In financial markets, momentum effect can be defined as the tendency of prices to maintain their short term movements. On the other hand, reversal effect is usually understood to be the change in direction of long term price movements. This paper examines whether momentum and reversal effects were in evidence in the Brazilian stock market between January 1999 and June 2012. After calculating 1296 trading strategies, no evidence of reversal effect is found. With regard to momentum effect, some weak evidence is presented for the very short term. Exposure to risk factors can explain returns on strategies, including returns on momentum strategies. The results are borne out with different market proxy specifications and size subsamples. When compared to previous studies, the results raise the question of whether the reversal effect is vanishing from the Brazilian stock market and whether the traces of momentum are sufficient to confirm its existence. Furthermore, evidence of seasonality is found for June in momentum strategies and for November in both reversal and momentum strategies. Subsequent tests reveal that the effects of seasonality are limited to small stocks. / Nos mercados financeiros, o efeito momento pode ser definido como a tendência dos preços em manter seus movimentos de curto prazo. Por outro lado, o efeito contrário é geralmente entendido como a mudança na direção dos movimentos de longo prazo dos preços. O presente trabalho examina a existência dos efeitos momento e contrário no mercado acionário brasileiro no período compreendido entre janeiro de 1999 e junho de 2012. A partir do cálculo de 1296 estratégias de investimento, nenhuma evidência de efeito contrário é encontrada. Com relação ao efeito momento, observou-se apenas uma fraca evidência no curtíssimo prazo. A exposição aos fatores de risco é capaz de explicar os retornos das estratégias, inclusive os retornos das estratégias de momento. Os resultados são robustos ao se utilizar diferentes especificações de proxy de mercado e subamostras de valor de mercado. Quando comparados a trabalhos anteriores, os resultados colocam em questão se o efeito contrário está desaparecendo no mercado acionário brasileiro e se as fracas evidências do efeito momento são suficientes para confirmar sua existência. Ademais, são observadas evidências de sazonalidade no mês de junho nas estratégias de momento e, no mês de novembro, em ambas as estratégias. Testes posteriores revelam que esses efeitos de sazonalidade estão restritos à subamostra de baixo valor de mercado.

L’intégration européenne des marchés financiers semble se heurter de manière répétée à un certain type de problèmes concernant la substance et les limites conceptuelles de ce « marché » en cours d’intégration, ainsi que le statut et le rôle qu’y revêtent la monnaie, les infrastructures et la gouvernance publique. Ces problèmes et les controverses qu’ils soulèvent présentent un parallélisme avec des débats classiques de théorie économique tels que celui qui oppose les conceptions du marché comme espace sans frottements et comme processus de concurrence. Ce parallélisme est attribué ici à une « conception concurrentielle du marché » car celle-ci implique l’idée contradictoire d’une « intégration de la fragmentation ». La thèse repère ces thèmes et ces parallèles dans un grand projet récent d’intégration des infrastructures de marché financier : la plateforme paneuropéenne de règlement-livraison de titres Target2Securities (ou T2S), censée surmonter la fragmentation des systèmes qui réalisent les transferts de monnaie et de titres lors de transactions financières. L’analyse de ce projet permet en outre d’avancer une réponse à une énigme que les approches habituelles de l’intégration européenne en sociologie et en économie politique (political economy) – principalement centrées sur les intérêts et idées des acteurs les plus puissants – sont bien en peine d’éclaircir : à savoir la raison pour laquelle T2S sera de facto un monopole de la Banque centrale européenne, alors que les institutions européennes privilégient depuis le début l’intégration par les acteurs privés. La notion foucaldienne de « formation discursive » est mise à contribution pour conceptualiser ces thèses. / European integration of financial markets appears to repeatedly encounter specific kinds of problems about the substance and limits of the notion of “the market” undergoing integration, and about the status and role of money, market infrastructures, and government within it. Moreover, these problems and the controversies around them parallel classical discussions in economic theory such as that between conceptions of the market as a frictionless space and as a process of competition. A “competitive conception of the market” is identified as producing these parallel problems and controversies in European market integration and economic theory because it implies a contradictory “integration of fragmentation.” These themes and parallels can be specifically identified in a recent major project to integrate financial market infrastructures: a pan-European settlement platform – “Target2-Securities (T2S)” – to overcome existing fragmentation between the systems that perform the actual delivery of money and securities from financial transactions. Moreover, a close analysis of T2S answers a question that existing sociological and political economy approaches to European integration – focusing primarily on the interests and ideas of powerful players – struggle with: why T2S will become de facto a monopoly for the European Central Bank when early on in the integration process EU institutions emphasized an industry-led integration. Foucault’s notion of “discursive formation” is employed to conceptualize these arguments.

