the cluster structure in a universe of stocks. A high level of modularity implies that the cluster structure of the universe of stocks is highly evident, and low modularity implies a blurred cluster structure. The modularity measure is shown to be related to the cycle of the economy. In addition, individual stock's sensitivity to the modularity measure is shown to be related to its expected return. From 1992 to 2011, the average annual return of stocks with the lowest sensitivity exceeds that of the stocks with highest sensitivities by approximately 7.6%. Considerations of modularity as an asset pricing factor expand the investment opportunity set to passive investors. In the second part, we analyze the effect of hidden demands/supplies in equity trading market on the stock price dynamics. We propose a statistical estimation model for average hidden liquidity based on the limit orderbook data. Not only the estimated hidden liquidity explains the probabilistic property in market microstructure better, it also refines the existing price impact model and achieves higher explanation powers. Our enhanced price impact model offers a base for devising optimal order execution strategies. After we develop an optimal execution strategy based on the price impact function, the advantage of this strategy over benchmark strategies is tested on a simulated stock trading model calibrated by historical data. Simulation tests indicate that our strategy yields significant savings in transaction cost over the benchmark strategies.

Högfrekvenshandel har de senaste åren växt till att bli en betydande kraft på de finansiella marknaderna och således även fått mycket medial uppmärksamhet. Den här medieuppmärksamheten intensifierades den 6: e maj 2010 då "Flash-krashen" inträffade på Dow Jones indexet i New York och påverkade marknader över hela världen. Vår avsikt med den här kandidatuppsatsen är att kritiskt granska högfrekvenshandeln som fenomen samt den diskussion som förs angående ytterligare reglering av handeln. Detta görs genom en inledande period av litteraturstudier som kompletteras med djupintervjuer av olika aktörer på marknaden. Våra resultat visar att högfrekvenshandeln inte för med sig så stora negativa effekter som media målar upp, och att den forskning som gjorts på ämnet indikerar att handeln främst tillför positiva effekter i form av ökad likviditet och minskad volatilitet. Uppsatsen behandlar även dagens regleringssituation och analyserar de förslag på åtgärder som har lagts fram på EU-nivå. Vår analys visar att många av de förslag som diskuteras är direkt missriktade och inte adresserar det egentliga problemet – en situation som kantas av oklara roller gällande tillsyn och övervakning. / High frequency trading has during the last couple of years grown to become a significant force in the financial markets, and therefore it has also gotten a lot of media attention. This media attention intensified on the 6 th of May 2010 when the so called "Flash Crash" occurred at the Dow Jones index in New York and affected markets all over the world. Our intention with this bachelor thesis is to critically examine high frequency trading as a phenomenon and the discussion that is taking place concerning further regulation of the trading. This will be done through an initial period of literature studies that will be complemented with in-depth interviews with different players in the market. Our results show that high frequency trading doesn´t come with such great negative effects as media would like to imply. The research that has been done on the subject indicates that the trading mainly adds positive effects in the form of increased liquidity and decreased volatility. The thesis will also address todays regulatory situation and analyse the proposals for additional regulation that has been discussed on an EU-level. Our analysis shows that many of the discussed proposals are directly misguided and doesn´t address the real problem – a situation that is struggling with unclear roles concerning supervision and monitoring.

The thesis deals with present trends in the world and the Czech insurance. This dissertation identifies the biggest problems further highlights the current changes in the market and at the end estimate future development, which would be the insurance market in next years to develop.

