The activity of algorithmic trading is increasing steadily across capital markets due to technological developments. This thesis analyses the common algorithmic intraday trading strategies of momentum, mean reversion, and statistical arbitrage. Conclusions were drawn from a literature review of prior and current research. Algorithmic arbitrage was found to be the most profitable of the three evaluated strategies, because it typically takes place in high frequency trading. Furthermore, this thesis analyses the impact of algorithmic trading on market liquidity and volatility. While the literature mainly agrees that algorithmic trading has a positive effect on liquidity, its impact on volatility is subject to discussion. Algorithmic and high-frequency trading carry risks that will likely lead to new future regulations.:1 INTRODUCTION 1.1 Background 1.2 Problem description and goal of the research 1.3 Structure of the thesis and research questions 2 THEORETICAL FUNDAMENTALS 2.1 Intraday trading 2.1.1 Definition 2.1.2 Characteristics of intraday trading markets 2.1.3 Financial instruments of intraday trading 2.1.4 Goals and profit chances of individual intraday traders 2.2 Algorithmic trading 2.2.1 Algorithm definitions 2.2.2 Algorithmic trading definitions 2.2.3 High-frequency trading 2.2.4 Characteristics of algorithmic trading and high-frequency trading 2.2.5 Trading algorithm characteristics 3 METHODOLOGY 3.1 Data collection 3.2 Data analysis 4 ALGORITHM-BASED INTRADAY TRADING STRATEGIES AND THEIR PROFIT POTENTIAL 4.1 Momentum strategy 4.1.1 Definition and basic principle of the strategy 4.1.2 Underlying theories of the momentum strategy 4.1.3 Selected studies of an algorithmic intraday momentum strategy 4.2 Mean reversion strategy 4.2.1 Definition and basic principle of the strategy 4.2.2 Underlying theories of the mean reversion strategy 4.2.3 Relation of mean reversion and momentum 4.2.4 Selected studies of an algorithmic intraday mean reversion strategy 4.3 Arbitrage strategy 4.3.1 Definition and basic principle of the strategy 4.3.2 Types of Arbitrage 4.3.3 Underlying theories of the arbitrage strategy 4.3.4 Selected studies of an algorithmic intraday statistical arbitrage strategy 4.4 Further trading algorithms and strategy components 4.4.1 Speed Advantage algorithms 4.4.2 Accuracy Advantage Algorithms 5 IMPACT OF ALGORITHMIC TRADING ON MARKET LIQUIDITY AND VOLATILITY 5.1 Market liquidity 5.1.1 Definition 5.1.2 Bid-Ask Spread 5.1.3 Dimensions of liquidity 5.1.4 The impact of algorithmic trading on market liquidity 5.2 Market volatility 5.2.1 Definition and characteristics of volatility 5.2.2 The impact of algorithmic trading on market volatility 6 CONCLUSION AND FUTURE DEVELOPMENTS OF ALGORITHMIC TRADING PUBLICATION BIBLIOGRAPHY DECLARATION OF HONOR

The aim of this master’s thesis is to determine the torque momentum of the jet deflector of the Pelton turbine using a two-phased CFD simulation. The reason for determining the moments is the inaccurate formula according to a standard, whose results are assumed to be too excessive. The first part is devoted to theory of Pelton turbine and its main components. The second part contains the design of deflector, explanation of the used k- turbulence method and the Volume of Fluid two-phased flow modeling method. The results of the simulation are presented at the end of the thesis.

Nowadays, the climate change issue is becoming more and more actual in our society. Increase of the average temperature on Earth in a couple of degrees could have catastrophic consequences. One of the possible solutions seems to be renewable energy sources as photovoltaics, biomass of water and wind energy. This thesis deals with the aerodynamics problems of wind energy source. Wind turbines transform kinetic energy of wind to mechanical power. The efficiency is physically limited to 59,26 %, but in reality, it is getting around 45 %. This is caused by three biggest losses inducted in wind turbines as wake losses, losses due to finite number of blades and drag losses. Based on analytical relationships and including these three losses the aerodynamics blade design is conducted. Later, the numerical simulations show higher values of drag and lower values of lift force on airfoil compared to analytical calculation. In fact, percentage deviations are acceptable and to conclude, the numerical analysis was able to relatively accurately simulate force action of free stream velocity on the blade.

