This thesis focuses on automated trading systems for foreign exchange markets. It describes theoretical background of financial markets, technical analysis approaches and theoretical knowledge about automated trading systems. The output of the thesis is set of two automated trading systems built for trading the most liquid currency pairs. The process of developing automated trading system as well as its practical start up in Spartacus Company Ltd. is documented in the form of project documentation. The project documentation captures choosing necessary hardware components, their installation and oricess of ensuring smooth operation, as well as the selection and installation of the necessary software resources. In the Adaptrade Builder enviroment there has been shown the process of developing strategies and consequently theirs characteristics, performance, as well as a graph showing the evolution of the account at the time. Selected portfolio strategy has been tested in the MetaTrader platform and in the end of the thesis is offered assessing achievements and draw an overall conclusion.

The thesis deals with the use of genetic algorithms in the process of creating automated trading systems. The emphasis is on testing the robustness of the developed strategies, their practical applicability in the financial markets and minimizing risk through diversification. The output of this work is a portfolio consisting of three strategies that achieved 31.3% return on capital during the fourth quarter of 2014.

Thesis (MBA (Business Management))--University of Stellenbosch, 2009. / ENGLISH ABSTRACT: The purpose of this report is to investigate whether the returns of five different trading systems applied is able to outperform the return of a Buy & Hold (B&H) strategy when applied to the Johannesburg Stock Exchange/Financial Times Stock Exchange (JSE/FTSE) Top 40 Index future contract (ALSI). The study starts with an overview of theoretical and empirical studies regarding technical trading systems as well as the application of these technical trading systems in various strategy formats. Five common trading systems were selected for the test. They include the Volatility Channel, the Bollinger Channel Breakout, the Donchian Channel, the Dual Moving Average and the Triple Moving Average systems. The trading systems were applied in three different types of strategies. In the first test the systems were employed using randomly selected parameters to generate trading signals. In the second test the systems were optimised to select the parameters that would yield the most profitable returns over the test period. Finally in the third test a stop loss was added to the systems to investigate whether it would improve returns. In virtually all tests the systems outperformed the B&H approach. This was primarily due to the collapse of world financial markets in 2008 that caused the systems, which are all trend following by nature, to generate large returns. If it had not been for this event, the trend-following systems would all have underperformed the total return generated by the B&H strategy over the duration of the test period. The tests revealed that the selection of the parameters that generate the trade signals for the trading systems can drastically influence the profitability of a trading system. Furthermore the implementation of stop-loss strategies does not necessarily improve the return or drawdown that a system displays, as several of the systems were negatively influenced by the implementation of the stop-loss strategy. / AFRIKAANSE OPSOMMING: Die doel van hierdie verslag is om te ondersoek of die opbrengs van vyf verskillende verhandelingstelsels die opbrengs van die Koop-en-Hou-strategie kan klop soos toegepas op die JSE/FTSE Top 40 Indeks termynkontrak (ALSI). Die studie begin met ’n oorsig oor teoretiese en empiriese studies oor tegniese verhandelingstelsels, asook die toepassing van hierdie tegniese stelsels in verskeie strategiese formate. Vyf algemene verhandelingstelsels is gekies vir die ondersoek, naamlik die Volatiliteitskanaal (Volatility Channel), die Bollinger Kanaal Uitbreek (Bollinger Channel Breakout), die Donchian Kanaal (Donchian Channel), die Tweeledige Bewegende Gemiddelde (Dual Moving Average) en die Drieledige Bewegende Gemiddelde (Triple Moving Average). Die stelsels is op drie verskillende tipes stategieë toegepas. In die eerste toets was die stelsels geïmplementeer deur lukraak gekose parameters te gebruik om verhandelingseine voort te bring. In die tweede toets was die stelsels geoptimaliseer deur die parameters te kies wat die mees winsgewende opbrengs oor die toetsperiode sou voortbring. In die derde toets was ’n staakverlies (stop loss) geïmplementeer om te ondersoek of dit die opbrengs sou verbeter. Feitlik al die toetse het getoon dat die verhandelingstelsels die Koop-en-Hou-benadering geklop het. Aangesien al die stelsels die algemene tendens in die mark volg, het hulle hoë opbrengste getoon hoofsaaklik as gevolg van die beermark wat die wêreld se finansiële markte in 2008 gekenmerk het. As hierdie gebeurtenis nie plaasgevind het nie, sou hierdie stelsels swakker gevaar het as die Koop-en-Hou-strategie gedurende die tydperk van die toetsperiode. Die toetse het aangedui dat die keuse van die parameters wat verhandelingseine vir die stelsels gegenereer het, die winsgewendheid van ’n verhandelingstelsel drasties kan beïnvloed. Die implementering van ’n staakverlies- (stop-loss) strategie verbeter nie noodwendig die opbrengs van ’n stelsel nie, aangesien verskeie stelsels negatief beïnvloed was deur die staakverlies-strategie.

