This thesis develops models for accurate prediction of price changes on electronic stock exchanges by utilizing autoregressive and logistic methods. Prices on these electronic stock exchanges, also called ECNs, are solely determined by where orders have been placed into the order book, unlike traditional stock exchanges where prices are determined by an expert market maker. Identifying the significant variables and formulating the models will provide critical insight into the dynamics of prices on ECNs. Whereas previous research has relied on simulated data to test market strategies, this analysis will utilize actual ECN data. The models recognize patterns of asymmetry and movement of the shares in the order book to formulate accurate probabilities for possible future price changes. On traditional stock exchanges, price changes could only occur as quickly as human beings could enact them. On ECNs, computerized systems place orders on behalf of traders based on their preferences, resulting in price changes that reflect trader activity almost instantaneously. The quickness of this automation on ECNs forces the re-evaluation of commonly held beliefs about stock price dynamics. Previous strategies developed for trading on ECNs have relied mainly on price fluctuations to gain profits. This thesis uses the formulated models to design profitable strategies that use accurate prediction rather than price variability.

Le trading algorithmique utilisé à des fins spéculatives a pris un véritable essor depuis les années 2000, en optimisant d'abord l'exécution sur les marchés d'ordres issus de décisions humaines d'arbitrage ou d'investissement, puis en exécutant une stratégie d'investissement pré-programmée ou systématique où l'humain est cantonné au rôle de concepteur et de superviseur. Et ce, malgré les mises en garde des partisans de l'Efficient Market Hypothesis (EMH) qui indiquent que pourvu que le marché soit efficient, la spéculation est vaine.Le Human Computation (HC) est un concept singulier, il considère le cerveau humain comme le composant unitaire d'une machine plus vaste, machine qui permettrait d'adresser des problèmes d'une complexité hors de portée des calculateurs actuels. Ce concept est à la croisée des notions d'intelligence collective et des techniques de Crowdsourcing permettant de mobiliser des humains (volontaires ou non, conscients ou non, rémunérés ou non) dans la résolution d'un problème ou l'accomplissement d'une tâche complexe. Le projet Fold-it en biochimie est ainsi venu apporter la preuve indiscutable de la capacité de communautés humaines à constituer des systèmes efficaces d'intelligence collective, sous la forme d'un serious game en ligne.Le trading algorithmique pose des difficultés du même ordre que celles rencontrées par les promoteurs de Fold-it et qui les ont conduits à faire appel à la CPU humaine pour progresser de façon significative. La question sera alors de savoir où et comment utiliser le HC dans une discipline qui se prête très mal à la modélisation 3D ou à l'approche ludique afin d'en mesurer l'efficacité.La qualification et la transmission de l'information par réseaux sociaux visant à alimenter un système de trading algorithmique et fondé sur ce principe de HC constituent la première expérimentation de cette thèse. L'expérimentation consistera à analyser en temps réel le buzz Twitter à l'aide de deux méthodes différentes, une méthode asémantique qui cible les événements inattendus remontés par le réseau Twitter (comme l'éruption du volcan islandais en 2010) et une méthode sémantique plus classique qui cible des thématiques connues et anxiogènes pour les marchés financiers. On observe une amélioration significative des performances des algorithmes de trading uniquement sur les stratégies utilisant les données de la méthode asémantique.La deuxième expérimentation de HC dans la sphère du trading algorithmique consiste à confier l'optimisation de paramètres de stratégies de trading à une communauté de joueurs, dans une démarche inspirée du jeu Fold-it. Dans le jeu en ligne baptisé Krabott, chaque solution prend la forme d'un brin d'ADN, les joueurs humains sont alors sollicités dans les phases de sélection et de reproduction des individus-solutions.Krabott démontre la supériorité des utilisateurs humains sur la machine dans leurs capacités d'exploration et leurs performances moyennes quelle que soit la façon dont on compare les résultats. Ainsi, une foule de plusieurs centaines de joueurs surperforme systématiquement la machine sur la version Krabott V2 et sur l'année 2012, résultats confirmés avec d'autres joueurs sur la version Krabott V3 en 2012-2013. Fort de ce constat, il devient possible de construire un système de trading hybride homme-machine sur la base d'une architecture de HC où chaque joueur est la CPU d'un système global de trading.La thèse conclut sur l'avantage compétitif qu'offrirait la mise en œuvre d'une architecture de HC à la fois sur l'acquisition de données alimentant les algorithmes de trading et sur la capacité d'un tel système à optimiser les paramètres de stratégies existantes. Il est pertinent de parier à terme sur la capacité de la foule à concevoir et à maintenir de façon autonome des stratégies de trading algorithmique, dont la complexité finirait par échapper totalement à la compréhension humaine individuelle. / Algorithmic trading, designed for speculative purposes, really took off in the early 2000's, first for optimizing market orders based on human decisions and then for executing trading strategies in real time. In this systematic trading approach, human intervention is limited to system supervision and maintenance. The field is growing even though the Efficient Market Hypothesis says that in an efficient market, speculation is futile.Human Computation is an unusual concept which considers human brains as a part of a much larger machine, with the power to tackle problems that are too big for today's computers. This concept is at the crossroads between two older ideas: collective intelligence and crowdsourcing able to involve humans (whether they are paid or not, they realize it or not) in problem solving or to achieve a complex task. The Fold-it project in biochemistry proved the ability of a human community to set up an efficient collective intelligence system based on a serious online game.Algorithmic trading is on same difficulty level of complexity as the problem tackled by Fold-it's creators. In that case “human CPU” really helped in solving 3D puzzles. The question is whether Human Computation could be used in algorithmic trading even though there are no 3D structures or user-friendly puzzles to deal with.The first experiment in this thesis is based on the idea that information flows in social media may provide input to algorithmic trading systems based on Human Computation principles. Twitter, the micro blogging platform, was chosen in order to track (1) words that may have an impact of financial markets and (2) unexpected events such as the eruption of the Icelandic volcano. We demonstrate that a significant increase in P&L can be achieved in the second case by treating the unexpected events as alerts.The second experiment with Human Computation in algorithmic trading aims to get a community of internet users to optimize parameters of the trading strategies, in the way that the Fold-it game did. In this online game called “Krabott” solutions are presented as friendly virtual bots each containing a specific set of parameters for a particular trading strategy in its DNA. Humans who are playing the game, interact in the selection and reproduction steps for each new “Krabott”.In this game the Krabotts “bred” by players outperformed those resulting from a computer optimization process. We tested two different versions of Krabott during the years 2012 and 2013, and in both cases the population bred by the players outperformed the “computer only” ones. This suggests that it may be possible to set up a whole hybrid human-computer system based on Human Computation where each player is a kind of single CPU within a global trading system.The thesis concludes by discussing the types of competitive advantages that structures based on Human Computation have for data acquisition into a trading system or for optimizing the parameters of existing trading strategies. Going further we expect that in the years to come Human Computation will be able to set up and update algorithmic trading strategies, whose complexity exceeds what an individual person could comprehend.

