The master's thesis' objective is to study basics of high-frequency trading, especially trading at foreign exchange market. Project deals with foreign exchange data preprocessing, fundamentals of market data collecting, data storing and cleaning are discussed. Doing decisions based on poor quality data can lead into fatal consequences in money business therefore data cleaning is necessary. The thesis describes adaptive data cleaning algorithm which is able to adapt current market conditions. According to design a modular plug-in application for data collecting, storing and following cleaning has been implemented.

Cette thèse de doctorat est composée de trois chapitres traitant de l’impact des innovations technologiques sur les marchés financiers, prenant comme cas d’étude le marché des changes. Le premier chapitre analyse l’impact des innovations technologiques sur la géographie du marché des changes. Il utilise la connexion des pays au réseau sous-marin des câbles à fibre optique comme mesure de choc technologique exogène. Les estimations montrent que l’introduction des câbles à fibre optique a contribué à concentrer la répartition des activités de trading dans quelques grandes places financières au détriment de toutes les autres. Le deuxième chapitre s’intéresse à l’impact de la technologie sur la réaction des marchés des changes à de nouvelles informations macroéconomiques et financières. Il estime que le développement des technologies de l’information et de la communication permet de réduire la volatilité sur les marchés des changes de façon significative. Enfin, le troisième chapitre montre que le trading à grande vitesse contribue à atténuer les réactions de marché aux chocs macroéconomiques exogènes. Une explication possible, qui s’appuie sur un modèle théorique, est que le trading à grande vitesse augmente la dispersion des cotations de change, qui en retour accroît le temps nécessaire pour les traders pour traiter l’information contenue dans les cotations, rendant de fait le marché moins réactif à de nouvelles informations macroéconomiques et financières. Cette thèse de doctorat propose une nouvelle façon de penser et de mesurer l’impact du progrès technologique sur les marchés financiers. La première contribution est d’utiliser le réseau sous-marin des câbles à fibre optique comme choc technologique exogène et de mesurer son impact sur la géographie des marchés des changes et la volatilité. La seconde contribution est de montrer le lien entre trading à grande vitesse, dispersion des cotations et efficience des marchés, en utilisant l’entropie des cotations comme mesure du temps nécessaire pour traiter l’information contenue dans les prix et en comprendre l’impact sur l’efficience de marché. / This PhD dissertation is a collection of three essays on how technology has been shaping financial markets, using as a case study the foreign exchange market. The first chapter investigates the impact of technological innovations on the geography of the foreign exchange market. It uses as a proxy for exogeneous technological changes the connection of countries to submarine fiber-optic cables. The estimates of this chapter suggest that technology contributes to concentrating foreign exchange trading in an handful of financial centers. The second chapter studies the impact of technology on the reaction of foreign exchange markets to macroeconomic announcements. It shows that the development of Information and Communication Technologies dampens foreign exchange markets volatility. Finally, the third chapter shows that fast trading dampens market reaction to new macroeconomic information. One possible explanation, based on a theoretical model, is that fast traders increase the dispersion in exchange rate quotes, i.e. the time traders need to process new information about market prices; in turn, entropy dampens the market’s reaction to macro news. This PhD dissertation provides a new way to measure and conceptualize technological progress with regards to financial markets. The first contribution is to treat the network of submarine fiber optic cables as an exogenous technological shock to investigate the impact of technology on the geography of foreign exchange trading and on volatility. The second contribution is to show that patterns in the distribution of quotes matters in the context of fast trading. The concept of entropy in exchange rate quotes is used to characterize how fast information diffuses on financial markets and thereby to assess the implications of fast trading on market efficiency.

