Purpose: Our main purpose is to explore, describe and analyze the organizational conduct when implementing automated trading systems (ATS) in companies, investigate the organizational challenges arising from this, and the effects these have on a successful diffusion. As the extent of implementing ATS in the Swedish financial industry has not been explored to any greater extent, it is therefore also imperative to explore this; which will be seen as a secondary purpose to this article. Background: The study is based on innovation and diffusion theories, as well as those of power structures and organization. Further, an explanation of ATS and its dynamics is provided and discussed to facilitate a definition of the term. Method: The research has been carried out as an exploratory, descriptive and analytical qualitative study. We have conducted case studies of 7 companies that are implementing, or evaluating the implementation, of ATS. The data was collected through interviews. Conclusion: The majority of the case companies are in the clarifying and routinizing stages of the innovation process. What is found unique with ATS is that it can be implemented partly. The dimensions found central to a smooth diffusion in the companies are the required level of competence-sharing and complexity of implementation.

本文主要針對台幣兌換美元的匯價，採用移動平均法則給定的交易訊號模擬交易，透過模擬交易得到顯著異於零的超額報酬，試著利用條件資本資產定價模型解釋超額報酬與風險之間的關係。實證結果顯示：在傳統資本資產定價模型下，超額報酬無法透過承擔風險所獲得風險貼水來解釋，但加入金融危機事件的影響後，發現在金融危機期間，市場風險係數下降，異常報酬增加，表示在此期間，即使市場大盤表現不佳，技術分析仍能成功捕捉台幣兌換美元的匯價變動趨勢，使金融危機期間的技術交易報酬平均高於金融危機前後。

<p><strong><p><strong>Purpose: </strong></p><p><em>Our main purpose is to explore, describe and analyze the organizational conduct when implementing automated trading systems (ATS) in companies, investigate the organizational challenges arising from this, and the effects these have on a successful diffusion</em>. As the extent of implementing ATS in the Swedish financial industry has not been explored to any greater extent, it is therefore also imperative to explore this; which will be seen as a secondary purpose to this article.<strong></strong></p><p><strong>Background: </strong></p><p>The study is based on innovation and diffusion theories, as well as those of power structures and organization. Further, an explanation of ATS and its dynamics is provided and discussed to facilitate a definition of the term.</p><p><strong>Method: </strong></p><p>The research has been carried out as an exploratory, descriptive and analytical qualitative study.<strong> </strong>We have conducted case studies of 7 companies that are implementing, or evaluating the implementation, of ATS. The data was collected through interviews.</p><p><strong>Conclusion: </strong></p><p>The majority of the case companies are in the clarifying and routinizing stages of the innovation process. What is found unique with ATS is that it can be implemented partly. The dimensions found central to a smooth diffusion in the companies are the <em>required level of competence-sharing</em> and <em>complexity of implementation.</em></p></strong></p>

參考Fang 2003年研究方法架構，我們檢驗了結合策略(結合技術分析法則和時間序列模型)應用在六個亞洲股票市場。由於技術分析法則和時間序列模型皆可利用過去歷史資訊來預測報酬，所以結合策略的實證結果優於技術分析法則和時間序列模型。此篇中超額報酬的計算是與買進持有相比較下未考慮交易成本的超額報酬。實證結果顯示，結合策略在完整樣本中可以成功的預測資產報酬，在六個國家的平均上，結合策略的超額報酬為0.19%優於技術交易法則下的0.13%和時間序列模型下的0.17%。並且，發現在新興國家如台灣、泰國、馬來西亞和南韓的預測能力比在已開發國家市場如香港和日本還要來的好。預測能力可被低階的自我相關係數解釋。除此之外，發現我們的預測能力受到非同步交易的影響。非同步交易所造成的衡量誤差使得超額報酬下降，但是我們的預測能力還是存在的。 / Following Fang and Xu (2003), we examine trading strategies combining technical trading rules and times series forecasts on six Asian stock markets. Since both technical trading rules and time series models can exploit predictable components as function of past prices or returns, the combined strategies outperform both technical trading rules and time series forecasts. The excess returns before transaction costs for each rule and country are compared to a passive buy-and-hold strategy. The combined strategies are quite successful in predicting asset returns in full samples. On average the buy-sell returns for combined strategies are 0.19% much higher than 0.13% for technical trading rules and 0.17% for time series models. Besides, we also find that all three rules have more explanatory power in emerging markets such as Taiwan, Thailand, Malaysia and Korea than more developed markets such as Japan and Hong Kong. The predictability can be explained by significant low-order autocorrelations in returns. Moreover, excess returns (pre-trading costs) for both time series models and combined strategies can be partially attributed to the measurement errors arising from non-synchronous trading. The non-synchronous trading bias reduces but does not eliminate the predictive power of combined strategies.

