Магистерская диссертация посвящена анализу специфики инвестиционной деятельности на финансовом рынке и формированию наиболее оптимальной структуры инвестиционного портфеля. Целью исследования является формирование инвестиционных портфелей для разных возрастных групп частных инвесторов. Научной новизной исследования являются моделирование инвестиционных портфелей с заданными критериями оптимизации, авторские рекомендации по инвестированию, дополнение классификации рисков инвестирования на финансовом рынке, выделение критериев выбора биржевого брокера. / The master's thesis is devoted to the analysis of specifics of investment activity in the financial market and formation of the most optimal theoretical base for trading on stock exchange. The purpose of the study is to form invest portfolio for different age groups of private investors. The scientific novelty of the research is the modeling of investment portfolios with specified optimization criteria, author's recommendations for investment, addition of a classification of investment risks in the financial market, and selection of criteria for choosing a stock broker.

The initial coronavirus disease caught the world by surprise at the end of 2019, as it was soon declared a pandemic. It led to an unexpected global crisis and profound disruption in societies and Sweden was no exception. The representing index OMXS30 took a steep fall in March 2020 and the market risk aversion increased in ways not seen since the financial crisis in 2008. The financial market has been extremely unpredictable ever since. Although, it has not yet been declared how the pandemic has influenced the financial market in Sweden. Therefore, this thesis aims to analyze how the quantitative epidemiological factors directly caused by the COVID-19 pandemic can be linked to the price fluctuations in the Swedish stock market - which, in this thesis, is represented by the OMXS30 index. By looking into the significance of these factors respectively, a potential hedging strategy could be determined. A multiple linear regression analysis was performed to determine the relationship between OMXS30 and the epidemiological factors. These factors included: "the number of people in intensive care due to COVID-19", "the number of people infected by COVID-19", and "the number of deceased due to COVID-19". The results showed that the first regressor was of no significance to the model. However, the second and third regressor variables showed to have a strong significance in relation to the price fluctuations of the OMXS30 index. From this finding, an optimal hedging strategy was found. This strategy implies that one should take a long position in the stocks included in OMXS30 if the COVID-19 infection rate is predicted to increase, and contrary take a short position in these stocks if the mortality rate is prognosticated to rise. / Coronaviruset bröt ut i slutet av år 2019 och blev snart därefter klassificerat som en global pandemi. COVID-19 orsakade en oväntad global kris och storartade störningar i samhällen världen över - Sverige var inget undantag. Det representerande indexet OMXS30 föll kraftigt under mars 2020 och marknadsriskaversionen ökade på ett sätt som inte skådats sedan finanskrisen år 2008. Finansmarknaden har sedan dess varit extremt oförutsägbar och det är ännu inte klarlagt hur pandemin har påverkat den svenska finansmarknaden. Denna avhandling syftar därav till att analysera hur de kvantitativa epidemiologiska riskfaktorerna som är direkt orsakade av COVID-19-pandemin kan kopplas till kursfluktuationerna på den svenska aktiemarknaden - som i denna avhandling representeras av OMXS30-indexet. Genom att undersöka dessa faktorers inverkan på den svenska aktiemarknaden kunde en potentiell investeringsstrategi fastställas. En multipel linjär regressionsanalys utfördes för att finna sambandet mellan prisfluktationerna i OMXS30-indexet och de epidemiologiska riskfaktorerna. Dessa riskfaktorer inkluderade: "antal personer i intensivvård till följd av COVID-19", "antal personer som smittats av COVID-19" och "antal avlidna personer till följd av COVID-19". Resultatet visade att den första regressorvariabeln inte var av signifikans i modellen. Den andra, respektive den tredje regressorvariabeln visade sig dock ha en stark signifikans i förhållande till prisfluktuationerna i OMXS30-indexet. Utifrån detta bestämdes en optimal investeringsstrategi. Denna strategi innebär att en lång position bör tas i de aktier som ingår i OMXS30 förutsatt att smittspridningen av COVID-19 förutspås att öka. Tvärtom, bör en kort position tas i dessa aktier om dödligheten till följd av COVID-19 prognostiseras att stiga.