The aim of this thesis is to present and analyse the role of the environmental groups and the trade unions on the issue of the environmental protection through the economic methodology. The specific groups have strong connection with the environmental issue since the beginning of the environmental movement. However, the two groups stand on different positions in the market and in the society, therefore they have different objectives and different tools for the achievement of their targets. Following the groups' different characteristics, I analyse their targets and how these could influence the firms' technological choice, the level of the production, the profits and finally the level of the emissions released by the firms' production. In the second chapter, a deeper analysis on the behavior and the strategy of the environmental groups is provided in order to shed more light on their objectives from the beginning of the environmental movement. Following a review of the literature an analytical framework for studying targets or motivations of the environmental groups is analysed. Three interrelated factors which affect the strategy and the decisions of the group are identified; the group s size, their budget and the weight of impure altruism in their individual and collective objectives. A positive relation exists between the group s size and the financial contributions, and the interaction of the personal expectations with the collective objectives encourages and benefits the group s actions. In the third chapter following the experience from the real world, the participation of the environmental groups in the emissions trading system (ETS) is analysed. Concretely, a competition in an ETS as a game between two firms and environmental group is modelled. According to the results, there is a U-shape relationship between how polluting the chosen technology is and the degree of the environmentalists impure altruism. Firms choose a more polluting technology in the presence of the environmentalists than in their absence if they are characterised by a high enough degree of impure altruism. Finally, in the fourth chapter the influence of the trade unions on the firms' environmental technological choice is analysed. However, in addition to the literature and according to the real world experience the unions care for the environmental protection. Particularly, the decentralised structure is compared with the centralised structure under a Cournot duopoly. I conclude that the decentralised structure could always provide higher incentives to the firms for the adoption of a better (less polluting) technology. Furthermore, there is an inverse U-shape relation between the firm s emissions and the size of the market. Finally, the emissions could be less under the centralised case compared to the decentralised for relatively low market size.

In Finance, the use of Automated Trading Systems (ATS) on markets is growing every year and the trades generated by an algorithm now account for most of orders that arrive at stock exchanges (Kissell, 2020). Historically, these systems were based on advanced statistical methods and signal processing designed to extract trading signals from financial data. The recent success of Machine Learning has attracted the interest of the financial community. Reinforcement Learning is a subcategory of machine learning and has been broadly applied by investors and researchers in building trading systems (Kissell, 2020). In this thesis, we address the issue that deep reinforcement learning may be susceptible to sampling errors and over-fitting and propose a robust deep reinforcement learning method that integrates techniques from reinforcement learning and robust optimization. We back-test and compare the performance of the developed algorithm, Robust DDPG, with UBAH (Uniform Buy and Hold) benchmark and other RL algorithms and show that the robust algorithm of this research can reduce the downside risk of an investment strategy significantly and can ensure a safer path for the investor’s portfolio value.

