The aim of this thesis is to improve risk measurement estimation by incorporating extra information in the form of constraint into completely non-parametric smoothing techniques. A similar approach has been applied in empirical likelihood analysis. The method of constraints incorporates bootstrap resampling techniques, in particular, biased bootstrap. This thesis brings together formal estimation methods, empirical information use, and computationally intensive methods. In this thesis, the constraint approach is applied to non-parametric smoothing estimators to improve the estimation or modelling of risk measures. We consider estimation of Value-at-Risk, of intraday volatility for market risk, and of recovery rate densities for credit risk management. Firstly, we study Value-at-Risk (VaR) and Expected Shortfall (ES) estimation. VaR and ES estimation are strongly related to quantile estimation. Hence, tail estimation is of interest in its own right. We employ constrained and unconstrained kernel density estimators to estimate tail distributions, and we estimate quantiles from the fitted tail distribution. The constrained kernel density estimator is an application of the biased bootstrap technique proposed by Hall & Presnell (1998). The estimator that we use for the constrained kernel estimator is the Harrell-Davis (H-D) quantile estimator. We calibrate the performance of the constrained and unconstrained kernel density estimators by estimating tail densities based on samples from Normal and Student-t distributions. We find a significant improvement in fitting heavy tail distributions using the constrained kernel estimator, when used in conjunction with the H-D quantile estimator. We also present an empirical study demonstrating VaR and ES calculation. A credit event in financial markets is defined as the event that a party fails to pay an obligation to another, and credit risk is defined as the measure of uncertainty of such events. Recovery rate, in the credit risk context, is the rate of recuperation when a credit event occurs. It is defined as Recovery rate = 1 - LGD, where LGD is the rate of loss given default. From this point of view, the recovery rate is a key element both for credit risk management and for pricing credit derivatives. Only the credit risk management is considered in this thesis. To avoid strong assumptions about the form of the recovery rate density in current approaches, we propose a non-parametric technique incorporating a mode constraint, with the adjusted Beta kernel employed to estimate the recovery density function. An encouraging result for the constrained Beta kernel estimator is illustrated by a large number of simulations, as genuine data are very confidential and difficult to obtain. Modelling high frequency data is a popular topic in contemporary finance. The intraday volatility patterns of standard indices and market-traded assets have been well documented in the literature. They show that the volatility patterns reflect the different characteristics of different stock markets, such as double U-shaped volatility pattern reported in the Hang Seng Index (HSI). We aim to capture this intraday volatility pattern using a non-parametric regression model. In particular, we propose a constrained function approximation technique to formally test the structure of the pattern and to approximate the location of the anti-mode of the U-shape. We illustrate this methodology on the HSI as an empirical example.

This diploma thesis deals with the testing of the success of individual candlestick patterns of technical analysis. In the first part the theoretical basis of technical analysis and candlestick patterns will be presented. The second part will define basic candlestick patterns and their program definition. Backtesting on historical data will verify the success of individual candlestick patterns on EURUSD currency pair. In the third part, a trading system will be built based on the results of the testing of the candlestick patterns. An optimal setting of the trading system will be proposed. The aim of the thesis is to test success rate of candlestick patterns and find out if the candlestick pattern trading system is able to generate profits.

The purpose of this thesis is to analyze market making trading strategy and explore possibilities of using such strategy for intraday trading on the markets with the limit order book. In theoretical part we prove profitability of specified market making strategy under certain assumptions and moreover analyze effect of change of parameters on the performance of the strategy using one dimensional stochastic processes. Next the assumption of constant fair price is relaxed which leads to deterioration of profitability of these strategies. Because one dimensional stochastic processes do not capture price creation in the real world, we propose stochastic model of intraday trading in the next chapter. Advantage of this approach is that we can observe state of the limit order book during whole trading session and therefore better simulate conditions for test of the strategies. Although proposed model exhibit many phenomenons observed in empirical data like volatility clustering, in some situations it produces unrealistically high spread caused by the construction of the model, because arrivals of market and limit orders are modeled as independent processes. Another disadvantages are need of relatively extensive data for model calibration and high sensitivity of model to change of parameters. Lastly we test three different market making strategies under different choice of model parameters and show that expected profitability is positive in all cases.