Esta dissertação estima os modelos de volatilidade para a série de preços da Vale do Rio Doce, para uma série de sub-períodos de 1998 até 2004. Está organizada em quatro capítulos, icluindo a introdução e aconclusão. O primeiro capítulo, faz uma apresentação geral do trabalho. O capítulo segundo, faz um histórico da Vale do Rio Doce e discute o mercado de capitais, bem como a sua relação com o desenvolvimento econômico. O terceiro capítulo faz referência aos procedimentos empíricos que serão utilizados no último capítulo e faz uma revisão empírica para o Brasil. Por fim, no quarto e último capítulo é realizada uma análise econométrica para a ação da Vale do Rio Doce. / This work of conclusion esteem the models of volatileness for the series of prices of the Valley of the River Candy, for a series of sub-periods of 1998 up to 2004. It is organized in four chapters, having icluindo the introduction and the conclusion. The first chapter, makes a general presentation of the work. The chapter second, makes a description of the Valley of the River Candy and argues the stock market, as well as its relation with the economic development. The third chapter make reference to reference the empirical procedures that will be used in the last chapter and makes an empirical revision for Brazil. Finally, in the room and last chapter a econometrical analysis for the action of the Valley of the River is carried through Candy.

Esta dissertação estima os modelos de volatilidade para a série de preços da Vale do Rio Doce, para uma série de sub-períodos de 1998 até 2004. Está organizada em quatro capítulos, icluindo a introdução e aconclusão. O primeiro capítulo, faz uma apresentação geral do trabalho. O capítulo segundo, faz um histórico da Vale do Rio Doce e discute o mercado de capitais, bem como a sua relação com o desenvolvimento econômico. O terceiro capítulo faz referência aos procedimentos empíricos que serão utilizados no último capítulo e faz uma revisão empírica para o Brasil. Por fim, no quarto e último capítulo é realizada uma análise econométrica para a ação da Vale do Rio Doce. / This work of conclusion esteem the models of volatileness for the series of prices of the Valley of the River Candy, for a series of sub-periods of 1998 up to 2004. It is organized in four chapters, having icluindo the introduction and the conclusion. The first chapter, makes a general presentation of the work. The chapter second, makes a description of the Valley of the River Candy and argues the stock market, as well as its relation with the economic development. The third chapter make reference to reference the empirical procedures that will be used in the last chapter and makes an empirical revision for Brazil. Finally, in the room and last chapter a econometrical analysis for the action of the Valley of the River is carried through Candy.

Esta dissertação estima os modelos de volatilidade para a série de preços da Vale do Rio Doce, para uma série de sub-períodos de 1998 até 2004. Está organizada em quatro capítulos, icluindo a introdução e aconclusão. O primeiro capítulo, faz uma apresentação geral do trabalho. O capítulo segundo, faz um histórico da Vale do Rio Doce e discute o mercado de capitais, bem como a sua relação com o desenvolvimento econômico. O terceiro capítulo faz referência aos procedimentos empíricos que serão utilizados no último capítulo e faz uma revisão empírica para o Brasil. Por fim, no quarto e último capítulo é realizada uma análise econométrica para a ação da Vale do Rio Doce. / This work of conclusion esteem the models of volatileness for the series of prices of the Valley of the River Candy, for a series of sub-periods of 1998 up to 2004. It is organized in four chapters, having icluindo the introduction and the conclusion. The first chapter, makes a general presentation of the work. The chapter second, makes a description of the Valley of the River Candy and argues the stock market, as well as its relation with the economic development. The third chapter make reference to reference the empirical procedures that will be used in the last chapter and makes an empirical revision for Brazil. Finally, in the room and last chapter a econometrical analysis for the action of the Valley of the River is carried through Candy.

This thesis deals with methodics of credit process of a particular credit union present on the Czech market. Because of confidentiality, the name of the credit union is not mentioned. The thesis is divided into four parts. The first part deals with characteristics of credit unions, their specifications and differences from banks. You can find in this part comparison of development of particular values of the analyzed credit union with the whole sector of Czech credit unions and bank sector as well. The second part is focused on importance of credit process, specifics of the balance of credit institutions, description of risks connected to credit process and principle of state regulation of this process. The third part describes in more details credit process of the analyzed credit union with further focus on acquisition period, credit analysis and decision making process. The last part explains questions of guarantee with all the types of guarantee of the analyzed credit union mentioned. Hence in the whole thesis the theory and practice is mixed together. In the concluding part I evaluate quality of credit process of the analyzed credit union, including the differences from credit process of bank institutions.

