This thesis provides an 'immanent' critique of the moral dimension of Hayek's political theory. The concept of morality that Hayek advances is epistemologically founded. That concept is concerned with the recognition and respect of the natural limits of human knowledge and is incompatible with the idea of objective value judgement. The moral dimension of Hayek's theory is based on the methodological implications of his epistemologically founded concept of morality. That dimension consists of the ideas of social spontaneity and cultural evolution and is incompatible with any concept of objective liberal values. The moral dimension of Hayek's theory excludes but also requires substantive politics. The moral exclusion of substantive politics' undermines freedom and equality in catallaxy while, at the same time, it relativises commutative justice and legitimates the minimal state only from the point of view of its legality. Substantive politics is morally required for preserving and promoting institutions such as catallaxy and commutative justice in terms of liberalism. It is argued that the moral exclusion of substantive politics is due to the epistemological premises of Hayek's theory. Those premises form the praxeological presuppositions of social spontaneity and cultural evolution. In terms of them, substantive politics cannot be morally explained. Substantive politics is grounded on a normative/evaluative conception of a social good. That conception depends on critical reason in terms of which objective liberal values can be "recognised and respected. The moral requirement of substantive politics is due to the fact that the process of social spontaneity and cultural evolution cannot by itself be safeguarded against coercion, inequality and injustice.

Title: Volatility bursts and order book dynamics Author: Jana Plačková Department: Department of Probability and Mathematical Statistics Supervisor: Dr. Jan M. Swart Supervisor's e-mail address: swart@utia.cas.cz Abstract: The presented paper studies the dynamics of supply and demand through the electronic order book. We describe and define the basic rules of the order book and its dynamics. We also define limit and market orders and describe the differences between them and how they influenced the evolution of ask, bid price and spread. Next part of the paper is dedicated to the de- scription and definition of volatility and its basic models. The brief overview about volatility clustering and its modeling by economists and physicists can be found in the following part. In the last part we introduce a simple model of order book in which we observe ask, bid price and spread. Then we study the empirical distribution of spread and try to find its probability distribu- tion. The volatility clustering is then observed through the relative returns of spread. In the last part we introduce some possible improvement of the model. Keywords: volatility clustering, order book, limit orders, market orders 1

According to the empirical findings from evolution of liquidity, this dissertation constructs an optimal order submission strategy model within which a mixture of market and limit orders can be submitted by both informed and uninformed traders. In the Stacklberg Game Model, informed traders with short-lived private information are regarded as leaders, and uniformed traders with learning behaviors are referred as followers. Our theoretical findings conclude as follows: Firstly, the order strategies of all traders can be characterized as coming under one of seven regimes, pure market buy orders, a combination of market and limit buy orders, pure limit buy orders, a combination of limit buy and limit sell orders, pure limit sell orders, a combination of market and limit sell orders, and pure market sell orders. Traders will select their optimal trading strategy according to the regime within which their liquidation value falls. Parlour (1998) is a special case of this study. Secondly, an increase (reduction) in liquidation value will result in a non-linear increase in the optimal proportion of market order submissions by buyers (sellers). Thirdly, the probability of submitting limit orders for uniformed traders increases when information traders get large profit from the private information. The extreme case is uniformed traders only submit limit orders. This result is consistent with Foucault (1999). Fourthly, the price interval will be much wider when limit orders are submitted by uniformed traders than by informed traders. The reasons are that uniformed traders have no private information and that they are high risk aversion. Finally, numerical illustrations confirm the reliability of this model.

Main goal of this thesis is improvement of an order book model so that it behaved more realistically, based on a model developed by J. Plačková in her diploma thesis in 2011. We consider this simple model for evolution of order book in which limit orders of unit size arrive according to independent Poisson processes. Frequency of buy limit orders below resp. sell limit orders above a given price level is described by demand and supply functions. Buy (resp. sell) limit orders that arrive with price above (resp. below) the current ask (resp. bid) price are converted into market orders and cancellation of orders is not allowed. We extend this model by introducing market makers who place at the same time one buy and one sell limit order with current bid and ask prices. We show how introducing market makers reduces the spread that in the original model was unrealistically large and also show a method of calculating the precise rate of market makers needed to reduce the spread to zero. 1