由於技術分析之有效性一直為學者們所探討且備具爭議的議題，有部分學者認為技術分析無效，但實務上，技術分析在金融市場上的應用卻相當廣泛；此外，由於外匯市場為交易量龐大且眾多學者研究之重要金融市場，故本文回顧過去多項國內、外研究，並經由實地探訪台灣外匯市場上之投資人，針對仍未被研究，但實務上所採用之技術指標進行多項交易策略之模擬並探討其獲利性。 本文主要針對新臺幣兌換美元之匯市，探究將商品通道指標(Commodity Channel Indexes)及威廉指標(Williams Overbought/ Oversold Index)兩種技術分析指標應用於此外匯市場上之獲利情形，採用1993年1月1日至2012年12月28日，共計二十年，5279筆銀行間交易之新台幣兌美元之匯率日間資料，擷取其最高價、最低價及收盤價並透過程式交易進行回溯測試，並針對此兩種技術指標建構多種交易策略，歸納並分析其中可獲得超額報酬之技術策略，期能找出獲得最佳投資報酬以及提高交易的成功機率與獲利能力之法則。 藉由Matlab運算處理後，將此兩種技術指標應用於過去20年之歷史價格進行回溯測試，本實證研究發現：1. 採用威廉指標之策略普遍績效都較採用商品通道指標來的好，不僅在總報酬率的表現上比較好，採用威廉指標所執行的交易獲利的機率也必較高。2. 由於此兩技術指標應用在新台幣兌美元之外匯市場上可得的績效高於買賣策略應用於此市場之平均年化報酬率，故證實此兩種技術指標應用在新台幣兌美元的外匯市場上，均可獲得超額報酬，此兩技術指標在新台幣兌美元市場是有效的、可獲利的。 / It has long been a controversial question to scholars whether or not technical analysis is efficient. Although some scholars believe technical analysis is useless, it has been broadly used in the financial markets for a long time. As foreign exchange markets are one of the most important financial markets with huge trading volume in the world, this paper reviews many past literature and extracts trading strategies from some real investors in Taiwan’s foreign exchange markets. Additionally, this paper focuses on testing the trading performance of applying the technical indexes which have not been researched in the academic field but have often been utilized in the real exchange markets. This thesis mainly concentrates on the exchange market of New Taiwan Dollar against US dollar and examines the trading performance of utilizing two technical indexes which have been used but not been researched in foreign exchange markets : Commodity Channel Index (CCI) and Williams Overbought/Oversold Index (WMS). The dataset of this paper is from January 1st, 1993 to December 28th, 2012, an overall of 20 years and 5279 times of daily NTD/USD exchange rates between banks. To complete the back-testing, this research utilizes the highest, lowest and close price from those materials and analyzes the technical strategies which obtain excess profits. By generalizing the results of those trading strategies, investors can find the best trading rules and increase the returns from applying these two technical indexes to foreign exchange market. The results of this research are as follows: 1. WMS’s performances are chiefly superior to the CCI’s performances. Not only the total profit rates of technical strategies from WMS are higher than the total profit rates of trading rules from CCI, but also the rates of profits on WMS always demonstrate a better result than the rates of profits on CCI. 2. Both of these two technical indicators can produce excess profits. Compared to the average annual return of buy-and-hold strategy in this market, both of the two technical indexes conduct a better performance. As a result, these two technical indexes are effective in NTD/USD market.

As the tick-by-tick data of financial transactions become easier to reach, processing that much of information in an efficient and correct way to estimate the integrated volatility gains importance. However, empirical findings show that, this much of data may become unusable due to microstructure effects. Most common way to get over this problem is to sample the data in equidistant intervals of calendar, tick or business time scales. The comparative researches on that subject generally assert that, the most successful sampling scheme is a calendar time sampling which samples the data every 5 to 20 minutes. But this generally means throwing out more than 99 percent of the data. So it is obvious that a more efficient sampling method is needed. Although there are some researches on using alternative techniques, none of them is proven to be the best. Our study is concerned with a sampling scheme that uses the information in different scales of frequency and is less prone to microstructure effects. We introduce a new concept of business intensity, the sampler of which is named Optimizable Multiresolution Quadratic Variation Filter. Our filter uses multiresolution analysis techniques to decompose the data into different scales and quadratic variation to build up the new business time scale. Our empirical findings show that our filter is clearly less prone to microstructure effects than any other common sampling method. We use the classified tick-by-tick data for Turkish Interbank FX market. The market is closed for nearly 14 hours of the day, so big jumps occur between closing and opening prices. We also propose a new smoothing algorithm to reduce the effects of those jumps.