Esta pesquisa trata das determinações críticas da atual relação entre a política habitacional brasileira, as incorporadoras nacionais de capital aberto e a reprodução do capital financeiro ligado ao setor imobiliário, com uma pesquisa focada na análise do Programa Minha Casa Minha Vida I e II (PMCMV) na metrópole de São Paulo. A história da política habitacional no Brasil, porém, mais claramente no BNH, evidencia que a confluência entre Estado, empresas privadas do setor imobiliário e capital não é a novidade do momento atual. A diferença reside, basicamente, no contexto histórico e econômico em cada um dos períodos, ou seja, em como a questão da habitação se presta à adaptação dos diferentes momentos de reprodução do capital e do trabalho pelos quais o país passou e vem passando. Se no momento do BNH/autoconstrução a questão da habitação estava inserida no contexto de uma economia industrial, e produzia casas ao ritmo de rotação do capital industrial, coube a nós, nesta pesquisa, investigar quais seriam os elementos da produção da habitação social, via PMCMV, ao ritmo do capital de uma economia financeirizada. / This research deals with the critical current determinations between the Brazilian housing policy, opened capital national developers and reproduction of finance capital on the real estate sector, from a research focused on the analysis of the Minha Casa Minha Vida I and II (PMCMV) in the metropolis of São Paulo. The history of housing policy in Brazil, better seen in the case of BNH, shows that the confluence between the state, private real estate companies and capital is not the novelty of the present moment. Basically, the difference lies in the historical and economic context from each period, showing how the issue of housing serves as an important means to the reproduction of capital and labor force throughout the different moments the country has been in. Once in the period of BNH, housing in Brazil was inserted in the context of an industrial economy, and therefore, it produced houses at the pace of the industrial capital rotation. In this research, though, we will investigate what are the elements of the social housing production, via PMCMV, under the rhythm of the capital of a financialized economy.

Diese Arbeit enthält vier Aufsätze über die Beziehungen zwischen Handelsstrategien auf Aktienmärkten und dem Zustand des Marktes. Es werden ökonometrische Methoden angewendet um den Markteinfluss von limit order Platzierungen, die Eigenschaften von limit ordern sowie die Verwendung von versteckten ordern zu analysieren. Im Kapitel 1 quantifizieren wir die Effekte der limit order Platzierung auf Preisquotierungen am Börsenplatzes Euronext. Wir zeigen, dass eine limit order signifikante Informationen enthält und illustrieren inwieweit ihr Einfluss auf den Markt von ihren Charakteristika und dem Zustand des Orderbuchs abhängt. Das Kapitel 2 enthält empirische Resultate über die limit order Aktivität und den Markteinfluss von limit orders an der New Yorker NASDAQ Börse. Wir dokumentieren, dass Marktteilnehmer die Platzierung von limit orders mit kleinen Volumina präferieren, diese aber sofort nach ihrem Einsatz wieder löschen. Basierend auf der geschätzten Marktauswirkung einer limit order schlagen wir eine Methode zur Prognose ihres optimalen Volumens vor. Im Kapitel 3 werden die limit order-Strategien von Marktteilnehmern in intransparenten Märkten untersucht. Wir zeigen, dass die Position der sogenannten versteckten Liquidität im Orderbuch von diversen Variablen abhängt, die den Zustand des Marktes beschreiben. Die Daten suggerieren, dass Händler die Platzierung sogenannter hidden orders im Hinblick auf günstige Liquidität am Markt und dem "picking-off"-Risiko ausbalancieren. Im letzten Kapitel 4 präsentieren wir ein Softwaresystem zur Rekonstruktion von Orderbüchern und zur Extrahierung von Orderflussinformationen aus message stream Daten. Die Basismodule des Systems basieren auf allgemeinen Orderbuch-Ereignissen. Sie sind abstrakt gehalten und können so einfach auf beliebige Märkte mit elektronischen Orderbüchern angewendet werden. / In four essays, this thesis examines the interaction between traders'' strategies and the state of market by the econometric analysis of maket impact of limit order submission, the typical properties of order flow and the traders'' usage of hidden orders. Chapter 1 quantifies short-term and long-term effects of limit order submissions on quotes in Euronext. We show that limit orders have significant information content and the maginitude of their impact on the quotes depends on both the order''s characteritics and the state of limit order books (LOBs). Chapter 2 provides new empirical evidence on order submission activities and market impacts of limit orders at NASDAQ. We find that traders dominantly submit small size limit orders and cancell most of them immediately after submission. Based on the estimated market impact of orders, we propose a method to predict the optimal size of a limit order conditional on its position in the LOB and the desired impact. Chapter 3 analyzes traders'' decisions on using undisclosed orders in opaque markets. Our empirical findings show that market conditions affect traders'' order submission strategies and suggest that traders balance their hidden order placements to compete for the provision of liquidity and protect themselves against picking-off risk. Chapter 4 presents a program framework for reconstructing LOBs as well as extracting order flow information from message stream data. We design the basic modules of the system in an abstract layer based on common order events in limit order markets, so that it can be easily adapted to data at any limit order markets.