In this diploma thesis I am going to deal with building the business strategy using methods of technical and orderflow analysis. Then I am going to test this strategy on the market E-mini Nasdaq 100 in simulation mode and then in real market. The goal of this thesis is to determine if the results achieved in simulation mode can be also achieved in real market where the trader operates a number of negative factors such as stress, nervousness, or risking his own money.

Diplomová práce se zaměřuje na vymezení teoretické a praktické podstaty intradenního obchodování. To jest použití nástrojů technické analýzy, představení obchodních systémů, výběr brokera a aplikace poznatků a softwarové podpory při uskutečňování obchodů na termínových trzích s důrazem na podkladový nástroj – indexy. Jako o velice důležité součásti intradenního obchodování je také pojednáno o psychologii tradingu, která navzdory své zdánlivé nepodstatnosti je jednou z nejdůležitějších aspektů ziskového obchodování na reálných trzích současně s kvalitním money managementem a řízením rizika. Na základě výzkumu je vytvořen a v této práci prezentován intradenní obchodní systém určen pro ziskové obchodování na burzovních trzích – indexech, a výsledky a zkušenosti s jeho reálným nasazením na světových trzích.

The main aim of this diploma thesis is to analyze the options of trading Forex by combining fundamental and technical analysis in connection to intraday trading. One of the goals is to identify pros and cons of these analysis. Based on the gained information, design trading portfolio consisting of different strategies. Each strategy will be programmed as automated trading system and optimized and tested on historical price data.

Technical analysis as a sophisticated form of forecasting technique has a varying popularity in the academic and business world. In the past, users were sceptical about technical trading rules and their performance. This is substantiated by the acceptance of the Efficient Market Hypothesis and mixed empirical findings about technical analysis in widely cited studies. The flag pattern is seen as one of the most significant spread chart patterns amongst stock market charting analysts. The present research validates a trading rule based on the further development of flag pattern recognition. The research question concentrates on whether technical analysis applying the flag pattern can outperform international stock markets indices and prove the inefficiency of these markets. The markets observed are represented by the corresponding indices DAX (Germany), DJIA (United States) and IBEX (Spain). The design of the trading rule presents several changes with respect to previous academic works: The wide sample used when considering intraday data, together with the confiuration of some of the variables and the consideration of risk, concludes that the trading rule provides greater positive risk-adjusted returns than the buy-and-hold strategy which is used as a benchmark. The reported positive results strengthen the robustness of the conclusions reached by other researchers. / El análisis técnico es una forma sofisticada de técnica de predicción cuya popularidad ha ido variando en el mundo académico y de los negocios. En el pasado, los usuarios eran bastante escépticos respecto de las reglas técnicas de trading y su performance. Todo esto, se encuentra sustentado por la aceptación de la hipótesis del mercado eficiente y descubrimientos empíricos mixtos sobre el análisis técnico, que se mencionan en un número amplio de estudios. El patrón bandera es visto como uno de los patrones gráficos más significativo y difundido entre los analistas técnicos de mercado. El presente estudio valida una regla de trading basada en el desarrollo futuro del reconocimiento gráfico del patrón bandera. La pregunta de investigación se centra en si el análisis técnico basado en el patrón bandera puede batir los índices internacionales de mercado y probar, de esta manera, la ineficiencia de dichos mercados. Los mercados observados son representados por los correspondientes índices DAX (Alemania), DJIA (Estados Unidos) e IBEX (España). El diseño de la regla de trading presenta varios cambios y novedades con respecto a trabajos académicos previos. La amplia muestra usada al considerar los datos intradía, junto con la configuración de algunas variables y la consideración del riesgo, confirman que la regla de trading proporciona mejores, y más ajustadas al riesgo, rentabilidades positivas que la estrategia de buy-and-hold que se utiliza como referencia. Los resultados positivos corroboran la robustez de las conclusiones a las que también se llegan en otros trabajos. / L'anàlisi tècnica és una forma sofisticada de tècnica de predicció, la popularitat de la qual ha anat variant al món acadèmic i dels negocis. En el passat, els usuaris eren bastant escèptics respecte de les regles tècniques de trading i la seva performance. Tot això, es troba sustentat per l'acceptació de la hipòtesi del mercat eficient i descobriments empírics mixts sobre l'anàlisi tècnica, que s'esmenten en un nombre ampli d'estudis. El patró bandera és vist com un dels patrons gràfics més significatiu i difós entre els analistes tècnics de mercat. El present estudi valida una regla de trading basada en el desenvolupament futur del reconeixement gràfic del patró bandera. La pregunta de recerca se centra en si l'anàlisi tècnica basada en el patró bandera pot batre els índexs internacionals de mercat i provar, d'aquesta manera, la ineficiència d'aquests mercats. Els mercats observats són representats pels corresponents índexs DAX (Alemanya), *DJIA (Estats Units) i IBEX (Espanya). El disseny de la regla de trading presenta diversos canvis i novetats pel que fa a treballs acadèmics previs. L'àmplia mostra usada en considerar les dades intradia, juntament amb la configuració d'algunes variables i la consideració del risc, confirmen que la regla de trading proporciona millors, i més ajustades al risc, rendibilitats positives que l'estratègia de buy-and-hold que s'utilitza com a referència. Els resultats positius corroboren la robustesa de les conclusions a les quals també s'arriben en altres treballs. / Michniuk, K. (2017). PATTERN RECOGNITION APPLIED TO CHART ANALYSIS. EVIDENCE FROM INTRADAY INTERNATIONAL STOCK MARKETS [Tesis doctoral]. Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/78837

