Traditional approaches to predicting financial market dynamics tend to be linear and stationary, whereas financial time series data is increasingly nonlinear and non-stationary. Lately, advances in dynamical systems theory have enabled the extraction of complex dynamics from time series data. These developments include theory of time delay embedding and phase space reconstruction of dynamical systems from a scalar time series. In this thesis, a time delay embedding approach for predicting intraday stock or stock index movement is developed. The approach combines methods of nonlinear time series analysis with those of causality testing, theory of dynamical systems and machine learning (artificial neural networks). The approach is then applied to the Standard and Poors Index, and the results from our method are compared to traditional methods applied to the same data set.

Cette thèse porte sur la gestion des risques associés aux marchés financiers au sein des grandes organisations financières européennes. A partir d’un travail ethnographique approfondi et d’entretiens, elle vise à améliorer la compréhension de la gestion des risques de marchés financiers dans les banques et les compagnies d'assurance de la zone euro. Cette recherche montre que les gestionnaires de risque construisent leur connaissance et leur évaluation des risques avec un but premier : celui de satisfaire les exigences de d’acteurs extérieurs à l’organisation davantage que de couvrir les risques générés par les activités de celle-ci. Plusieurs acteurs ont en effet la possibilité de mettre en danger la santé de l’organisation, par exemple les régulateurs ou les actionnaires et les contreparties. Les gestionnaires de risque se préoccupent surtout de l’évaluation par le régulateur. Dans la limite de ce que leur permettent les possibilités de calcul et la comptabilité, ils essayent de répondre au mieux aux pressions de ces acteurs. Par une communication qui reflète ce qu’ils anticipent des souhaits des acteurs externes, les gestionnaires de risque essayent d’éviter des sanctions de la part de ces derniers. / Risks taken in the financial sector have been in the public eye since the financial crisis of 2008. This thesis explores the internal workings of the large organisations that take financial market risks, banks and insurance companies. It follows their risk managers, analysing their work and output. The thesis is based on an ethnography with 84 semi-structured interviews and two participant observations in risk management. EU regulation and literature on financial risk state that risk managers control risk taking of their organisations. This thesis shows that is not the case. The risk managers do not have the resources to make the control stick. They focus on another aspect, namely on keeping the organisation alive. The risk managers prevent negative consequences from happening to their organisation by handling the communications to resourceful outsiders. Regulators, shareholders and counterparties all have the power to bring down a financial organisation. The risk managers manage communications about the state of the organisation to these outsiders. With the help of their risk assessments, they want to avoid the negative effects an outsider could bring. Accounting rules and mathematical standards restrict the malleability of the risks, depending on enforcement of powerfull outsiders. The risk managers juggle the different limits to show an organisation in good health.

Original sin in economy literature is defined as the inability of countries to borrow in domestic currency from abroad (even from local markets with long maturities and fixed-rate). There are two dimensions of the problem, international and domestic. In this thesis, some of theories on determinants of international original sin phenomenon are investigated. The results suggest that absolute size of the economy is a significant determinant of the international original sin. Financial and economic development is also found to be necessary in order to redeem from the original sin problem. Existence of strong policies and institutions, monetary credibility, and flexible exchange rate regime are found as other significant factors in terms of explaining the phenomenon. Countries that faces credit market imperfections and poor contract enforcement more prone to original sin problem.

The aim of this thesis is to analyze the probable effects of integration with European stock markets on stock market in Turkey as an acceding country. The required changes in Turkey&rsquo / s legal framework and economic effects on Turkish stock market have been examined by reference to the current legal framework of the EU and the measures that can be defined as reform within the dynamic integration process of the EU. It is determined that adopting the legal framework of the EU will have numerous effects on all the parties involved in the stock market, namely / stock exchange, financial intermediaries, firms and investors, leading to a pro-competitive environment, the end result of which is likely to be an increase in the share of the stock market in the national economy and a positive growth effect for the economy as a whole.

Diss. (sammanfattning) Umeå : Univ., 2008. / Härtill 4 uppsatser.