Doctor of Philosophy / The motivation for the research presented in this thesis stems from the recent availability of high frequency limit order book data, relative scarcity of studies employing such data, economic significance of transaction costs management, and a perceived potential of data mining for uncovering patterns and relationships not identified by the traditional top-down modelling approach. We analyse and build computational models for order submissions on the Australian Stock Exchange, an order-driven market with a public electronic limit order book. The focus of the thesis is on the trade implementation problem faced by a trader who wants to transact a buy or sell order of a certain size. We use two approaches to build our models, top-down and bottom-up. The traditional, top-down approach is applied to develop an optimal order submission plan for an order which is too large to be traded immediately without a prohibitive price impact. We present an optimisation framework and some solutions for non-stationary and non-linear price impact and price impact risk. We find that our proposed transaction costs model produces fairly good forecasts of the variance of the execution shortfall. The second, bottom-up, or data mining, approach is employed for trade sign inference, where trade sign is defined as the side which initiates both a trade and the market order that triggered the trade. We are interested in an endogenous component of the order flow, as evidenced by the predictable relationship between trade sign and the variables used to infer it. We want to discover the rules which govern the trade sign, and establish a connection between them and two empirically observed regularities in market order submissions, competition for order execution and transaction cost minimisation. To achieve the above aims we first use exploratory analysis of trade and limit order book data. In particular, we conduct unsupervised clustering with the self-organising map technique. The visualisation of the transformed data reveals that buyer-initiated and seller-initiated trades form two distinct clusters. We then propose a local non-parametric trade sign inference model based on the k-nearest-neighbour classifier. The best k-nearest-neighbour classifier constructed by us requires only three predictor variables and achieves an average out-of-sample accuracy of 71.40% (SD=4.01%)1, across all of the tested stocks. The best set of predictor variables found for the non-parametric model is subsequently used to develop a piecewise linear trade sign model. That model proves superior to the k-nearest-neighbour classifier, and achieves an average out-of-sample classification accuracy of 74.38% (SD=4.25%). The result is statistically significant, after adjusting for multiple comparisons. The overall classification performance of the piecewise linear model indicates a strong dependence between trade sign and the three predictor variables, and provides evidence for the endogenous component in the order flow. Moreover, the rules for trade sign classification derived from the structure of the piecewise linear model reflect the two regularities observed in market order submissions, competition for order execution and transaction cost minimisation, and offer new insights into the relationship between them. The obtained results confirm the applicability and relevance of data mining for the analysis and modelling of stock market order submissions.

Doctor of Philosophy / The motivation for the research presented in this thesis stems from the recent availability of high frequency limit order book data, relative scarcity of studies employing such data, economic significance of transaction costs management, and a perceived potential of data mining for uncovering patterns and relationships not identified by the traditional top-down modelling approach. We analyse and build computational models for order submissions on the Australian Stock Exchange, an order-driven market with a public electronic limit order book. The focus of the thesis is on the trade implementation problem faced by a trader who wants to transact a buy or sell order of a certain size. We use two approaches to build our models, top-down and bottom-up. The traditional, top-down approach is applied to develop an optimal order submission plan for an order which is too large to be traded immediately without a prohibitive price impact. We present an optimisation framework and some solutions for non-stationary and non-linear price impact and price impact risk. We find that our proposed transaction costs model produces fairly good forecasts of the variance of the execution shortfall. The second, bottom-up, or data mining, approach is employed for trade sign inference, where trade sign is defined as the side which initiates both a trade and the market order that triggered the trade. We are interested in an endogenous component of the order flow, as evidenced by the predictable relationship between trade sign and the variables used to infer it. We want to discover the rules which govern the trade sign, and establish a connection between them and two empirically observed regularities in market order submissions, competition for order execution and transaction cost minimisation. To achieve the above aims we first use exploratory analysis of trade and limit order book data. In particular, we conduct unsupervised clustering with the self-organising map technique. The visualisation of the transformed data reveals that buyer-initiated and seller-initiated trades form two distinct clusters. We then propose a local non-parametric trade sign inference model based on the k-nearest-neighbour classifier. The best k-nearest-neighbour classifier constructed by us requires only three predictor variables and achieves an average out-of-sample accuracy of 71.40% (SD=4.01%)1, across all of the tested stocks. The best set of predictor variables found for the non-parametric model is subsequently used to develop a piecewise linear trade sign model. That model proves superior to the k-nearest-neighbour classifier, and achieves an average out-of-sample classification accuracy of 74.38% (SD=4.25%). The result is statistically significant, after adjusting for multiple comparisons. The overall classification performance of the piecewise linear model indicates a strong dependence between trade sign and the three predictor variables, and provides evidence for the endogenous component in the order flow. Moreover, the rules for trade sign classification derived from the structure of the piecewise linear model reflect the two regularities observed in market order submissions, competition for order execution and transaction cost minimisation, and offer new insights into the relationship between them. The obtained results confirm the applicability and relevance of data mining for the analysis and modelling of stock market order submissions.

