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Este trabajo se plantea la cuestión que millones de inversores se han planteado en algún momento: ¿cuál es la mejor opción para sus ahorros, fondos de inversión, inversión aleatoria o estrategias de análisis técnico? Para este propósito se describen en primer lugar las normas que regulan a las instituciones de inversión colectiva (IIC) en España, distinguiendo entre los diferentes tipos de fondos en cuanto a su forma legal. A continuación se repasan las teorías sobre eficiencia en los mercados financieros. Estas teorías se enlazan con los estilos de gestión; gestión pasiva para aquellos ortodoxos que defienden la eficiencia fuerte y gestión activa para los gestores que no toman la eficiencia como un dogma. Estos últimos creen en las anomalías de mercado y recurren a estrategias basadas en fundamentos contables (estimación de beneficios, ventas, etc.). Esta primera parte concluye con una evaluación del rendimiento de los fondos españoles según su estilo de inversión. Puesto que esta no es del todo favorable para las gestoras se intentan aportar motivos por los cuales los fondos siguen disfrutando de amplia aceptación. La segunda parte del trabajo describe la metodología empleada para estudiar el comportamiento de una cartera de inversión gestionada mediante estrategias de análisis técnico. Con este fin ha sido necesario desarrollar un software capaz de realizar la gestión de carteras y que se alimenta de cotizaciones históricas desde 1/2003 hasta 1/2012. Los datos se separan en dos estudios paralelos, uno para Europa y el otro para EE.UU con el objetivo de analizar diferencias y semejanzas. El programa permite el control completo sobre la cartera, gestión de liquidez, stop-loss, etc.; y nos abastece al mismo tiempo de una gran cantidad de información estadística. La particularidad del software es la capacidad de poder variar los parámetros de las estrategias mediante barrido, obteniendo así no solamente una única simulación sino una población de simulaciones referidas a una estrategia. En la tercera parte se recurre a este conjunto de simulaciones a las que denominaremos estudios y están compuestas por varios millones de operaciones de compra y venta. Estos estudios se aproximan a funciones normales que describen la esperanza de rentabilidades que tendría un inversor que decidiera participar en el mercado siguiendo alguna de las estrategias descritas. Para poder comparar el comportamiento de las estrategias técnicas se utilizan diferentes métodos aleatorios que pretenden simular una operativa al azar. Por último se confrontan los tres métodos de inversión: fondos, análisis técnico y aleatorio; comparados con los índices de referencia correspondientes. / Plá María, M. (2014). Evaluación del comportamiento de carteras con gestión automatizada comparada con los rendimientos de carteras aleatorias y fondos de inversión [Tesis doctoral]. Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/38987

金融市場是個變化莫測的環境，看似隨機，在隨機中卻隱藏著某些特性與關係。不論是自然現象中的氣象預測或是金融領域中對下一時刻價格的預測, 都有相似的複雜性。 時間序列的預測一直都是許多領域中重要的項目之一, 金融時間序列的預測也不例外。在本論文中我們針對金融時間序列的非線性與非穩態關係引入類神經網路(ANNs) 與集合經驗模態分解法(EEMD), 藉由ANNs處理非線性問題的能力與EEMD處理時間序列信號的優點，並進一步與傳統上使用於金融時間序列分析的自回歸滑動平均模型(ARMA)進行複合式的模型建構，引入燭型圖概念嘗試進行高頻下的台指期貨TAIEX交易。在不計交易成本的績效測試下本研究的高頻交易模型有突出的績效，證明以ANNs、EEMD方法與ARMA組成的混合式模型在高頻時間尺度交易下有相當的發展潛力，具有進一步發展的價值。在處理高頻時間尺度下所產生的大型數據方面，引入平行運算架構SPMD(single program, multiple data)以增進其處理大型資料下的運算效率。本研究亦透過分析高頻時間尺度的本質模態函數(IMFs)探討在高頻尺度下影響台指期貨價格的因素。 / Financial market is complex, unstable and non-linear system, it looks like have some principle but the principle usually have exception. The forecasting of time series always an issue in several field include finance. In this thesis we propose several version of hybrid models, they combine Ensemble Empirical Mode Decomposition (EEMD), Back-Propagation Neural Networks(BPNN) and ARMA model, try to improve the forecast performance of financial time series forecast. We also found the physical means or impact factors of IMFs under high-frequency time-scale. For processing the massive data generated by high-frequency time-scale, we pull in the concept of big data processing, adopt parallel computing method ”single program, multiple data (SPMD)” to construct the model improve the computing performance. As the result of backtesting, we prove the enhanced hybrid models we proposed outperform the standard EEMD-BPNN model and obtain a good performance. It shows adopt ANN, EEMD and ARMA in the hybrid model configure for high-frequency trading modeling is effective and it have the potential of development.