本文主要研究外匯市場在1983年11月到2014年10月期間是否存在動能效果(momentum effect)，並再更深入探討可能造成動能效果的原因。本文以美國投資者的角度，使用62個國家的貨幣，發現在使用較短期的遠期外匯及回顧較近期的歷史報酬作為判斷是否交易的依據，這樣的動能策略可以招致較高且較穩定成長的累積報酬；但是若使用較長天期遠期外匯及以較遠期的歷史報酬判斷，動能策略可能較不顯著，並且累積報酬也較不穩定，甚至在外幣國家發生突發性貨幣危機時，在外匯市場通常會發生反轉效果(reversal effect)。另外也驗證出動能策略的超額報酬很大部分是受到交易成本和即期匯率波動的影響。我們發現國家風險和動能效果平均而言呈現正向關係，流動性風險相較於國家風險對於動能效果的影響性較低。 / We investigate whether momentum effect exist or not in the foreign exchange market. We find, based on a sample of 62 market currencies and view U.S Dollar as based currency, the evidence of higher and more stable momentum excess returns as we apply the short formation and holding period in our momentum strategy portfolios. However, when we apply long formation and holding period in our momentum strategy portfolios, we find less momentum effect and unstable cumulative excess returns, and even in the crisis, we find reversal rather than momentum. Additionally, we provide the evidence that transaction cost and spot rate change is the dominant influence on momentum effect. The relationship between country risk and momentum effect is positive significance and liquidity risk provide less evidence on momentum effect.

基於凱因斯選美競賽概念我們知道，如果要掌握金融市場的整個運作過程，除了要了解市場參與者所持有的信念外，更要進一步去了解市場參與者對其他市場參與者的信念的可能看法，也就是所謂的高階信念。因此，本篇研究的主要目的是嘗試描述高階預期概念在資產定價模型中所扮演的角色，同時也可以檢驗凱因斯的選美競賽理論是否可以幫助我們了解資產價格的形成過程。第二個目的是利用資產定價模型進一步去檢視市場交易者是否對公開訊息有過度反應的現象。 透過建立噪音的理性預期模型來推導外匯價格的預期形成過程發現，外匯價格所傳遞的訊息為偏誤的訊息，亦即在供給衝擊下的平均外匯價格並不會完全反映外匯真實價值，其反映的是外匯資產真實價值及公開訊息的線性組合。此外，經過進一步研究後發現，外匯價格的預期受公開訊息的影響程度遠大於真實訊息，亦即市場上的外匯價格預期對公開訊息有過度反應的現象。 另外，模型的研究結果指出，造成市場參與者對於公開訊息產生過度反應的原因有：投機者的人數比例、投機者的風險愛好程度以及私有訊息的精確度等三項。 / Based on Keynes’s beauty contest theory, if you want to know the operation of financial market, you should understand market participants' beliefs and market participants' beliefs about other market participants’ beliefs, which is called the higher order beliefs. The goal of the paper is to illuminate the role of higher order expectations in the asset pricing model, and thereby to explore the extent to which Keynes’s beauty contest theory is useful in thinking about asset prices. The second goal of this paper is to use the asset pricing model to examine whether market participants overreact to public information. By setting up the noisy rational expectations model, we know that exchange rate is biased signal of the underlying fundamental value. Mean exchange rate taken over realization of the supply shocks are given by convex combination of the true value and public information. Moreover, the distribution of exchange rates is biased towards public information relative to the true value. That is, there is an overreaction to public information. Finally, the model indicates that there are three factors to explain why market participants overreact to public information. These factors are the proportion of speculators, the risk aversion of speculators and the precision of private information.