[pt] Esta dissertação examina os efeitos dos mecanismos de negociação e do comportamento dos agentes no processo de formação dos preços das ações do mercado brasileiro. As evidências iniciais sugerem que o retorno, a variância e o volume de negócios das ações brasileiras seguem um padrão de comportamento em forma de U ao longo do dia de transação. Os retornos de abertura e fechamento são significativamente altos e positivos. A razão de variância dos retornos (abertura vs fechamento) parece ser consistentemente superior a um. Também foi possível verificar que as volatilidades dos retornos em períodos de transação são superiores às calculadas para períodos de não funcionamento do mercado de pregão. Este fato estilizado parece bastante consistente com as características de liquidez do mercado brasileiro. No entanto, ao ajustarmos para não normalidade e dependência serial dos dados, os testes estatísticos não conseguiram comprovar os padrões identificados. / [en] This dissertation studies the effects of trading mechanisms and agents behavior in the price formation process of stocks traded on the Brazilian Stock Exchange. One interesting finding is that return, volatility and volume of stock prices follow an U-shaped pattern over the trading day. Opening and closing returns are large and positive. The variance ratio (opening versus closing) appears to be consistently higher than one. Our evidence shows that volatility is higher for returns during trading periods what seems to be consistent with the liquidity behavior of the Brazilian market. However, adjusting for non-normality and serial dependence, the statistical tests could not provide strong support for the identified patterns.

The impact of the introduction of derivatives on the underlying stock is a debatable topic among the researchers. The issue is quite controversial as contradictory results have been obtained by researchers in various stock markets. The purpose of this study is to examine the volatility and the liquidity effect on the underlying stock after the introduction of index options. We have investigated volatility and liquidity effect by collecting sample data from the stock markets of India, Korea, Taiwan, Hong Kong, Japan, Thailand, Malaysia and Singapore, only markets which are offering index options in Asia.   Applying the generalized autoregressive conditional heteroscedasticity (GARCH) model, we have examined the conditional volatility of intraday (high frequency) returns for each stock market, before and after the introduction of index options. We have also examined the liquidity effect through t-test and Wilcoxon Signed Rank Test. We used t-test to determine the mean differences between the trading volume of pre-index and post-index options periods.    By comparing the estimated parameters and the coefficient of conditional volatility in pre and post period of index options introductions, we have examined that the derivatives trading dramatically increases the persistence of the conditional volatility for all the selected stock markets. We also observed mixed evidence in context to liquidity effect. In the stock exchanges of Hong Kong, Japan, Korea, Taiwan and Thailand, we found that the respective markets become more liquid in the post index options periods in contrast to pre index options period. In these markets trading volume increased significantly after the introduction of index options.  On the other hand, India, Malaysia and Singapore stock markets show no liquidity effect in the post-index option period.   Finally, the empirical results of our study conclude that the introduction of index options on the selected Asian stock markets have increased in stock return volatility and liquidity on the underlying stocks.