本研究有系統地收集了2003年8月12日到2005年9月30日止共495個交易日的台指期貨、選擇權市場裡P/C量、P/C倉、隱含波動率(AIV)、不同天數的歷史波動率等收盤資料，進行這些因素與行情走勢間的關係，以及因素彼此的互動性。結果證實分析台指選擇權指標是需要區分金融重大衝擊前後期間，以及區分漲勢、跌勢、盤整的各期間，各期間的選擇權指標均會有不同意涵。 本論文證實使用結構轉換的Chow-ARMA(2,1)模型可能比較符合模擬指數 實況，且GARCH(1,1) 模型也很適合描述台期指貨波動度預測力。在選擇權指標方面：P/C量與AIV與台指期貨呈現負相關，P/C倉與台指期貨正相關。其中以P/C倉對指數漲跌的影響程度最大、P/C量的影響程度次之、AIV影響程度最小。若把隱含波動率區分成買權與賣權之各個波動率更有效地預測行情走勢，在大跌期間的買賣權隱含波動率更能表現出優越的預測能力，其中前兩期的賣權隱含波動率(PIV)更是效率性指標， 實證結果使用20天的歷史波動率比較能貼近選擇權市場的變化，跟過去教 科書慣用的90天不同。若比較歷史波動率與隱含波動率間的關係，結論是當「大跌期」歷史波動率大於買權隱含波動率(CIV)時，買權是會被低估的，其他的各種假設條件均不成立。理由有二：一是市場效率性決定了是否可使用隱含波動率與歷史波動率之間的高低關係。二是「大跌時期」相對於「大漲時期」的市場資訊被反應的更敏銳，而在「大跌時期」的賣權價格反應比買權價格反應更快速敏銳。 本研究推論的Chow-ARMA(2,1) 台指期貨模型、GARCH(1,1) 波動率模型、P/C量-P/C倉-AIV的多變數模型、FMA20/XIV模型等等在研判指數變化上具有參考價值，進一步均可以做為選擇權操作策略參考依據之一。