The selection of investment strategies and managing investment funds via employing portfolio insurance methods play an important role in asset liability management. Insurance strategies are designed to limit downside risk of portfolio while allowing some participation in potential gain of upside markets. In this thesis, we provide an extensive overview and investigation, particularly on the two most prominent portfolio insurance strategies: the Constant Proportion Portfolio Insurance (CPPI) and the Option-Based Portfolio Insurance (OBPI). The aim of the thesis is to examine, analyze and compare the portfolio insurance strategies in terms of their performances at maturity, via some of their statistical and dynamical properties, and of their optimality over the maximization of expected utility criterion. This thesis presents the financial market model in continuous-time containing no arbitrage opportunies, the CPPI and OBPI strategies with definitions and properties, and the analysis of these strategies in terms of comparing their performances at maturity, of their statistical properties and of their dynamical behaviour and sensitivities to the key parameters during the investment period as well as at the terminal date, with both formulations and simulations. Therefore, we investigate and compare optimal portfolio strategies which maximize the expected utility criterion. As a contribution on the optimality results existing in the literature, an extended study is provided by proving the existence and uniqueness of the appropriate number of shares invested in the unconstrained allocation in a wider interval.

本研究探討台灣債券型基金的發展歷程、相關問題、及主管機關的因應措施，並介紹全球債券型基金資產規模前二大之美國及盧森堡的基金發展經驗，作為台灣債券型基金發展及監理的參考。此外，迴歸分析債券型基金資產規模的影響因素及基金資產規模對金融市場、貨幣總計數M2的影響。本研究實證結果顯示:（1）債券型基金資產規模分別與6個月期美元LIBOR及我國金融同業隔夜拆款利率，呈現顯著負相關；（2）債券型基金持有公司債及金融債與該等債券發行市場的榮枯，呈現顯著正相關；及（3）債券型基金資產規模分別與銀行定期存款、中長期放款、及貨幣總計數M2的成長，呈現顯著負相關。根據本研究的結果，對於健全我國債券型基金的發展，我們建議主管機關細分基金類型、強制投信公司設立獨立董事、強化基金市場機能的發揮等；建議投信投顧公會公布之資訊宜涵蓋銀行所募集的貨幣市場基金；建議投信公司加強風險管理並檢討基金經理人紅利給付方式；及建議中央銀行增列「M2+準貨幣市場基金」的成長目標區。 / The purpose of this paper is to study the development of bond funds in Taiwan. Besides, we introduce the development of bond funds in the United States and Luxemburg. Furthermore, we analyze the determinants of the bond fund assets, and effect of the bond funds on the financial market and monetary aggregate M2 in Taiwan. The main findings of empirical study are: （1）the bond fund assets has a significant negative relationship with 6-month USD LIBOR, Taiwan interbank oversight call-loan rate, respectively； （2）the bond fund’s investment of corporate bonds has a significant positive relationship with the prosperity of corporate bond’s issuance market； and（3）the bond fund assets has a significant negative relationship with the time deposits, long-term loans, and M2, respectively. According to the results of this study, we have the following suggestions. To the supervisory authority: subdivide the type of bond fund, investment trust CO. should establish independent directors compulsorily, reinforce funds market mechanism；to the Securities Investment Trust and Consulting Association of the ROC: fund information release should include money market funds raised by bank； to the investment trust CO.: strengthen risk management and review the bonus payment； to the central bank: set up the target zone of M2 plus quasi money market funds grew.