Pastaraisiais metais yra ypač pakilęs susidomėjimas investicijomis vertybinių popierių biržoje. Žmonės vis dažniau prekiauja vertybinių popierių biržoje, vieni patys sudarydami ir valdydami savo investicinį portfelį, o kiti investicinio portfelio sudarymą patiki įvairioms finansinių maklerių įmonėms ar bankams. Tačiau šį susidomėjimą „atvėsino“ šiuo metu finansų rinkose vyraujanti situacija - vertybinių popierių kainų svyravimai yra didžiuliai ir nenuspėjami. Kadangi Lietuvoje investavimas dar yra naujovė, prastos žinios iš už Atlanto nepatyrusiam investuotojui gali sukelti didesnę paniką, nei ji iš tikrųjų turėtų būti. Ir tai kas vyksta finansų rinkose yra, ko gero, pirmas kartas, kai Lietuvos investuotojai tiesiogiai susidūrė su didesniu nei norėtųsi rinkų kritimu. Problema: Mokslinės literatūros įvairiais vertybinių popierių biržų veikimo, vertybinių popierių prekybos klausimais yra labai daug. Mokslinėse publikacijose, ypač užsienio autorių, didelis dėmesys skiriamas rinkos mikrostruktūros, prekybos vertybiniais popieriais efektyvumo klausimams, investicijų grąžos vertinimui. Tačiau reikia pastebėti, kad palyginus mažai nagrinėjama finansų rinkų pokyčiai keičiantis ekonominiams ciklams, jų poveikis investicijų rezultatams. Tuo tarpu finansų krizės bei ekonominio nuosmukio sąlygomis tai tampa viena iš aktualiausių problemų. Darbo tikslas: Išanalizuoti finansų rinkos pokyčius Lietuvoje, bei atskleisti jos tolimesnės plėtros galimybes. Pirmoje darbo dalyje trumpai... [toliau žr. visą tekstą] / Recently, interest in investments at a stock exchange has been particularly growing. More and more often people trade at a stock exchange making and managing an investment portfolio at their own discretion, whereas others trust formation of an investment portfolio to a range of financial brokerage companies or banks. This interest, however, has been cooled down by the situation prevailing in the financial markets at the moment – securities price fluctuations are enormous and unpredictable. As investment in Lithuania is still a new thing, bad news from across the Atlantic may cause a greater panic for an inexperienced investor than it really should be. Furthermore, the processes taking place in financial markets most likely represent the first time when Lithuanian investors have encountered directly a fall in markets that is greater than one could wish. Problem: Just very few scientific literature sources dealing with operation of the stock exchange and securities trade are available. Scientific publications, especially those by foreign authors, pay great attention to efficiency of the market micro structure and securities trade as well as to assessment of return on investment. It shall be noted, however, that examination of changes in financial markets under changing economic cycles as well as impact thereof on investment results is relatively low, whereas under conditions of a financial crisis and economic recession this issue becomes one of the most relevant problems. Aim... [to full text]

Magistro baigiamajame darbe nagrinėjamas AB „Šiaulių banko“ veiklos efektyvumas, LB riziką ribojanys normatyvai. Įvertinta AB „Šiaulių bankas“ finansinė padėtis tarp kitų šalies komercinių bankų, atlikta palyginamoji AB „Šiaulių banko“ ir AB „Snoro banko“ balanso, pelno (nuostolio) vertikaliosios ir horizontaliosios analizės, santykinių rodiklių analizė palyginta su Lietuvos komerciniais bankais, įvertinti išlaidų struktūros rodikliai, atlikta pajamų ir pelno priklausomybės analizė, įvertinta bankroto rizika Bonity indeksu, atlikta riziką ribojančių normatyvų analizė bei įvertinta banko netradicinė veikla. Atliktas tyrimas AB „Šiaulių banko“ patikimumas ir saugumas. Dalyvavo 164 respondentai AB „Šiaulių banko“ klientai. Remiantis anketinės apklausos rezultatais nustatyta kaip pasikeitė požiūris į AB „Šiaulių banko“ patikimumą ir saugumą po AB „Snoro banko“ bankroto. Patvitinama darbe iškelta hipotezė, kad komercinio banko veiklos priežiūra neužtikrina ir negarantuoja, kad bankas nebankrutuos, efektyviai veikiantys bankai, gali bankrutuoti. / Master's work dealt with AB Siauliai bank efficiency, LB prudential norms. Estimated Siauliai bank's financial situation among domestic commercial banks, carried out a comparative AB Siauliai Bank and AB Bank Snoras "balance sheet, profit (loss) horizontal and vertical analysis ratios compared with the analysis of Lithuanian commercial banks to assess the cost structure indicators of income and made a profit of dependence analysis evaluated the risk of bankruptcy Bonita index, made the prudential requirements for analysis and assessment of non-traditional banking activities. An analysis of AB Siauliai bank credibility and security. 164 respondents participated in the AB Siauliai bank customers. Based on the results of the questionnaire as a change in approach to the AB Siauliai bank soundness and safety of the AB Snoras bank bankruptcy. It is confirmed hypothesis that the commercial activities of the bank supervision does not guarantee or warrant that the bank will not go bankrupt, banks are operating effectively, it may go bankrupt.