Šiame darbe aptariant socialinių ir ekonominių struktūrų ypatumus pagrindinė analizė sutelkiama ties esminiu – savireguliacijos - principu. Pasitelkus socializmo, istoricizmo, psichologizmo, racionalizmo, biurokratinės ir verslinės tvarkos teorijas analizuojama kaip savireguliacijos mechanizmo principas veikia įvairiose visuomenės struktūrose. Aptariant bendrus šių teorijų bruožus siekiama atskleisti ir bendrus jų principus bei prigimtį. Kiekvienos teorijos mechanizmas funkcionuojantis pagal savus dėsnius tarnauja vienai ar kitai tvarkai. Vienos teorijos yra sureguliuojančios, t.y., jos būtinos ten, kur netinka savireguliacinė tvarka, o kitos yra spontaniškos prigimties ir joms negalioja su-tvarkymo mechanizmas. Centralizuoto valdymo siekis yra sukontroliuoti bendros tvarkos principų laikymąsi. Egzistuoja prieštara ir perskyra tarp centralizuoto valdymo ir saviregualicijos – savivaldos principų. Tie būdai, kurie tinka susireguliuojančiai tvarkai palaikyti, negali būti pritaikomi ir reguliuojančioje tvarkoje, todėl viena tvarka negali būti pakeista kitu tų pačių reikalų tvarkymo būdu. Savireguliacinis mechanizmas yra būdingas toms tvarkoms, kurioms negalioja su-reguliuojančios tvarkos būdas, tačiau tuo pačiu šios tvarkos visada yra koegzistuojančiame santykyje. Kai viena tvarka įgyja kitos tvarkos bruožų ji praranda savo esmines funkcijas. Iracionalumo principu paremtos teorijos priskiria vienai tvarkai kitos tvarkos bruožus. Šiame darbe aptariama socialinių ir ekonominių... [toliau žr. visą tekstą] / In this paper, in which the structure of the social and the economic aspects are being discussed, the main analysis is based on the fundamental principal of self-regulation. Using theories of socialism, historicism, psichologism, rationalism, bureaucratic and business order the analysis of how the mechanism of self-regulation behaves in different social is being proceeded. In order to find out about the nature and the features of these theories, several discussions are being processed. Each single feature of a theory is dependant on some orders. Some theories are controlling which means they are required when self-regulation order is not appropriate. The others have spontaneous nature and no rules of the controlling mechanism can be applied to them. The purpose of centralist order is to control the following of the rules of the main order. There are the face off and distinction between the principles of centralist order and self-regulation (self-control). The methods that can be applied to the self-controlling order can never be applied to the controlling order and because of that, one order can not be replaced to another. Self-regulation mechanism is inherent to the orders to which the controlling order can not be applied. But at the same time, these two orders are always in a co-existent relationship. When one of them takes over some features from another, it loses its’ key functions. Theories based on the principal of irrationalism attribute the features of one order... [to full text]

The object of master's thesis is to introduce to the financial derivatives and principals of trading on financial markets. We describe the methods used to search for arbitrage opportunities through statistical indicators and statistical characteristics, which are an integral part of the automatized trading systems. Analysis of the financial market is based on data derived from the interbank market.

L'opération de négociation sur un marché réglementé des valeurs mobilières correspond à une vente originale d'un bien meuble qui présente beaucoup de particularité puisqu'elle fait appel à plusieurs mécanismes. Cette opération est basée sur l'intervention des intermédiaires spécialisés, et elle se déclenche par un ordre de bourse. La législation financière cherche toujours à garantir la sécurité et la transparence de cette opération. L'étude de l'opération dans un cadre comparée entre le droit français et le droit tunisien a montré qu'il est temps que le législateur tunisien intervient pour intégrer des notions et des normes essentielles dans la matières qui permettent à la place financière tunisienne de s'aligner sur les règles internationales. / The operation of negotiation on a market regulated by securities corresponds to an original sale of the good(property) furnish(fill) which presents a lot of peculiarity because it calls on to several mechanisms. This operation is based on the intervention of the specialized intermediaries, and it starts by a stock market order. The financial legislation always tries to guarantee the safety(security) and the transparency of this operation. The study of the operation in a frame(executive) compared between the French law and the right(straight) Tunisian showed that it's time that the Tunisian legislator intervenes to integrate(join) notions and essential standards in materials(subjects) which allow the Tunisian financial center to align themselves with the international rules(rulers).