Cette thèse est composée de deux parties reliées, le premier sur le carnet d'ordre et le deuxième sur les effets de valeur de tick. Dans la première partie, nous présentons notre cadre de modélisation de carnet. Le modèle queue-réactive est d'abord introduit, dans laquelle nous révisons l'approche zéro intelligence traditionnelle en ajoutant dépendance envers l'État de carnet. Une étude empirique montre que ce modèle est très réaliste et reproduit de nombreuses fonctionnalités intéressantes microscopiques de l'actif sous-jacent comme la distribution du carnet de commandes. Nous démontrons également qu'il peut être utilisé comme un simulateur de marché efficace, ce qui permet l'évaluation de la tactique de placement complexes. Nous étendons ensuite le modèle de queue-réactive à un cadre markovien général. Conditions de Ergodicité sont discutés en détail dans ce paramètre. Dans la deuxième partie de cette thèse, nous sommes intéressés à étudier le rôle joué par la valeur de la tique à deux échelles microscopiques et macroscopiques. Tout d'abord, une étude empirique sur les conséquences d'un changement de la valeur de tick est effectuée à l'aide des données du programme pilote de réduction de la taille 2014 tick japonais. Une formule de prédiction pour les effets d'un changement de valeur de tique sur les coûts de transactions est dérivé. Ensuite, un modèle multi-agent est introduit afin d'expliquer les relations entre le volume du marché, la dynamique des prix, spread bid-ask, la valeur de la tique et de l'état du carnet d'ordres d'équilibre. / This thesis is made of two connected parts, the first one about limit order book modeling and the second one about tick value effects. In the first part, we present our framework for Markovian order book modeling. The queue-reactive model is first introduced, in which we revise the traditional zero-intelligence approach by adding state dependency in the order arrival processes. An empirical study shows that this model is very realistic and reproduces many interesting microscopic features of the underlying asset such as the distribution of the order book. We also demonstrate that it can be used as an efficient market simulator, allowing for the assessment of complex placement tactics. We then extend the queue-reactive model to a general Markovian framework for order book modeling. Ergodicity conditions are discussed in details in this setting. Under some rather weak assumptions, we prove the convergence of the order book state towards an invariant distribution and that of the rescaled price process to a standard Brownian motion. In the second part of this thesis, we are interested in studying the role played by the tick value at both microscopic and macroscopic scales. First, an empirical study of the consequences of a tick value change is conducted using data from the 2014 Japanese tick size reduction pilot program. A prediction formula for the effects of a tick value change on the trading costs is derived and successfully tested. Then, an agent-based model is introduced in order to explain the relationships between market volume, price dynamics, bid-ask spread, tick value and the equilibrium order book state.

本研究探討外國機構投資人交易行為及其對股票市場的衝擊，參考 Chan and Lokonishok(1995)的交易期間(trading package)觀念，分析外國機構投資人的持股內容及易行為，以了解其選股決策，並驗證其交易行為是否存在正向回應現象；及研究外國機構投資人的交易行為所產生的市場衝擊，以了解外資進出對國內股票市場穩定性的影響，並進一步研究交易完成後的股價回復現象及短期績效表現。 本研究的樣本期間為包括民國 84 年至民國 86 年底，樣本資料包含每日股價資料、每日外國機構投資人的持股明細、以及所有上市個股的財務資料。經實驗後發現，可能是基於風險控管和模擬臺灣股價指數的考量，外國機構投資人傾向買賣大型績優個股；在相同交易行為上，通常有持續十日的現象，且每一次交易的張數並不大。此外，明顯存在著正向回應情形、顯著的市場衝擊和短暫的股價回復現象，如同國外相同的研究結果，本研究亦發現外國機構投資人在買和賣不同的交易行為上，存在著不對稱的影響。 / The study is to Investigate the trading behavior of foreign institutional investors and its market impact on stock prices. The purposes of the study are as follows: First, to analyze the holding characteristics and trading behavior of foreign institutional investors in order to understand their stocks selection decisions and test if positive feedback behavior exists. Second, to analyze the market impacts on Taiwan stock market stability. Finally, after finishing each trading behavior, to observe the trend of stock prices in order to test if price reversion exists and how their short-term performance are. Form empirical studies, foreign institutional investors tend to hold stocks of large-size firms probably because of controlling investment risk and simulation Taiwan stock index. Besides, analyzing their trading activities, positive feedback bahavior, market impacts and price reversion really exist and are significant. According to our study, we found that buying and selling activities have asymmetric impact on stock prices. The conclusion is the same as foreign studies.