This diploma thesis deals with the technical analysis with the emphasis on creating, testing and using of trading systems. Its objective is to find out whether it is possible for a trader to design and trade his own profitable trading system with widely accessible tools and methods. First part of the thesis concentrates among other things on the explanation of stock valuation principles, description of tested shares and time period. The second and third chapters fully describe the process of trading system development and the analysis of results of both trading systems. Last chapter is devoted to the interconnection of European stock markets, which is explored by the means of correlation analysis among different stock indexes. The correlation coefficients show a strong link of the markets and the rising level of integration of European markets.

This dissertation consists of five separate and self-contained essays. They have been written as distinct papers. Although there is a fair amount of overlap and cross-reference in analysis and discussion, the intention is that potential readers should be able to read them separately. Essay 1: An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange.This essay describes and analyzes the trading structure at the Stockholm Stock Exchange. In the empirical part, we report stylized facts based on intraday transaction and order book data, focusing on the intraday behavior of returns, trading activity, order placement and bid/ask spread, on the importance of the tick size and finally on some characteristics of the limit order book. Our main empirical conclusions are that a) the intraday U-shape in trading activity found in earlier U.S. studies on the whole also pertains to the Stockholm Stock Exchange, b) the limit order placement also follows an intraday U-shape, c) there is no distinct intraday pattern in returns, d) the volatility and bid/ask spread seems to be higher at the beginning of the trading day, e) the tick size is economically important, and f) the price impact of an order is a nonlinear function of its quantity, implying price inelastic demand and supply. Essay 2: An Empirical Analysis of the Trading Structure at the Stockholm Options and Forwards Exchange, OM.We first describe and analyze the trading structure at the Stockholm Options and Forward Exchange, OM Stockholm. It is characterized by some interesting market microstructure features, such as a high degree of transparency in a fully computerized trading system and a possibility to submit combination orders. We also present empirically results from tests on the intra- and interday trading volume of the OMX index derivatives, both in terms of number of contracts traded and in terms of number of transactions. There is evidence of a high degree of intraday variation in trading volume and some interday variation. The extension of trading hours of the underlying stocks, during the studied period should, according to modern trade concentration models, affect the distribution of trading across the day. Although no formal test of the models is possible with this data set, we are able to shed some supportive additional light on all of these models. Essay 3: Tick Size, Market Liquidity and Trading Volume: Evidence from the Stockholm Stock Exchange. (This essay was co-authored with Patrik Sandås.)The regulated tick size at a securities exchange puts a lower bound on the bid/ask spread. We use cross-sectional and cross-daily data from the Stockholm Stock Exchange to assess if this lower bound is economically important and if it has any direct effect on market depth and traded volume. We find a) strong support that the tick size is positively correlated to market depth and c) some support that it is negatively related to traded volume. We identify different groups of agents to whom a lower tick size would be beneficial and to whom it would be detrimental. Essay 4: An Analysis of the Lead-Lag Relationship between the OMX Index Forwards and the OMX Cash Index.This essay investigates the intraday lead-lag structure in returns between on the one hand the OMX cash index and on the other hand the OMX index forwards and the OMX synthetic index forwards in Sweden. The data set includes 22 months of data, from December 1991, to September 1993. It is divided into three sub-periods. The main conclusion is that there is a high degree of bidirectional interdependence, with both series Granger causing each other. Using a Sims-test, we find that the forwards as well as synthetic forwards lead the cash index with between fifteen and thirty minutes, while the cash index leads the forwards with about ten to fifteen minutes.. This implies a longer lead from the cash index to the forwards than in previous studies. The large interdependence could possibly be due to higher transaction costs, lower liquidity in the forward market and the specific trading environments used for Swedish securities. Essay 5: Order Flow Dynamics: Evidence from the Helsinki Stock Exchange. (This essay was co-authored with Kaj Hedvall.)This essay investigates the dynamics of the order flow in a limit order book. In contrast to previous studies, our data set from the Helsinki Stock Exchange encompasses the entire order book structure, including the dealer identities. This enables us to focus on the order behavior of individual dealers. We classify the events in the order book and study the structure of subsequent events using contingency tables. In specific, the structure of subsequent events initiated by the same dealer is compared to the overall event structure. We find that order splitting is more frequent than order imitation. Furthermore, if the spread increases as a result of a trade, other dealers quickly restore the spread, by submitting new limit orders. One conclusion is therefore that there exists a body of potential limit orders outside the formal limit order book and that there is a high degree of resiliency in our limit order book market. As a logical consequence, a large dealer strategically splits his order, in order for the market to supply additional liquidity. One interpretation of our results is that a limit order book market can accommodate larger orders than is first apparent by the outstanding limit orders. Another interpretation is that a limit order book structure gives room for informed traders to successively trade on their information. A third interpretation is that prices only slowly incorporate new information. / Diss. Stockholm : Handelshögskolan, 1994