Submitted by Alysson Oliveira Lima (alyssonlima@hotmail.com) on 2014-02-20T12:28:37Z No. of bitstreams: 1 DISSERTACAO FINAL - Alysson Oliveira Lima.pdf: 1422126 bytes, checksum: ea07829e7f2fef5ba62cea63d58dab7a (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2014-02-20T12:59:52Z (GMT) No. of bitstreams: 1 DISSERTACAO FINAL - Alysson Oliveira Lima.pdf: 1422126 bytes, checksum: ea07829e7f2fef5ba62cea63d58dab7a (MD5) / Made available in DSpace on 2014-02-20T13:03:40Z (GMT). No. of bitstreams: 1 DISSERTACAO FINAL - Alysson Oliveira Lima.pdf: 1422126 bytes, checksum: ea07829e7f2fef5ba62cea63d58dab7a (MD5) Previous issue date: 2014-01-28 / Desde a adoção do sistema de câmbio flutuante pelo Banco Central do Brasil, tanto a autoridade monetária quanto o governo brasileiro têm instituído medidas convencionais e não convencionais de intervenção no mercado de câmbio. Dentre essas medidas, salientam-se as compras e vendas de dólares no mercado de spot e derivativos, cujas finalidades precípuas seriam a tentativa de estabilizar os mercados em situação de 'stress' e suavizar uma determinada tendência de valorização ou desvalorização da moeda brasileira. O presente trabalho analisa os efeitos de referidas intervenções sobre a volatilidade na moeda brasileira. Utilizamos modelos econométricos da família ARCH (Autoregressive Conditional Heteroskedasticity) com o intuito de se averiguar o efeito sobre a volatilidade de curto e longo prazo, inclusive com metodologias semelhantes às empregadas em trabalhos direcionados a outras economias emergentes. Com o propósito de se estudar o efeito sinalizador das intervenções, foram utilizadas regressões simples com dados de volatilidade implícita e risk reversal do mercado de opções do dólar/real. Concluiu-se pela não relevância dos efeitos das intervenções sobre o nível da taxa de câmbio. No que concerne às volatilidades de curto e longo prazo, verificou-se que as vendas de dólares aumentam ambas as volatilidades, porém, quanto às compras, estas não apresentaram significância. No que se refere aos efeitos sinalizadores, via volatilidade implícita e risk reversal, estes também não expuseram relevância. Enfim, o que talvez possa consistir em fundamento para a não relevância dessas intervenções é o fato de o Brasil se consubstanciar em uma economia emergente e com menor credibilidade na condução de suas políticas monetárias. / Since Brazilian Central Bank adopted the floating exchange rate system, both the monetary authority and the Brazilian government have established conventional and unconventional measures to intervene in the foreign exchange market. Among these measures, it is important to emphasize the buying and selling dollars event in the spot and derivatives market, whose main purposes are to stabilize markets in distressful situations and to soften a particular trend of brazilian currency’s appreciation or depreciation. This paper exactly analyzes the effects of such interventions on the Brazilian currency volatility. We investigated the effect on the volatility of short and long terms, by means of ARCH (Autoregressive Conditional Heteroskedasticity) type models. To study the interventions signaling effect, we employed simple regressions with implied volatility and risk reversal of options market dollar/real. We are eligible that the effects of these interventions on the level of the exchange rate. Regarding the volatility of short and long term, selling dollars increases both volatilities, however, for the purchases, these did not show significant change. As for signaling effects, through implied volatility and risk reversal, effects are not relevant. We conjecture that the irrelevance of this interventions is due to the lack of credibility of the brazilian monetary policy