This thesis focuses on automated trading on cryptocurrency exchanges. Cryptos are now widespread. The possibility of hier automated buying and selling is an interesting topic, which is more and more mentioned. The main part of the thesis is the design of an algorithm for processing data from stock exchanges, their evaluation and subsequent execution of cryptocurrency trades. It also describes its implementation, testing and possible further extensions.

The diploma thesis deals with the design of an automatic trading system for trading on the market of selected commodities, constructed with the help of technical indicators. It also includes system optimization using genetic algorithms to maximize profit and stability. Finally, an economic evaluation of the achieved results is prepared.

This thesis focuses on automated trading systems for financial markets trading. It describes theoretical background of financial markets, different technical analysis approaches and theoretical knowledge about automated trading systems. The output of the present paper is a diversified portfolio comprising four different investment models aimed to trading futures contracts of cocoa and gold. The portfolio tested on market data from the first quarter 2013 achieved 46.74% increase on the initial equity. The systems have been designed in Adaptrade Builder software using genetic algorithms and subsequently tested in the MetaTrader trading platform. They have been finally optimized using sensitivity analysis.

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.

The main objective of this thesis is to design and optimize an automated trading system so as to achive stable equity curve and profit. This model is tested on historical and current market data. Area of trading in the currency markets by using automated trading systems is very large and therefore the biggest focus is on current aproaches to technical analysis, automated systems and summarizes interesting ideas which are used to design my own automated strategy. After completing system design and optimization of the selected input parameters follows its testing on historical data and simulation of real market environment. In both cases the equity curve is profitable and shows a trend of steady growth.

The aim of the diploma thesis Proposal of an automated trading system for a retail investor is to propose and create an automated trading system in the forex foreign exchange market environment. Basing on an analysis of the current scientific knowledge about the topic and greatly focusing on stability and profitability of the system, a functional automated trading system fit for a retail investor is proposed. A practical application of this system on a portfolio of selected currency pairs is included in the thesis.

This diploma thesis deals with theoretical and practical aspect of the Forex market and all important information that is necessary for its understanding and trading on this market, focused on intraday trading with automated trading system. The main goal of this thesis is to create whole information source for beginner forex traders and to describe them all trading risks and the ways how to reduce these risks, for example through the using of money management and creating suitable automated trading strategy. The next part describes fundamental, technical and partly psychological analysis. This part is mainly focused on technical analysis and describing well known and the most widely used indicators of technical analysis. Based on gained knowledge, several automated intraday trading strategies suitable for small initial capital on the most liquid currency pair EUR/USD are designed, tested and evaluated. These strategies are based on technical indicators and its combinations.