This thesis is devoted to the design of hydraulic retarder, with emphasis on CFD simulation. The thesis is based on simulation of flow in hydraulic retarder with included transformation of heat. The generation of heat at breaking with hydraulic retarder significantly influences amount of created moment. With use of simulations the anticipated breaking moment emerging on break of a spinning wheel from the design is verified. A group of brake models, in which the hydraulic break belongs to, is introduced in the beginning chapters. This following chapter focuses on design of simulation model that corresponds with the process of breaking. Simple 1D mathematical model for filling the brake with oil using compressed air is introduced.

A galaxy's angular momentum is known to be correlated with its morphology: at a given mass, spiral galaxies have higher angular momenta than elliptical galaxies. A galaxy's angular momentum is also largely set by its formation history: in particular, how much gas and the kinematic state of the gas that both accretes onto it and is expelled in galactic outflows from AGN and supernovae. All gas inflowing to and outflowing from the galaxy interacts with gas in the region surrounding the galaxy called the circumgalactic medium (CGM), which means at a fundamental level, the CGM controls the angular momentum of the galaxy. Therefore, to really understand the origins of galactic angular momentum, it is necessary to understand the angular momentum of the CGM itself. In this dissertation, I present a series of projects aimed at studying angular momentum in the CGM using the Illustris and IllustrisTNG cosmological hydrodynamical simulations suites. In an appendix, I also present a project on searching a survey of neutral hydrogen for previously undetected ultra-faint dwarf galaxies in and around the Milky Way's CGM. First, to understand how present-day galaxies acquire their observed angular momentum, I analyze the evolution of the angular momentum of Lagrangian gas mass elements as they accrete onto dark matter halos, condense into Milky Way-scale galaxies, and join the z=0 stellar phase of those galaxies. I find that physical feedback from the galaxy is essential in order to produce reasonable values of galactic angular momentum, and that most of the effects of this feedback occur in the CGM, necessitating studying the angular momentum of the CGM itself. Following on from this result, I then characterize the angular momentum distribution and structure within the CGM of simulated galaxies over a much larger range of halo masses and redshifts, with the goal of determining if there are common angular momentum properties in CGM populations. I indeed find that the angular momentum of the CGM is larger and better aligned around disk galaxies that themselves have high angular momentum. I also identify rotating structures of cold gas that are generally present around galactic disks. This clear connection of the CGM to the galaxy motivated a detailed comparison to observations of cold CGM gas. I perform this comparison in the following chapter where I use the highest-resolution simulation from the IllustrisTNG suite of cosmological magneto-hydrodynamical simulations to generate synthetic observations of cold CGM gas around star-forming galaxies in order to study kinematics and compare them to line-of-sight observations of cold gas near comparable galaxies. With this direct comparison to observations of the CGM, I show that IllustrisTNG produces rotating CGM gas consistent with observations to a high degree. In the penultimate chapter I present unpublished work where I begin to examine angular momentum evolution in the CGM on much finer timescales than can be resolved with the cosmological simulations I have used thus far. Preliminary results suggest that gas can experience large changes in angular momentum very quickly, and that these changes may be connected to corresponding changes in the temperature of the gas. Finally, I conclude by summarizing my main results and briefly discussing what questions still remain unanswered and my plans and strategies for pursuing these questions in my future work.

The problem associated with value shares is that they may remain undervalued for an extended period of time. Therefore, determining when to buy value shares has been the focus of many investors and academics. Studies have determined fundamentals provide valuable information when selecting shares while price momentum provides a decent timing indicator. This research examines a novel share selection approach which seeks to combine fundamentals with momentum to obtain a leading timing indicator.This research seeks to determine if the fundamental momentum indicator can successfully and consistently separate value winners from value losers. The value portfolios were formed using a composite valuation measure made of three separate indicators. The Value portfolio was then ranked based on the strength of the fundamental momentum indicator.This research identified that Leverage Factor and Current Ratio momentum was able to separate value winners from losers in a consistent manner. However, only Current Ratio momentum was capable of creating portfolios which could consistently outperform the market. Therefore, this research identified that fundamental momentum could be used as a timing indicator when acquiring value shares. / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

