Thesis (B.A.)--Haverford College, Dept. of Economics, 2009. / Includes bibliographical references.

El presente artículo delimita el ámbito de protección del delito de insider trading -abuso de información privilegiada en el Mercado de Valores-, partiendo de un recuento histórico que nos permite conocer cómo y por qué surge la necesidad de tipificarlo como delito. En este sentido se reseñan los graves perjuicios económicos que pueden sufrir los inversores y, con ellos, el propio mercado de valores, lo que puede alterar las estructuras del modelo de la Economía de Libre Mercado consagrado en el artículo 58 de la Constitución Política del Perú. De esta manera el autor analiza el artículo 251 -A de nuestro Código Penal, que regula esta figura delictiva, enfocándose en el bien jurídico protegido por éste. Para esto hace un recuento de las diferentes teorías propuestas, para concluir con su propia postura.

Title from title page of source document. Dissertation no. 3377. Includes bibliographical references (p. 155-165).

How one can get a big fish in the stock market is an intriguing question with no answer. With the assumption of market inefficiency, we design technical trading strategies based on pairs trading which was well known by Wall Street to capture the big fish. A pair is composed of a security over anther, and we attempt to make the pair market neutral. We test the profitability of several trading rules with daily data during the period from Jan.1, 2002 to Mar.31, 2005. We also test the one price law of ADRs, during the sample period from 1996 Jul. to 2005 Apr. We find that the performance of the Moving Average Model is better. In particular, in the Moving Average Model the top 10% trading pairs make an average lucrative 2.07 % return in K5-10 model, 2.95 % return in K5-15 model, and 3.55 % in K5-20 model.

In this thesis, a framework for the specification and execution of composite trading activities is presented. We begin by introducing the basic concepts and characteristics of elementary and composite trading activities. Based on these characteristics, we identify the issues associated with composite trading activities and argue the requirements of a frame- work for the specification and execution of those trading activities. In the second chapter, the most relevant work on negotiation protocols, software specification approaches, and recent work on trading activity specification is reviewed. In the third chapter, we analyse the characteristics of negotiation protocols and the information required to adequately represent composite trading activities. In the next two chapters, we introduce two alternative approaches (myopic and forward- looking) for specifying composite trading activities by means of constraints, such as the number of required successful negotiations, the limit price for the items to be traded, and the temporal constraints imposed by all trading parties. A special interface is also defined in each framework to homogenise trading activities with differing negotiation protocols. In myopic trading, composite activities are synchronised according to the information available on the constituent negotiation processes at any point in time. Myopic trading supports iterative negotiation in which trading activities can be renegotiated with new constraints. Myopic trading is suitable for situations in which finer control over the negotiation process is preferred by the trader, and information on previous negotiations as well as future negotiation opportunities are unavailable. Forward-looking trading is based on the generation of negotiation plans detailing the exact time and duration for which trading activities are going to be executed. These plans are generated based on the histories of previous negotiations and future negotiation opportunities. In forward-looking trading, a planning and execution model is designed to maximise the expected utility of the trader. Forward-looking trading is suitable for situations in which a well-planned negotiation process is possible. In the following chapter, two case studies are given to illustrate the applicability of the proposed framework. In the final chapter, we review our framework based on the set of requirements defined for the specification and execution of composite trading activities. In conclusion, we believe that composite trading activities can be effectively specified and executed based on the homogenisation of the various negotiation protocols involved and systematic planning of how these activities are going to be executed.

The research at hand aims to define effectiveness of algorithmic trading, comparing with different benchmarks represented by several types of indexes. How big returns can be gotten by algorithmic trading, taking into account the costs of informational and trading infrastructure needed for robot trading implementation? To get the result, it’s necessary to compare two opposite trading strategies: 1) Algorithmic trading (implemented by high-frequency trading robot (based on statistic arbitrage strategy) and trend-following trading robot (based on the indicator Exponential Moving Average with the Variable Factor of Smoothing)) 2) Index investing strategy (classical index strategies “buy and hold”, implemented by four different types of indexes: Capitalization weight index, Fundamental indexing, Equal-weighted indexing, Risk-based indexation/minimal variance). According to the results, it was found that at the current phase of markets’ development, it is theoretically possible for algorithmic trading (and especially high-frequency strategies) to exceed the returns of index strategy, but we should note two important factors: 1) Taking into account all of the costs of organization of high-frequency trading (brokerage and stock exchanges commissions, trade-related infrastructure maintenance, etc.), the difference in returns (with superiority of high-frequency strategy) will be much less . 2) Given the fact that “markets’ efficiency” is growing every year (see more about it further in thesis), and the returns of high-frequency strategies tends to decrease with time (see more about it further in thesis), it is quite logical to assume that it will be necessary to invest more and more in trading infrastructure to “fix” the returns of high-frequency trading strategies on a higher level, than the results of index investing strategies.

Thesis (doctoral)--Universität Bremen, 2009. / Includes bibliographic references (p. [301]-339).

Thesis (Ph. D.)--Ohio State University, 2009. / Title from first page of PDF file. Includes vita. Includes bibliographical references (p. 270-286).

Directors of listed companies earn abnormal returns by trading in a contrarian manner. This research report investigated whether outside investors can earn abnormal returns by following director contrarian trades. The returns to directors and outsiders, following a director trade were analysed using the event study methodology. The event study methodology utilised director trading information from SENS announcements on the JSE Securities Exchange, daily share prices, betas and price to book values for the selected companies, and daily all share index prices. The focus of the analysis was the post trade Cumulative Average Abnormal Returns (CAAR), in the 20 days following the director trade. The overall CAAR for all transactions was a statistically significant but economically insignificant 0.43%. When viewed from a transaction type perspective, the CAAR was 0.72% and 0.44% for purchases and sales transactions respectively. This study shows that while directors of listed South African companies do earn abnormal returns, they do not do so while consistently trading in a contrarian manner. In fact, transactions not deemed contrarian generated higher abnormal returns for directors. In addition, the study shows that outside investors do not earn abnormal returns by mimicking directors, and actually, their following of director trades generates the abnormal returns for directors. Copyright / Dissertation (MBA)--University of Pretoria, 2010. / Gordon Institute of Business Science (GIBS) / unrestricted

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