Submitted by LEANDRO NOGUEIRA (leandrorn@gmail.com) on 2014-08-28T22:16:08Z No. of bitstreams: 1 Dissertacao - Leandro Nogueira - Final v4 revisada.pdf: 519776 bytes, checksum: 82bc4931efb8bca136b105499bc136b4 (MD5) / Approved for entry into archive by Gisele Gammaro (gisele.gammaro@fgv.br) on 2014-08-29T17:23:52Z (GMT) No. of bitstreams: 1 Dissertacao - Leandro Nogueira - Final v4 revisada.pdf: 519776 bytes, checksum: 82bc4931efb8bca136b105499bc136b4 (MD5) / Approved for entry into archive by Gisele Gammaro (gisele.gammaro@fgv.br) on 2014-08-29T17:40:54Z (GMT) No. of bitstreams: 1 Dissertacao - Leandro Nogueira - Final v4 revisada.pdf: 519776 bytes, checksum: 82bc4931efb8bca136b105499bc136b4 (MD5) / Made available in DSpace on 2014-09-24T12:49:38Z (GMT). No. of bitstreams: 1 Dissertacao - Leandro Nogueira - Final v4 revisada.pdf: 519776 bytes, checksum: 82bc4931efb8bca136b105499bc136b4 (MD5) Previous issue date: 2014-05-28 / This work aims to investigate the effect of foreign exchange interventions by the Central Bank of Brazil on the intraday level of the exchange rate in Brazil. An event study approach is applied, correlating the tick-by-tick quotations of traded dollar future contracts at BM&FBOVESPA with the moment the interventions occurred, from October 2011 to March 2014. The analysis considered not only the moment of the intervention but also the moment of the announcement. Results indicated that the market reacts differently to each type of intervention, and reactions are sharper when interventions are not previously announced to the market. Interventions via currency swap or dollar spot generated significant and relevant effects on the level of the exchange rate. On the other hand, interventions that had sale/purchase auction with repurchase/resale commitment did not affect significantly the exchange rate. / Este trabalho tem como objetivo investigar o efeito das intervenções cambiais realizadas pelo Banco Central do Brasil sobre o nível intradiário da taxa de câmbio no Brasil. Para isso é utilizada uma abordagem de estudo de eventos, cruzando as cotações tick-by-tick dos contratos de dólar futuro negociados na BM&FBOVESPA com o instante em que ocorreram as intervenções, no período de outubro de 2011 a março de 2014. Foram considerados nas análises não apenas o momento da intervenção como também o momento do anúncio. Os resultados indicaram que o mercado reage de forma distinta a cada tipo de intervenção, sendo a reação acentuada quando a intervenção não é anunciada previamente ao mercado. As intervenções via swap cambial ou dólar pronto geraram efeitos significativos e relevantes no nível da taxa de câmbio. Por outro lado, as intervenções através de leilão de linha não afetaram significativamente a taxa de câmbio.

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.

The objective of this study is to use the post-Keynesian outline to explain the politics of Brazilian exchange regime, and the behavior of the real\'s exchange rate in relation to the American dollar from January 1999 to December 2012. In the face of the importance of exchange rates as one of the most important relative prices to an accelerating global economy, the study behind the causes of their behavior is a much-discussed subject in economic literature. After the collapse of the Bretton Woods accord, traditional theoretic models were developed to explain the high volatility of currency exchanges. Nevertheless, the lack of consensus in these models allowed the Keynesian theory to be incorporated into the new global reality, which is characterized by both a greater integration of markets and capital volatility. The Keynesian theory has in its foundation, a mental model and the diagram Z-D. Both of these are supported by variables such as the adoption of norms and conventions, bandwagon effects, and social and psychological factors as inputs into the processes of building up expectations and decision-making. The result was obtained, once the post-Keynesian model showed itself to be plausible in the explanation of the foreign exchange dynamics for the period under consideration. / O objetivo deste estudo é utilizar o arcabouço pós-keynesiano para explicar a política cambial brasileira e o comportamento da taxa de câmbio do real em relação ao dólar americano de janeiro de 1999 a dezembro de 2012. Diante da importância da taxa de câmbio como um dos mais importantes preços relativos da economia em ambiente de globalização acelerada, a busca pelos determinantes do seu comportamento é tema amplamente discutido na literatura econômica. Modelos teóricos tradicionais foram desenvolvidos após o colapso de Bretton Woods para explicar a alta volatilidade cambial. Contudo a falta de consenso desses modelos permitiu que a teoria keynesiana fosse adaptada para a nova realidade mundial, caracterizada pelas elevadas integração dos mercados e volatilidade dos capitais, trazendo como fundamentos a elaboração de um modelo mental e o diagrama Z-D. Ambos estão respaldados em variáveis como a adoção de convenções, efeitos bandwagon e fatores sociais e psicológicos para os processos de elaboração de expectativas e tomada de decisão. O resultado obtido foi alcançado, uma vez que o modelo teórico pós-keynesiano mostrou-se como uma alternativa plausível para explicar a dinâmica da taxa de câmbio no Brasil no período estudado. / Mestre em Economia