Analyzing massive-data sets and streams is computationally very challenging. Data sets in systems biology, network analysis and security use network abstraction to construct large-scale graphs. Graph algorithms such as traversal and search are memory-intensive and typically require very little computation, with access patterns that are irregular and fine-grained. The increasing streaming data rates in various domains such as security, mining, and finance leaves algorithm designers with only a handful of clock cycles (with current general purpose computing technology) to process every incoming byte of data in-core at real-time. This along with increasing complexity of mining patterns and other analytics puts further pressure on already high computational requirement. Processing streaming data in finance comes with an additional constraint to process at low latency, that restricts the algorithm to use common techniques such as batching to obtain high throughput. The primary contributions of this dissertation are the design of novel parallel data analysis algorithms for graph traversal on large-scale graphs, pattern recognition and keyword scanning on massive streaming data, financial market data feed processing and analytics, and data transformation, that capture the machine-independent aspects, to guarantee portability with performance to future processors, with high performance implementations on multicore processors that embed processorspecific optimizations. Our breadth first search graph traversal algorithm demonstrates a capability to process massive graphs with billions of vertices and edges on commodity multicore processors at rates that are competitive with supercomputing results in the recent literature. We also present high performance scalable keyword scanning on streaming data using novel automata compression algorithm, a model of computation based on small software content addressable memories (CAMs) and a unique data layout that forces data re-use and minimizes memory traffic. Using a high-level algorithmic approach to process financial feeds we present a solution that decodes and normalizes option market data at rates an order of magnitude more than the current needs of the market, yet portable and flexible to other feeds in this domain. In this dissertation we discuss in detail algorithm design challenges to process massive-data and present solutions and techniques that we believe can be used and extended to solve future research problems in this domain.

The first part of thesis describes the Efficient Market Theory, its characteristics and forms. Another theoretical approach are Behavioral Finances that can also explain the stock market price making. The main topic is Financial Market Anomalies that defy the Efficient Market Theory. Anomalies state that an investor is able to achieve above average profits in the long term regularly. The thesis is focused on two anomalies selected for further testing on the data of companies traded on German exchange Xetra. Data was obtained from Yahoo Finance and processed for statistical tests. Anomalies occurrence was scarce, therefore it cannot be said that an investor is able to achieve above average profits in the long term regularly.

Submitted by Iris Oliveira (oliveira.iris@gmail.com) on 2014-09-05T15:22:44Z No. of bitstreams: 1 Dissertacao - ISOFGV_FINAL.pdf: 1568476 bytes, checksum: 334971df0bf65d68e1f07c93ca76b413 (MD5) / Approved for entry into archive by JOANA MARTORINI (joana.martorini@fgv.br) on 2014-09-05T19:25:48Z (GMT) No. of bitstreams: 1 Dissertacao - ISOFGV_FINAL.pdf: 1568476 bytes, checksum: 334971df0bf65d68e1f07c93ca76b413 (MD5) / Made available in DSpace on 2014-09-05T19:26:10Z (GMT). No. of bitstreams: 1 Dissertacao - ISOFGV_FINAL.pdf: 1568476 bytes, checksum: 334971df0bf65d68e1f07c93ca76b413 (MD5) Previous issue date: 2014-08-08 / A pesquisa visa entender o impacto das regulamentações no sistema financeiro considerando as teorias sobre ciclos econômicos e contextualizando para a implementação de Basileia 3 no mercado brasileiro em 2013. Para desenvolver foram analisados modelo teórico e teste via simulação no programa NETLOGO, considerando-se o numero de instituições financeiras no mercado brasileiro alterando as restrições e colhendo os resultados gráficos. A abordagem teórica para melhor entender os impactos das regulamentações foi feita através da análise da bibliografia disponível sobre Hipótese da Instabilidade Financeira. Em linha com a literatura abordada, há evidências do impacto negativo das regulamentações em sistemas que apresentam choques negativos de produtividade, ainda levando-se em consideração a capacidade das instituições financeiras, no que diz respeito a estrutura de seus balanços para suportarem tais eventos. / The research aims to understand the impact of regulations on the financial system, considering the theories of business cycles and contextualized for the implementation of Basel 3 in the Brazilian market in 2013. To develop this study was analyzed a theoretical model and a simulation in NetLogo program, considering the number of financial institutions in the Brazilian market by changing the restrictions and reaping the graphical results. The theoretical approach to better understand the impacts of regulations was made through the analysis of literature available on the Financial Instability Hypothesis. In line with the literature discussed, there is evidence of the negative impact of regulations on systems that have negative productivity shocks, even taking into account the ability of financial institutions, regarding the structure of their balance sheets to withstand such events.