L'objectif de cette thèse est de fournir à la Banque Audi des outils économétriques et appliqués pour une gestion des risques plus efficace et plus robuste. Les banques libanaises sont aujourd'hui confrontées à des défis plus importants que jamais: l'avenir de la région Moyen-Orient repose sur les conséquences de la guerre civile syrienne. Dans ce contexte, la gestion des taux d'intérêt et de la liquidité s'avère de plus en plus compliqué pour les banques commerciales. En premier lieu, le risque de taux d'intérêt sur le marché libanais sera étudié. Ce marché est connu pour son manque de liquidité et le problème de calibrage des modèles de taux est difficile. Afin de résoudre ce problème, nous utilisons les prix historiques des obligations émises par le gouvernement libanais et libellées en monnaie locale et en dollars américains. Nous considérons des modèles de Nelson-Siegel et Svensson et contraignons le niveau corrélation des facteurs pour stabiliser l'estimation des paramètres de ces modèles. La méthode conduit à des résultats qui s'interprètent très facilement d'un point de vue économique et peuvent être utilisés pour la prévision des variations de la courbe des taux en se basant une analyse ´économique prospective. En second lieu, la problématique des dépôts des clients traditionnels sera étudiée. Ces derniers sont reconnus comme étant la source principale de financement des banques commerciales libanaises (80-85% du passif). Bien qu'ils soient contractuellement des dépôts à court terme (principalement un mois) versant des taux d'intérêt fixes, ces dépôts sont assimilés à une source de financement stable possédant un comportement proche des taux d'intérêt du marché. Nous développons un modèle à correction d'erreur représentant un équilibre à long terme entre le Libor et le taux moyen du secteur bancaire libanais offert sur les dépôts en dollars américains. Les résultats permettent de déterminer une date de réévaluation des dépôts clientèles en cas de fluctuation des taux d'intérêt. Une nouvelle duration du passif tenant compte des comportements des clients a été mise en place. Elle sera par construction plus élevée que la duration contractuelle. En cas de hausse des taux d'intérêt, une baisse de l'écart entre la duration des actifs et des passifs sera alors observée menant à la diminution de l'impact négatif de la hausse. Après avoir étudié le profil de risque des taux des dépôts clientèles, nous commençons la deuxième partie de la thèse par la détermination de l'échéancier des retraits. Nous segmentons les données historiques des données sur les dépôts clientèles selon: la monnaie, le type de dépôt et la résidence du déposant. Pour chaque filtre, un modèle `a correction d'erreur est développé. Les résultats montrent la relation entre les dépôts clientèles, un indicateur relatif du niveau économique et les écarts entre les taux offerts sur le marché libanais. Ainsi, le modèle permettra d'évaluer le comportement des retraits des dépôts clientèles et de comprendre leur profil de risque de liquidité. Les grandes institutions financières détiennent des positions importantes en actifs financiers. La dernière partie de la thèse discute de la gestion du risque de liquidité de marché en cas de session forcée de ces actifs. Nous supposons qu'un investisseur détient une position importante d'un actif donné, à t = 0, un choc sévère provoque une forte dépréciation de la valeur de l'actif et par conséquent, force l'investisseur à opter pour la liquidation du portefeuille dès que possible en limitant ses pertes. Les rendements des actions sont modélisés par des processus de type GARCH qui sont adaptés pour décrire des comportements extrêmes suite à une grande variation de l'actif au temps initial. Suivant que le marché est liquide ou illiquide, nous proposons une stratégie optimale à l'investisseur qui maximise sa fonction d'utilité. Enfin, nous intégrons dans le modèle un avis d'expert pour optimiser la prise d'une décision / The aim of this thesis is to provide Bank Audi with econometric tools for sake of a more robust risk management. Lebanese businesses today are faced with greater challenges than ever before, both economical and political, and there is a question about the future of the middle east region after the Syrian civil war. Thus, Lebanese commercial banks face greater complications in the management of interest rate and liquidity risk. The first part of this thesis discusses interest rate risk management and measurement in the Lebanese market. First, we seek to build the Lebanese term structure. This market is known by its illiquidity, yields for a given maturity make a large jump with a small impact on other yields even if close to this maturity. Therefore, we face challenges in calibrating existing yield curve models. For this matter, we get historical prices of bonds issued by the Lebanese government, and denominated in Local currency and in US dollar. A new estimation method has been added to Nelson Siegel and Svensson model, we call it “Correlation Constraint Approach”. Model parameters can be interpreted from economical perspective which will be helpful in forecasting yield curve movements based on economist’s opinion. On the second hand, traditional customer deposits are the main funding source of Lebanese commercial banks (80-85% of liabilities). Although they are contractually short term (mainly one month) paying fixed interest rates, these deposits are historically known to be a stable source of funding and therefore exhibit a sticky behavior to changes in market interest rates. We develop an error correction model showing a long-run equilibrium between Libor and Lebanese banking sector average rate offered on USD deposits. Results make it possible to determine the behavioral duration (repricing date) of customer deposits when market interest rates fluctuate. Therefore, the behavioral duration of liabilities will be higher than the contractual one which will lower the duration gap between assets and liabilities and thus the negative impact of positive interest rate shocks. After understanding interest risk profile of customers’ deposits, we start the second part by determining their behavioral liquidation maturity. We get Bank Audi’s historical deposits outstanding balances filtered into the following categories: currency, account typology and residency of depositor. We develop an error correction model for each filter. Results show relationship between deposits behaviors, the coincident indicator and spreads between offered rates in the Lebanese market. The model will lead to assess behavioral liquidation maturity to deposits and understand their liquidity risk profile. This will be helpful for the funding liquidity risk management at Bank Audi. Large financial institutions are supposed to hold large positions of given assets. The last topic is related to market liquidity risk management. We suppose an investor holds a large position of a given asset. Then at time 0, a severe shock causes a large depreciation of the asset value and makes the investor decides to liquidate the portfolio as soon as possible with limited losses. Stock returns are modeled by GARCH process which has tail behaviors after large variation at time 0. Trading on liquid and illiquid markets, we provide the trader with best exit trading strategy maximizing his utility function, finally we incorporate into the model an expert opinion which will help the investor in taking the decision