This paper firstly constructed an order-driven market probability model of informed trading to analyze the correlation between informed trade and return of assets and the trade-price effect. Secondly, using the probability model of informed trading, we constructed a probability model of arbitrage trading in order-driven call market, which could analyze the stabilization fund and the arbitrage trade, to investigate whether the government¡¦s interference measures were necessary and whether the intervened timepoints conformed to the set-up spirit of the stabilization fund¡Xto intervene while falling and not to while rising. Finally, we set up a ratio empirical model of informed trading which could analyze the intraday trade scale of each trade section of informed traders and uninformed traders, to analyze the change of intraday trade scale of each type of investors while trade frequency changed to explore the factors of market performance. The main results are as follows respectively: Regarding the correlation analysis of informed trading and return of assets and trade-price effect, we found that (1) in the short-term (intraday, day) there was no relationship between probability of informed trading and return of assets, whereas in the mid-term probability of informed trading was correlated with return of assets although the influence impact was not as high as prior researches (Hasbrouck (1991a, b), Glosten and Harris (1988)) expected. (2) The intraday probability of informed trading of good news days was obviously higher than that of bad news days, which indicated that unbalanced buy-sell informed trade phenomenon existed in the market. Regarding the investigation of whether the intervened timepoints of stabilization fund conformed to the set-up spirit of the stabilization fund¡Xto intervene while falling and not to while rising, the main results are: (1) the individual stocks intervened by the stabilization fund had slightly smaller volatility, slightly worse efficiency, better returns and significantly larger liquidity. (2) There was no significant difference in the probability of arbitrage trading between the targets intervened by the stabilization fund and the other companies, nor in the performance (including volatility, efficiency, liquidity and return) between both. (3) The stabilization fund and arbitragers tended to conduct transactions in the opening period, which corresponds with the proposition of Schwartz (1988). (4) We also found that compared with other arbitrage trade, the trade of the stabilization fund was more correlated with the price up-down of the market, but not with that of individual stocks. In the analysis of the intraday trade scale change of each type of investors while trade frequency changed, the main findings are: (1) the slowdown of trade frequency caused smaller intraday trade ratio and worse performance in the opening, but it increased the intraday trade ratio and performance of the closing period, which was especially significant in the high-liquidity companies. (2) The increase of trade frequency could raise the liquidity of the high-liquidity and middle-liquidity companies. As to the low-liquidity companies, although the increase of trade frequency increased the liquidity, it raised their volatility and decreased their price finding speed. The main contributions of this paper¡¦s models are indicated as follows. Regarding a probability model of informed trade: first, it improves the prior ones by bringing the order-driven call market model; second, the addition of informed traders¡¦ possibility to use limit order in the model set-up better corresponds to the real market; third, the model can calculate the probability of informed trading of intraday trade section and thus can analyze the intraday and intraweek behavior or phenomenon of informed traders and the market; fourth, the model estimates the probability of informed trading using trade data, not order data, and thus avoids the probability of informed trade estimation error caused by order trade risk; fifth, the model calculates the probability of informed trade of individual stock after separating good and bad news and thus can analyze buy-sell informed trade behavior. Regarding the probability model of arbitrage trading, it provides a method to analyze whether self-stabilization mechanism-arbitrage trade exists in the market to investigate on the necessity of the stabilization fund and its intraday trade behavior. Finally, regarding the ratio empirical model of informed trading, since this paper calculated the section informed and uninformed trade ratio by simulating uninformed traders¡¦ intraday trade strategy and by extracting the ratio of the trade volume variation of intraday trade section explained by uninformed traders¡¦ intraday behavior variation using regression analysis, it can avoid the deficiency that every trade volume was regarded as from a single trader in the prior order empirical model of informed trading.