Digitaliseringen erbjuder utmaningar och möjligheter för såväl små som stora företag och driver inom partihandeln effektivisering, stordriftsfördelar och automatisering vilket bedöms leda till fortsatt konsolidering med färre och större företag. Forskning visar att förutsättningarna att hantera utmaningar och möjligheter ser olika ut beroende på olika faktorer som företagsstorlek, ålder, bransch och resurser. Det kan leda till digitala klyftor mellan dem som tar vara på möjligheterna och de som inte gör det. Utvecklingen behöver nödvändigtvis inte betyda att det är de moderna sektorer som förändras mest. Forskning visar på en utmanande situation när småföretag med begränsade resurser skall driva digitalisering till en högre nivå av digital mognad. Med bättre kunskap om hur förutsättningar ser ut kan ny viktig förståelse bidra till att förbättra möjligheten att hantera utmaningarna och ta vara på möjligheterna. För att undersöka detta har en kvalitativ studie genomförts på sex småteknikhandelsbolag i den mogna industrin. Vald teori bygger på Westerman, et al., (2014) digitala mognadsmodell med utgångspunkt i digital förmåga och ledarskapsförmåga.Forskningsresultatet som vald teori grundar sig på är baserad på den mogna industrin, vilket gör den relevant för uppsatsens problemformulering och forskarfråga. Studien i uppsatsen visarpå kundorienterade små teknikhandelsbolag med olika verksamheter som befinner sig i en liknande situation utifrån digitaliseringen. Företagen visar en medvetenhet om sina digitala brister och en ambition att utvecklas, men med en försiktighet och osäkerhet i genomförandet. Det kan kopplas samman med brist på främst relevant digital förståelse. Ambitionen leder till olika digitala insatser inom olika område, men en övergripande digital helhetssyn saknas. Samtidigt uttrycker företagen ingen noterbar oro för situationen, vilket ger en något motsägelsefull bild. Studien visar på ett samstämmigt resultat vilket stämmer överens med tidigare forskning, och kan indikera att tusentals andra småföretag befinner sig i samma båt. Teorin är relevant, men för att de studerade företagen skall kunna omsätta teorin praktiskt på ett sätt som leder dem framåt behöver de nå en högre digital mognad. Därför matchar det valda teoretiska perspektivet inte företagens behov i nuläget. Den enskilt största utmaningen är relaterad till brist på digital kompetens för att strategiskt driva digital omställning. Med en traditionell och relativt digitalt omogen kundsektor blir omvandlingstrycket lågt med för- och nackdelar. Företag inom teknikhandel skapar ett mervärde genom specialistkunnande, lokal marknadskännedom, kvalificerad teknisk rådgivning, lagertillgänglighet och hög service. Det är livsviktigt att fortsätta utveckla detta mervärde för ökad konkurrenskraft mot ökad digital transparens av prisjämförelser och mot resursstarka globala och digitala e-handelsplattformar. Genom att lyfta blicken över den vardagliga situationen bör företagen mer proaktivt fokusera på extern kundnytta och intern effektivitet. Med ökad förståelse om kunders digitala behov, kan företagen kraftsamla inom område med störst behov, vilket kan attrahera nya kunder med högredigital mognad som skapar incitament till att driva den digitala omställningen framåt. För Sveriges tusentals industriföretag är potentialen i dessa frågor stor och avgörande på sikt. / Digitalization offers challenges and opportunities for both small and large companies and drives efficiency, economies of scale and automation within the technical trade sector, which isexpected to lead to continued consolidation with fewer and larger companies. Research shows that the conditions for managing these challenges and opportunities are different depending on different factors such as company size, age, industry, and resources. This can lead to a situation where digitalization divides between those who seize the opportunities and those who don´t. The development does not necessarily mean that it is the modern sectors that are changing the most.Research shows a challenging situation, when small businesses with limited resources want to drive digital transformation to a higher level of digital maturity. With better knowledge of what the conditions look like, important understanding can improve the ability to manage the challenges and seize the opportunities. Therefore, a qualitative study has been carried out on six small technical trading companies in the mature industry. The chosen theoretical framework is based on Westerman, et al., (2014) digital maturity model with two dimensions, digital capabilities, and leadership capabilities. The research results on which the chosen theory is based is the mature industry, which makes the chosen theory relevant to the thesis's problem formulation and research question. The study shows customer oriented small technical trading companies with different businesses that are in a similar situation due to digitalization. Companies show an awareness of their digital shortcomings and an ambition to develop, but with caution and uncertainty in their implementation. This can be linked to a lack of mainly relevant digital understanding. The ambition leads to different digital efforts in different areas, but an overall digital holistic approach is lacking. At the same time, companies do not express any notable concern about the situation, which paints a somewhat contradictory picture. The study shows a consistent result, also with previous research, and may indicate that many thousands of similar small businesses are in the same boat. The theory is relevant, but for the companies studied to be able to put the theory into practice in a way that leads them forward, they need to reach a higher digital maturity. Therefore, the chosen theoretical perspective does not match the needs of the companies at present. The single largest challenge is related to a lack of digital skills to strategically drive digital transformation. With a traditional and relatively digitally immature customer sector, the conversion pressuresare low resulting in both advantages and disadvantages. Technical trading companies create added value through a specialist know-how, local market knowledge, qualified technical consultations, product availability and high service. It is vital to continue to develop this added value for increased competitiveness towards increased digital transparency of price comparisons and towards resource-rich global and digital e-commerce platforms. By looking above, the daily business, the companies should focus more proactively on external customer benefit and internal efficiency. With an increased understanding of customers' digital needs, companies can gather strength in areas with the greatest need, which can attract new customers with higher digital maturity who creates incentives to drive the digital transition forward.