Submitted by Paulo Gustavo Grahl (pgrahl@fgvmail.br) on 2013-10-18T05:32:44Z No. of bitstreams: 1 DoutoradoPG_final.pdf: 23501670 bytes, checksum: 55b15051b9acc69ac74e639efe776fae (MD5) / Approved for entry into archive by ÁUREA CORRÊA DA FONSECA CORRÊA DA FONSECA (aurea.fonseca@fgv.br) on 2013-10-28T18:22:53Z (GMT) No. of bitstreams: 1 DoutoradoPG_final.pdf: 23501670 bytes, checksum: 55b15051b9acc69ac74e639efe776fae (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2013-10-29T18:24:15Z (GMT) No. of bitstreams: 1 DoutoradoPG_final.pdf: 23501670 bytes, checksum: 55b15051b9acc69ac74e639efe776fae (MD5) / Made available in DSpace on 2013-10-29T18:25:35Z (GMT). No. of bitstreams: 1 DoutoradoPG_final.pdf: 23501670 bytes, checksum: 55b15051b9acc69ac74e639efe776fae (MD5) Previous issue date: 2012-12-22 / Esta dissertação concentra-se nos processos estocásticos espaciais definidos em um reticulado, os chamados modelos do tipo Cliff & Ord. Minha contribuição nesta tese consiste em utilizar aproximações de Edgeworth e saddlepoint para investigar as propriedades em amostras finitas do teste para detectar a presença de dependência espacial em modelos SAR (autoregressivo espacial), e propor uma nova classe de modelos econométricos espaciais na qual os parâmetros que afetam a estrutura da média são distintos dos parâmetros presentes na estrutura da variância do processo. Isto permite uma interpretação mais clara dos parâmetros do modelo, além de generalizar uma proposta de taxonomia feita por Anselin (2003). Eu proponho um estimador para os parâmetros do modelo e derivo a distribuição assintótica do estimador. O modelo sugerido na dissertação fornece uma interpretação interessante ao modelo SARAR, bastante comum na literatura. A investigação das propriedades em amostras finitas dos testes expande com relação a literatura permitindo que a matriz de vizinhança do processo espacial seja uma função não-linear do parâmetro de dependência espacial. A utilização de aproximações ao invés de simulações (mais comum na literatura), permite uma maneira fácil de comparar as propriedades dos testes com diferentes matrizes de vizinhança e corrigir o tamanho ao comparar a potência dos testes. Eu obtenho teste invariante ótimo que é também localmente uniformemente mais potente (LUMPI). Construo o envelope de potência para o teste LUMPI e mostro que ele é virtualmente UMP, pois a potência do teste está muito próxima ao envelope (considerando as estruturas espaciais definidas na dissertação). Eu sugiro um procedimento prático para construir um teste que tem boa potência em uma gama de situações onde talvez o teste LUMPI não tenha boas propriedades. Eu concluo que a potência do teste aumenta com o tamanho da amostra e com o parâmetro de dependência espacial (o que está de acordo com a literatura). Entretanto, disputo a visão consensual que a potência do teste diminui a medida que a matriz de vizinhança fica mais densa. Isto reflete um erro de medida comum na literatura, pois a distância estatística entre a hipótese nula e a alternativa varia muito com a estrutura da matriz. Fazendo a correção, concluo que a potência do teste aumenta com a distância da alternativa à nula, como esperado. / This dissertation focus on spatial stochastic process on a lattice (Cliff & Ord--type of models). My contribution consists of using Edgeworth and saddlepoint series to investigate small sample size and power properties of tests for detecting spatial dependence in spatial autoregressive (SAR) stochastic processes, and proposing a new class of spatial econometric models where the spatial dependence parameters that enter the mean structure are different from the ones in the covariance structure. This allows a clearer interpretation of models' parameters and generalizes the set of local and global models suggested by Anselin (2003) as an alternative to the traditional Cliff & Ord models. I propose an estimation procedure for the model's parameters and derive the asymptotic distribution of the parameters' estimators. The suggested model provides some insights on the structure of the commonly used mixed regressive, spatial autoregressive model with spatial autoregressive disturbances (SARAR). The study of the small sample properties of tests to detect spatial dependence expands on the existing literature by allowing the neighborhood structure to be a nonlinear function of the spatial dependence parameter. The use of series approximations instead of the often used Monte Carlo simulation allows a simple way to compare test properties across different neighborhood structures and to correct for size when comparing power. I obtain the power envelope for testing the presence of spatial dependence in the SAR process using the optimal invariant test statistic, which is also locally uniformly most powerful invariant (LUMPI). I have found that the LUMPI test is virtually UMP since its power is very close to the power envelope. I suggest a practical procedure to build a test that, while not UMP, retain good power properties in a wider range for the spatial parameter when compared to the LUMPI test. I find that power increases with sample size and with the spatial dependence parameter -- which agrees with the literature. However, I call into question the consensus view that power decreases as the spatial weight matrix becomes more densely connected. This finding in the literature reflects an error of measure because the hypothesis being compared are at very different statistical distance from the null. After adjusting for this, the power is larger for alternative hypothesis further away from the null -- as one would expect.

Master´s thesis goal that the author hopes to achieve is a design of an application aiding stock technical analysis based on identified needs. Based on analysis regarding modules for technical analysis of current trading platforms, I found out there is a certain space for improvement. Implemented trading rules and technical indicators of the application itself are further examined in terms of prognostic success rate on historical data. Selected chapters of technical analysis are fundamental base for this master´s thesis.