Value shares are notorious for remaining stagnant for extended periods of time, forcing value investors to remain locked in their investments often for excessive periods. This research study applied the price acceleration momentum indicator of Bird and Casavecchia (2007) on a value portfolio with the objective of improving the timing of value share acquisitions.A time series study was conducted, taking into account the top 160 JSE shares over the period 1 January 1985 to 31 August 2012. A price acceleration momentum indicator was applied to enhance a value portfolio formed on the basis of book-tomarket ratio, dividend yield and EBITDA/EV. Cumulative average abnormal returns (CAAR) were used to compare portfolio results statistically.A substantial contribution is made to the literature by proving that a value-only portfolio can be significantly enhanced by the combination of price acceleration momentum. Results indicated an increase in CAAR from 199.83% to 321.29%. Risk-adjusted returns (Sharpe ratio) were also improved without the detriment of increased share price volatility (standard deviation). This research study further contributes to the literature by proving that a price acceleration momentum indicator adds no additional value over a value portfolio combined with ordinary price momentum. / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

To simulate dispersed two-phase flows CFD tools for predicting the local particle number density and the size distribution are required. These quantities do not only have a significant effect on rates of mixing, heterogeneous chemical reaction rates or interfacial heat and mass transfers, but also a direct relevance to the hydrodynamics of the total system, such as the flow pattern and flow regime. The Multiple Size Group (MUSIG) model available in the commercial codes CFX-4 and CFX-5 was developed for this purpose. Mathematically, this model is based on the population balance method and the two-fluid modeling approach. The dispersed phase is divided into N size classes. In order to reduce the computational cost, all size groups are assumed to share the same velocity field. This model allows to use a sufficient number of particle size groups required for the coalescence and breakup calculation. Nevertheless, the assumption also restricts its applicability to homogeneous dispersed flows. We refer to the CFX MUSIG model mentioned above as the homogeneous model, which fails to predict the correct phase distribution when heterogeneous particle motion becomes important. In many flows the non-drag forces play an essential role with respect to the bubble motion. Especially, the lift force acting on large deformed bubbles, which is dominated by the asymmetrical wake, has a direction opposite to the shear induced lift force on a small bubble. This bubble separation cannot be predicted by the homogeneous MUSIG model. In order to overcome this shortcoming we developed an efficient inhomogeneous MUSIG model in cooperation with ANSYS CFX. A novel multiple velocity multiple size group model, which incorporates the population balance equation into the multi-fluid modeling framework, was proposed. The validation of this new model is discussed in this report.

Turbulence dispersion is a phenomenon of practical importance in many multiphase flow systems. It has a strong effect on the distribution of the dispersed phase. Physically, this phenomenon is a result of interactions between individual particles of the dispersed phase and the continuous phase turbulence eddies. In a Lagrangian simulation, a particle-eddy interaction sub-model can be introduced and the effect of turbulence dispersion is automatically accounted for during particle tracking. Nevertheless, tracking of particleturbulence interaction is extremely expensive for the small time steps required. For this reason, the Lagrangian method is restricted to small-scale dilute flow problems. In contrast, the Eulerian approach based on the continuum modeling of the dispersed phase is more efficient for densely laden flows. In the Eulerian frame, the effect of turbulence dispersion appears as a turbulent diffusion term in the scalar transport equations and the so-called turbulent dispersion force in the momentum equations. The former vanishes if the Favre (mass-weighted) averaged velocity is adopted for the transport equation system. The latter is actually the total account of the turbulence effect on the interfacial forces. In many cases, only the fluctuating effect of the drag force is important. Therefore, many models available in the literature only consider the drag contribution. A new, more general derivation of the FAD (Favre Averaged Drag) model in the multi-fluid modeling framework is presented and validated in this report.

Tidal energy represents a promising resource for the future energy mix. For harnessing tidal currents free stream horizontal axis turbines have been investigated for some years. The acting physics is very similar to the one of horizontal axis wind turbines, with the additional phenomenon of cavitation, which causes performance reduction, flow induced noise and severe damages to the turbine blade and downstream structures. The paper presents an enhanced semi-analytical model that allows the prediction of the performance characteristics including cavitation inception of horizontal axis tidal turbines. A central component is the well-known blade element momentum theory which is refined by various submodels for hydrofoil section lift and drag as a function Reynolds number and angle of attack, turbine thrust coefficient, blade hub and tip losses and cavitation. Moreover, the model is validated by comparison with comprehensive experimental data from two different turbines. Predicted power and thrust coefficient characteristics were found to agree well with the experimental results for a wide operational range and different inflow velocities. Discrepancies were observed only at low tip speed ratios where major parts of the blades operate under stall conditions. The predicted critical cavitation number is somewhat larger than the measured, i.e. the prediction is conservative. As an overall conclusion the semi-analytical model developed seems to be so fast, accurate and robust that it can be integrated in a future workflow for optimizing tidal turbines.