Submitted by Rafaela Moraes (rafaela.moraes@fgv.br) on 2016-09-09T19:12:50Z No. of bitstreams: 1 Dissertação Pedro Monteiro.pdf: 1429937 bytes, checksum: 3b4e59400de6e71b5804d9c41c2db325 (MD5) / Approved for entry into archive by Rafaela Moraes (rafaela.moraes@fgv.br) on 2016-09-09T19:13:59Z (GMT) No. of bitstreams: 1 Dissertação Pedro Monteiro.pdf: 1429937 bytes, checksum: 3b4e59400de6e71b5804d9c41c2db325 (MD5) / Approved for entry into archive by Rafaela Moraes (rafaela.moraes@fgv.br) on 2016-09-09T19:15:03Z (GMT) No. of bitstreams: 1 Dissertação Pedro Monteiro.pdf: 1429937 bytes, checksum: 3b4e59400de6e71b5804d9c41c2db325 (MD5) / Made available in DSpace on 2016-09-09T19:15:46Z (GMT). No. of bitstreams: 1 Dissertação Pedro Monteiro.pdf: 1429937 bytes, checksum: 3b4e59400de6e71b5804d9c41c2db325 (MD5) Previous issue date: 2011 / Esta pesquisa apresenta a Gestão estratégica de Riscos no Modelo de Licitação dos Blocos de Exploração de Petróleo em Angola na internacionalização da Sonangol como estratégia de gestão de investimento e fundos no mercado financeiro internacional e no mercado econômico Global. A gestão estratégica adotada pela Sonangol Exploração e Pesquisa para as suas subsidiarias, está baseada no modelo de licitação denominado PSC ou PSA – Contratos de Partilha e Produção, e a empresa responsável pela prospecção, pesquisa e Exploração de Hidrocarbonetos de Angola é a Sonangol por legislação vigente. A pesquisa faz referencia a um estudo bibliográfico que busca entender a estratégia da principal empresa de exploração hidrocarbonetos (petróleo e Gás) nos investimentos públicos, e privados de angola, os modelos de licitações e na estratégia de expansão dos negócios fora do território angolano, destacadamente, na gestão dos modelos de licitação para concessão dos Blocos de Exploração de petróleo, e Gás. A Gestão Estratégica de riscos no modelo de licitação dos Blocos de Exploração de petróleo de angola tem como principal atividade econômica a exploração do petróleo. O território angolano foi palco de varias disputas durante pelo menos trinta anos, para se definirem as políticas públicas e privadas. Com a abertura econômica iniciada em 2000, e a mudança da economia planejada para uma economia de mercado, começou o ciclo de investimentos que vem chamando atenção de vários países do mundo, com destaque para a China que se dispôs a ajudar Angola concedendo-a através do Banco Mundial um dos maiores empréstimos bancário da historia dos países africanos. A entrada de investimentos estrangeiros no território angolano vem marcando a internacionalização das empresas angolanas, destacadamente a Sonangol, que procura na medida das suas capacidades financeiras investirem em vários seguimentos do mercado interno e estrangeiro, com o objetivo de se firmar competitiva e estrategicamente, investindo em ações, fundos financeiros e outros negócios, em diversificados ramos da atividade econômica. O estudo que ora se apresenta faz parte do inicio da estratégia de internacionalização da Sonangol, do Ministério dos Petróleos na gerencia de fundos financeiros em diversas instituições bancárias do mundo. Pretende-se detalhar e aprofundar a compra de ações por parte da Sonangol no Banco Africano de Investimentos (BAI) no Banco de Comércio de Indústria (BCI) e em outros negócios que a empresa tem participação, num estudo bibliográfico apoiado por relatórios anuais mostra a entrada para o mercado competitivo internacional da principal empresa de hidrocarbonetos de Angola a partir de relatórios de contas que mostram valores econômicos, gráficos e tabelas referentes aos investimentos da Sonangol nos últimos 10 anos. O trabalho de pesquisa comportará três capítulos detalhados sobre a compra de ações e investimentos financeiros da empresa no mercado internacional, a partir da gestão de riscos pelas três AAA, do BCP, e outros negócios iniciados recentemente. / This research presents the Strategic Management of Risk in the Model Bidding Blocks Oil Exploration in Angola's Sonangol as internationalization strategy for managing investment funds and international financial market and the global economic market. The strategic management adopted by Sonangol Exploration and Research for its subsidiaries, is based on the model of bidding called PSC or PSA - Production Sharing Contracts and, the company responsible for exploration and exploitation of hydrocarbons in Angola's Sonangol for legislation. The survey makes reference to a bibliographical study that seeks to understand the strategy of the main operating company (oil and gas) in public investment, private and Angola, the model and the bidding strategy of business expansion outside the Angolan market, especially in the management models of bidding for grant of Exploration Blocks Oil and Gas Strategic Management of risks in the model of bidding for oil exploration blocks in Angola's main economic activity to oil exploration. The Angolan territory was the scene of many disputes for at least thirty years to define the public and private policies. With the economic liberalization initiated in 2000, and the change from planned economy to a market economy, started the investment cycle that is drawing attention from many countries, especially China which is willing to help Angola and grant through the World Bank one of the largest lending bank in the history of African countries. The entry of foreign investment in Angola is marking the internationalization of Angolan companies, especially by Sonangol, which seeks as its financial capacity to invest in various segments of domestic and foreign, in order to establish competitive and strategically investing in shares, funds and other financial businesses in diverse fields of economic activities. The study presented here is part of the beginning of the internationalization strategy of Sonangol, the Ministry of Oil in the management of financial funds in various banks in the world. It is intended to describe and deepen the purchase of shares by Sonangol's African Investment Bank (BAI) at the Bank of Commerce and Industry (BCI) and other businesses that the company has a stake in a literature study supported by annual reports shows entry to the competitive market of major international oil company of Angola from financial reports that show economic values, graphs and tables pertaining to the investments of Sonangol in the last 10 years. The research work will be in three detailed chapters on the purchase of shares and the company's financial investments in the international market from the risk management by three AAA, BCP, and other businesses started recently.