The inability to effectively hedge against unfavourable exchange rate movements, using the current forward exchange rate as the only guideline, is a key inhibiting factor of international trade. Market participants use the current forward exchange rate quoted in the market to make decisions regarding future exchange rate changes. However, the current forward exchange rate is not solely determined by the interaction of demand and supply, but is also a mechanistic estimation, which is based on the current spot exchange rate and the carry cost of the transaction. Results of various studies, including this study, demonstrated that the current forward exchange rate differs substantially from the realized future spot exchange rate. This phenomenon is known as the exchange rate puzzle. This study contributes to the dynamics of modelling exchange rate theories by developing an exchange rate model that has the ability to explain the realized future spot exchange rate and the exchange rate puzzle. The exchange rate model is based only on current (time t) economic fundamentals and includes an alternative approach of incorporating the impact of the interaction of two international financial markets into the model. This study derived a unique exchange rate model, which proves that the exchange rate puzzle is a pseudo problem. The pseudo problem is based on the generally excepted fallacy that current non–stationary, level time series data cannot be used to model exchange rate theories, because of the incorrect assumption that all the available econometric methods yield statistically insignificant results due to spurious regressions. Empirical evidence conclusively shows that using non–stationary, level time series data of current economic fundamentals can statistically significantly explain the realized future spot exchange rate and, therefore, that the exchange rate puzzle can be solved. This model will give market participants in the foreign exchange market a better indication of expected future exchange rates, which will considerably reduce the dependence on the mechanistically derived forward points. The newly derived exchange rate model will also have an influence on the demand and supply of forward exchange, resulting in forward points that are a more accurate prediction of the realized future exchange rate. / Thesis (Ph.D. (Risk management))--North-West University, Potchefstroom Campus, 2011.

The inability to effectively hedge against unfavourable exchange rate movements, using the current forward exchange rate as the only guideline, is a key inhibiting factor of international trade. Market participants use the current forward exchange rate quoted in the market to make decisions regarding future exchange rate changes. However, the current forward exchange rate is not solely determined by the interaction of demand and supply, but is also a mechanistic estimation, which is based on the current spot exchange rate and the carry cost of the transaction. Results of various studies, including this study, demonstrated that the current forward exchange rate differs substantially from the realized future spot exchange rate. This phenomenon is known as the exchange rate puzzle. This study contributes to the dynamics of modelling exchange rate theories by developing an exchange rate model that has the ability to explain the realized future spot exchange rate and the exchange rate puzzle. The exchange rate model is based only on current (time t) economic fundamentals and includes an alternative approach of incorporating the impact of the interaction of two international financial markets into the model. This study derived a unique exchange rate model, which proves that the exchange rate puzzle is a pseudo problem. The pseudo problem is based on the generally excepted fallacy that current non–stationary, level time series data cannot be used to model exchange rate theories, because of the incorrect assumption that all the available econometric methods yield statistically insignificant results due to spurious regressions. Empirical evidence conclusively shows that using non–stationary, level time series data of current economic fundamentals can statistically significantly explain the realized future spot exchange rate and, therefore, that the exchange rate puzzle can be solved. This model will give market participants in the foreign exchange market a better indication of expected future exchange rates, which will considerably reduce the dependence on the mechanistically derived forward points. The newly derived exchange rate model will also have an influence on the demand and supply of forward exchange, resulting in forward points that are a more accurate prediction of the realized future exchange rate. / Thesis (Ph.D. (Risk management))--North-West University, Potchefstroom Campus, 2011.

Ultraprecision single point diamond turning is required to produce parts with sub-nanometer surface roughness and sub-micrometer surface profiles tolerances. These parts have applications in the optics industry, where tight form accuracy is required while achieving high surface finish quality. Generally, parts can be polished to achieve the desired finish, but then the form accuracy can easily be lost in the process rendering the part unusable. Currently, most mid to low spatial frequency surface finish errors are inspected offline. This is done by physically removing the workpiece from the machining fixture and mounting the part in a laser interferometer. This action introduces errors in itself through minute differences in the support conditions of the over constrained part on a machine as compared to the mounting conditions used for part measurement. Once removed, the fixture induced stresses and the part’s internal residual stresses relax and change the shape of the generally thin parts machined in these applications. Thereby, the offline inspection provides an erroneous description of the performance of the machine. This research explores the use of a single, high resolution, capacitance sensor to quickly and qualitatively measure the low to mid spatial frequencies on the workpiece surface, while it is mounted in a fixture on a standard ultraprecision single point diamond turning machine after a standard facing operation. Following initial testing, a strong qualitative correlation exists between the surface profiling on a standard offline system and this online measuring system. Despite environmental effects and the effects of the machine on the measurement system, the capacitive system with some modifications and awareness of its measurement method is a viable option for measuring mid to low spatial frequencies on a workpiece surface mounted on an ultraprecision machine with a resolution of 1nm with an error band of ±5nm with a 20kHz bandwidth. / Thesis / Master of Applied Science (MASc)