This study is concerned with investigating the impact of the monetary policy on the capital markets during the period (1989-2004). Specifically, there are three major objectives of this study: (1) To examine the impact of the money supply on the government bonds and treasury bills (supplies and rates) in Jordan and compare it with Bahrain, (2) To examine the relationship between the treasury bills and the government bonds in Jordan, and (3) To examine the effect of the money supply on the stocks price index in Jordan and compare this impact with the one in Bahrain. To accomplish the objectives of this study, a quantitative approach is employed. The quantitative approach is represented here by the econometric analysis (Time Series Analysis) of documentary secondary data. The research hypotheses were set up to examine the relationship between the money supply and a number of explanatory variables (treasury bills rates and issues, government bonds rates and issues, and stock price index). These hypotheses were tested using time series analysis (VAR method). The analysis was conducted for two countries: Jordan and Bahrain. The data covered the period (1989-2004) monthly data in Jordan, and 2000:9-2004:12) in Bahrain. The tests that have been used in this research in VAR model will include: selection of the lag length, unit root test, granger causality test, variance decomposition, and impulse response function. These tests will be examined by using Eviews (release 5.0) package and RATS (Regression Analysis of Time Series (release 6.0) software. The findings in Jordan revealed that there isn't any relationship between the money supply and the treasury bills rates and government bonds rates. However, there is a positive relationship between the money supply and issuance of the treasury bills and the government bonds. These findings lead to the quantity adjustment in the absence of the price adjustment. Moreover, the results indicate that there is a significant negative relationship between the treasury bills issuance and the government bonds issuance. And the last result in Jordan concluded that there is a positive relationship between the money supply and the stock price index. The finding in Bahrain were different from the findings in Jordan because of the difference in the financial system in the two countries, as Bahrain follows an Islamic financial system whereas Jordan's finanacial system is not an Islamic one. The prohibition of the interst rate in some cases in Bahrain and that Bahrain's economy is more open economy would lead to the conclusion that there isn't any relationship between the money supply and the stock market index and the money market instruments (treasury bills) and that it follows international capital flow adjustment. Also, it is important to mention that Bahrain Monetary Agency has issued Islamic instruments (long and short-term sukuk) beside the conventional instruments.

Thesis (MSc (Mathematics))--Stellenbosch University, 2008. / In the Benchmark Approach to Finance, it has been shown that by taking the Growth Optimal Portfolio as numéraire, a candidate for a pricing derivatives formula under the real world probability can be given. This result allows us to price in an incomplete financial market model. The result comes from two different approaches. In the first approach we use the supermartingale property of portfolios in units of the benchmark portfolio which leads to the fact that an equivalent measure is not needed. In the second approach the numéraire property of the Growth Optimal Portfolio is used. The numéraire portfolio defines an equivalent martingale measure and by change of measure using the Radon-Nikodým derivative, a real world pricing formula is derived which is the same as the one given by the first approach stated above.

A realização de previsões de volatilidade é uma atividade de suma importância para empresas e agentes econômicos, entretanto utilizar-se de apenas um modelo para obtê-las pode não ser suficiente para incorporar todo o conhecimento associado ao ambiente de previsões. As técnicas de combinação de previsões podem incorporar todo o conhecimento associado ao ambiente de previsão. As técnicas de combinação têm como objetivo principal incorporar vários modelos com a finalidade de reduzir as medidas de erro de previsão. Este trabalho apresenta uma comparação da acurácia dos modelos individuais e das técnicas de combinação. Os modelos individuais incluídos nas técnicas de combinação são os modelos da família GARCH, o modelo de Alisamento Exponencial e o de Volatilidade Estocástica. Já as técnicas de combinação escolhidas foram a técnica de combinação por média aritmética, a técnica de combinação de pesos fixos proposta por Granger e Ramanathan (1984), a técnica de combinação com pesos móvel de Terui e Djik (2002). / The realization of forecasts of volatility is an activity of extreme importance for companies and economy agents, however to utilize only one model to obtain them could be insuficient to incorporate all the knowledge associated to the ambient of previsions. The technics of combination of forecasts have as its main objective to incorporate various models with the finality to reduce the measures of error of prediction. This work presents a comparision of the acuracy of the individual models and of the combination technics. The individual models included on the technics of combination are the models of the family GARCH, the model of Exponentially Weighted Moving Averages. Thus the technics of combination chosen were the technic of combination by arithmetic average, the technic of fixed weights proposed by Granger and Ramanathan (1984), the technic of combination of movable weights of Terui e Djik (2002).