Sobre os novos rumos das relações econômicas no ambiente virtual há que se observar a criação da moeda digital e suas implicações para o mercado de financeiro e para a soberania estatal mundial. O desenvolvimento de uma moeda digital é uma tecnologia que desafia a legitimidade do regime estatal como controlador da moeda e coloca a questão primordial: se a emissão de moeda, vinculada ao Estado, é expressão da soberania nacional na ordem econômica e se seria possível a soberania nacional na ordem econômica, em uma modelo de moedas privadas, isto é, sem controle por parte de uma autoridade central. / The creation of the digital currency and its implications for the financial market and world state sovereignty must be observed on the new directions of economic relations in the virtual environment. The development of a digital currency is a technology that challenges the legitimacy of the state regime as the controller of the currency and asks the primary question: if the issue of money, linked to the State, is an expression of national sovereignty in the economic order and if sovereignty would be possible national in the economic order, in a model of private currencies, that is, without control by a central authority.

The thesis "The regulation of capital market regulation, with a focus securities market "deals with the regulation and supervision of the capital market and securities market in particular. The first part is devoted to explaining the concepts of regulation and supervision, classification system of regulation and supervision, securities regulation and the reasons for the stock market. primary goal of this work is to compare the regulatory system securities market in the Czech Republic and the EU to propose any recommendations for the country. further analyzes the situation in the EU and more attention is focused on the regulation system in the UK and Germany.