São Paulo presenciou, nas últimas duas décadas, o surgimento de grandes edifícios comerciais que passaram a conformar uma paisagem que se tornou a imagem de exportação da cidade. O fenômeno não é isolado: faz parte de um movimento de transformação no qual economia e espaço urbano são agentes de um mesmo processo social, concatenado politicamente ao poder público, em várias instâncias, e ao capital internacional. Sua origem se encontra na abertura da economia do país na década de 1990, que marcou o aumento significativo da instalação em solo nacional de empresas multinacionais, que conformaram uma nova demanda por um espaço diferenciado as lajes corporativas. Este movimento ganhou novas determinantes a partir dos anos 2000, quando foram criados vários instrumentos econômicos e urbanísticos que possibilitaram que o edifício corporativo, antes entendido como ativo fixo, modificasse sua figura no ciclo de valorização e passasse a atuar predominantemente enquanto capital na esfera da circulação. Acresce-se a isto o fato de que o mercado imobiliário nacional, a partir de 2005, passa por mudanças em sua forma de organização e atuação, devido à abertura de capital de significativas empresas do setor. Estes fatores conformam um cenário no qual esta arquitetura ganha novos papéis, principalmente no que concerne à representação do capital. Neste aspecto, as determinantes locais se encontram com as mundiais, numa relação que deve sintetizar um alinhamento aparentemente sem entraves. O trabalho pretende analisar este encontro, neste campo da arquitetura, no intuito de entender, a partir das suas especificidades locais, as contradições que o cercam. Neste encontro, serão analisadas as funcionalidades da arquitetura paulista neste novo cenário econômico. A cadeia local produtiva, de circulação e de uso do edifício corporativo será apresentada, mostrando-se as idiossincrasias, transformações e dificuldades locais que definirão nossa relação com o mercado de capitais internacional. / Sao Paulo witnessed, over the past two decades, the emergence of large commercial buildings that started to form a landscape that has become the city\'s image export. This phenomenon is not isolated: it is part of a movement of transformation in which economy and urban space are agents of the same social process, politically concatenated to the government, in several instances, and to international capital. Its origin lies in the openness of the countrys economy in the 1990s, which marked a significant increase of multinational companies on national soil, which have made a new demand for a different space the corporate towers. This movement gained new determinants from the 2000s, when several urban and economic instruments were created and enabled the corporate building, before understood as a fixed asset, to modify its image in the cycle of valorization and begin to act predominantly as a capital in the sphere of circulation. Added to this is the fact that the national real state market, since 2005, undergoes through changes in its organizational and performance form, due to the IPO of significant companies in the sector. These factors have formed a scenario in which this architecture is gaining new roles, especially regarding the representation of capital. In this aspect, the local determinants meet global determinants, in a relationship that must synthesize an alignment apparently unhindered. This study aims to examine this encounter, in the field of architecture, in order to understand, based on its specific local conditions, the contradictions that surround it. In this encounter, it will be taken into consideration the features of paulista (original from the state of Sao Paulo) architecture in this new economic scenario. The local chain of production, circulation and use of corporate buildings will appear, revealing the idiosyncrasies, changes and local difficulties that will define our relationship with the international capital market.

Made available in DSpace on 2015-03-05T18:57:21Z (GMT). No. of bitstreams: 0 Previous issue date: 29 / Nenhuma / O objetivo deste trabalho é analisar o mercado de capitais, a governança corporativa e as disposições das empresas mineiras e gaúchas, de médio e grande porte, a abrir o capital. Para tanto, utilizaremos o modelo logit sobre os bancos de dados originais de duas relevantes pesquisas: FIEMG et al. (2007) e FIERGS et al. (2008). Em especial, buscaremos determinar se as práticas de governança corporativa, adotadas pelas empresas, aumentam sua disposição em abrir o capital. Chegamos à conclusão de que a adoção de práticas de governança corporativa pelas empresas de capital fechado não é suficiente para determinar quais são as empresas com maior disposição à abertura de capital. No entanto, verificamos que a variável grau de compartilhamento de poder, elemento determinante de governança corporativa, encontra-se extremamente relacionada com esta disposição. / The goal of this study is to analyze the stock markets, the corporative governance and the likelihood of mining industries of Minas Gerais and Rio Grande do Sul, of medium and large dimension, of opening capital. For such, we will use the logit model of the original data bank from two relevant researches; FIEMG et al (2007) and FIERGS et al (2008). In special, we will attempt to determine if practicing corporative governance, adopted by these firms, increases its likelihood in opening capital. We have come upon the conclusion that adopting corporative governance by firms of closed capital is not sufficient to determine which industries are more susceptible to opening capital. However, we have verified that the degree of power sharing, determining element in corporative governance, finds itself extremely related to this likelihood.