This study is a thesis ending a 120 credit masters program in Mathematics with specialization Financial Mathematics and Mathematical Statistics at the Royal Institute of Technology (KTH). The subject of Smart beta is defined and studied in an index fund context. The portfolio weighting schemes tested are: equally weighting, maximum Sharpe ratio, maximum diversification, and fundamental weighting using P/E-ratios. The outcome of the strategies is measured in performance (accumulated return), risk, and cost of trading, along with measures of the proportions of different assets in the portfolio. The thesis goes through the steps of collecting, ordering, and ”cleaning” the data used in the process. A brief explanation of historical simulation used in estimation of stochastic variables such as expected return and covariance matrices is included, as well as analysis on the data’s distribution. The process of optimization and how rules for being UCITS compliant forms optimization programs with constraints is described. The results indicate that all, but the most diversified, portfolios tested outperform the market cap weighted portfolio. In all cases, the trading volumes and the market impact is increased, in comparison with the cap weighted portfolio. The Sharpe ratio maximizer yields a high level of return, while keeping the risk low. The fundamentally weighted portfolio performs best, but with higher risk. A combination of the two finds the portfolio with highest return and lowest risk. / Denna studie är ett examensarbete som avslutar ett 120 poängs mastersprogram i Matematik med inriktning mot Finansiell Matematik och Matematisk Statistik på Kungliga Tekniska Högskolan (KTH). Ämnet Smart beta studeras i kontexten av en indexfond, där de olika testade principerna för viktning i portföljerna är: likaviktad, maximerad Sharpe-kvot, maximerad diversifiering, och fundamental viktning användandes av P/E-tal. Utfallet i testerna utvärderas i ackumulerad avkastning, portföljrisk, kostnad att handla i portföljen, och ett antal mått på fördelningen av tillgångarna. Studien går stegvis igenom processen för att samla in, ordna, och ”tvätta” data. En kort förklaring av historisk simulering, metoden för att estimera stokastiska variabler såsom kovariansmatriser, är inkluderad, såväl som en analys av distributionen av data. Processen för att optimera portföljerna och hur regler för att vara en UCITS-fond kan omformas till optimeringsvillkor beskrivs. Resultaten indikerar att alla utom den mest diversifierade portföljen har högre ackumulerad avkastning än den marknadsviktade portföljen under testperioden. I alla testade fall ökar handelsvolymen liksom marknadspåverkan när en annan strategi än marknadsviktad används. Portföljen med maximerad Sharpe-kvot ger en hög avkastning med bibehållen låg risk. Den fundamentalt viktade portföljen ger bäst avkastning, men med en litet förhöjd risk. Kombinationen av de båda metoderna ger den portföljen med högst ackumulerad avkastning och samtidigt lägst risk under testperioden.

Das moderne Finanzsystem ist komplex, dynamisch, hochdimensional und oftmals nicht stationär. All diese Faktoren stellen große Herausforderungen beim Messen des zugrundeliegenden Finanzrisikos dar, das speziell für Marktteilnehmer von oberster Priorität ist. Hochdimensionalität, die aus der ansteigenden Vielfalt an Finanzprodukten entsteht, ist ein wichtiges Thema für Ökonometriker. Ein Standardansatz, um mit hoher Dimensionalität umzugehen, ist es, Schlüsselvariablen auszuwählen und kleine Koeffizientenen auf null zu setzen, wie etwa Lasso. In der Finanzmarktanalyse kann eine solche geringe Annahme helfen, die führenden Risikofaktoren aus dem extrem großen Portfolio, das letztendlich das robuste Maß für finanzielles Risiko darstellt, hervorzuheben. In dieser Arbeit nutzen wir penalisierte Verfahren, um die ökonometrischen Maße für das finanzielle Risiko in hoher Dimension zu schätzen, sowohl mit nieder-, als auch hochfrequenten Daten. Mit Fokus auf dem Finanzmarkt, können wir das Risikonetzwerk des ganzen Systems konstruieren, das die Identifizierung individualspezifischen Risikos erlaubt. / Modern financial system is complex, dynamic, high-dimensional and often possibly non-stationary. All these factors pose great challenges in measuring the underlying financial risk, which is of top priority especially for market participants. High-dimensionality, which arises from the increasing variety of the financial products, is an important issue among econometricians. A standard approach dealing with high dimensionality is to select key variables and set small coefficient to zero, such as lasso. In financial market analysis, such sparsity assumption can help highlight the leading risk factors from the extremely large portfolio, which constitutes the robust measure for financial risk in the end. In this paper we use penalized techniques to estimate the econometric measures of financial risk in high dimensional, with both low-frequency and high-frequency data. With focus on financial market, we could construct the risk network of the whole system which allows for identification of individual-specific risk.