Purpose: Our main purpose is to explore, describe and analyze the organizational conduct when implementing automated trading systems (ATS) in companies, investigate the organizational challenges arising from this, and the effects these have on a successful diffusion. As the extent of implementing ATS in the Swedish financial industry has not been explored to any greater extent, it is therefore also imperative to explore this; which will be seen as a secondary purpose to this article. Background: The study is based on innovation and diffusion theories, as well as those of power structures and organization. Further, an explanation of ATS and its dynamics is provided and discussed to facilitate a definition of the term. Method: The research has been carried out as an exploratory, descriptive and analytical qualitative study. We have conducted case studies of 7 companies that are implementing, or evaluating the implementation, of ATS. The data was collected through interviews. Conclusion: The majority of the case companies are in the clarifying and routinizing stages of the innovation process. What is found unique with ATS is that it can be implemented partly. The dimensions found central to a smooth diffusion in the companies are the required level of competence-sharing and complexity of implementation.

<p><strong><p><strong>Purpose: </strong></p><p><em>Our main purpose is to explore, describe and analyze the organizational conduct when implementing automated trading systems (ATS) in companies, investigate the organizational challenges arising from this, and the effects these have on a successful diffusion</em>. As the extent of implementing ATS in the Swedish financial industry has not been explored to any greater extent, it is therefore also imperative to explore this; which will be seen as a secondary purpose to this article.<strong></strong></p><p><strong>Background: </strong></p><p>The study is based on innovation and diffusion theories, as well as those of power structures and organization. Further, an explanation of ATS and its dynamics is provided and discussed to facilitate a definition of the term.</p><p><strong>Method: </strong></p><p>The research has been carried out as an exploratory, descriptive and analytical qualitative study.<strong> </strong>We have conducted case studies of 7 companies that are implementing, or evaluating the implementation, of ATS. The data was collected through interviews.</p><p><strong>Conclusion: </strong></p><p>The majority of the case companies are in the clarifying and routinizing stages of the innovation process. What is found unique with ATS is that it can be implemented partly. The dimensions found central to a smooth diffusion in the companies are the <em>required level of competence-sharing</em> and <em>complexity of implementation.</em></p></strong></p>

The dissertation thesis deals with the problem efficiency of the spot currency market. The main aim of this thesis is to verify the Efficient-market hypothesis on the majo foreign exchange pairs, and especially in the short term. The author focuses on the effective functioning of foreign exchange markets. The behaiour of the five main spot foreign exchange pairs - EUR/USD, GBP/USD, USD/CHF, USD/JPY and USD/CAD was analyzed in the thesis. Due to the increasing rise of intraday trades and growing popularity of margin accounts among retail investors, spot rates have been investigated primarily through a high-frequency data, that were collected for a period equal to or shorter than one day. The hypothesis of the effective exchange rate behaviour was verified by both using statistical methods, such as through automated trading systems, which were designed to assess the economic importance of the theory and to exclude or confirm the possibility of achieving above-average profits of retail investors on the foreign exchange markets.