Studying whether new trading rules provide higher returns than the buy-and-hold strategy is relevant for both finance theory and the asset management field. In this thesis, we examine the profitability of the newly proposed trading strategy based on the concept of price overreaction on eight developed stock indices. In comparison to other studies, we extend a definition of price overreaction with an inclusion of a minimum volatility threshold. Based on the Ordinary Least Squares model, we find that a volatility condition significantly improves the predictability of return reversals after positive price overreaction. For comparison with the buy-and-hold, we use Hansen's Superior Predictive Ability test that corrects the data snooping bias. Despite better annualised returns during in-sample and out-of-sample periods, the results show that the proposed strategy is not superior to the buy-and-hold at any stock index due to heavy reliance on the predictions of the largest declines. Nevertheless, we confirm the effect of decoupling (flight to quality) that can positively affect our strategy, but only when we do not take into account transaction costs. In the end, we summarize behavioural concepts that lie behind our strategy as the overreaction and decoupling are mostly justified with cognitive biases.

第一篇論述討論處置效果於選擇權市場的實證。處置效果係指投資人在處分資產時，傾向盡快賣出有未實現利得的投資部位，並且繼續持有有未實現損失的投資部位的行為偏誤現象。文獻上有關處置效果的實證多半集中在股票市場而少有於選擇權市場的實證。選擇權市場一般認為是具有私有資訊及較具備金融知識與經驗的投資人會選擇交易的市場。本文實證處置效果在指數選擇權市場上的影響。我們認為對於選擇權投資人來說，價內外程度是最重要且顯而易見的資訊，是很直觀可以衡量可能利得及損失的參考點。相較於傳統衡量根據過去交易價格所形成的未實現損益指標，價內外程度更能吸引投資人的注意力。以本文所提出的基於價內外程度衡量之賣出傾向指標(Moneyness-based Propensity to Sell, MPS)以及根據Grinblatt and Han (2005)所形成的調整後未實現資本利得指標(adjusted Capital Gains Overhang, ACGO)，每周將買權(賣權)排序成五等分後，我們發現持有最高等分的MPS或ACGO的買權(賣權)並賣出最低等分的買權(賣權)所形成的投資組合能夠產生超額報酬，顯示處置效果在指數選擇權市場亦存在。利用雙重排序(double sorting)的方法，我們發現MPS相較於ACGO，是較能夠在選擇權市場捕捉處置效果的指標。第二篇論述討論相似度衡量策略在期貨市場獲利的可能性。文獻上對於技術交易是否能產生顯著的報酬結果並不一致，然而實務上分析過去的價格走勢並使用技術指標所產生的訊號，是廣泛被接受的。現有測試技術交易指標獲利能力的文獻，通常假設投資人在實證測試的樣本期間一致性的參考某個交易指標產生的交易訊號並依此交易。然而實務上投資人可能同時參考不同的交易指標，每次交易可能根據不同交易指標所產生的訊號，且投資人會從歷史交易價格走勢中尋找類似於現有走勢的狀況，以這些歷史走勢接續的報酬率做為現有走勢未來報酬率的預期值。本文中我們提出一個較符合實際狀況的決策過程來描述技術交易投資人的行為，並重新檢視技術交易的獲利能力。我們提出的決策過程包含三個步驟。首先投資人建立一個特徵向量，包含投資人所認為足以預測未來報酬率並足以描述現況的指標。第二個步驟，投資人從過去某段期間中尋找相似於現有特徵向量的歷史狀況，並以這些歷史狀況接續的報酬率來作為預測的根據。最後，投資人依照過去的歷史狀況與現在有多相似，作為接續報酬率的加權權重，並以相似度權重加權平均報酬來做為未來報酬率的預測值，我們將依照相似度加權報酬所產生交易訊號所形成的策略稱為相似度衡量交易策略(Similarity-based trading rules)。我們檢視相似度衡量交易策略在九個不同的期貨市場中的獲利能力，在考量data-snooping及交易成本後，每日相似度衡量交易策略仍在其中六個市場中獲得顯著的報酬率。 / The disposition effect, which refers to the tendency of investors to selling their winning investments too soon and to hold losing investments too long, has been well-documented in the extant literature. However, while empirical researches focus on examining the behavioral bias in the stock market, little attention is paid to the option market, where most informed investors and sophisticated traders gather. This essay tests for the disposition effect on the index options market. We argue that moneyness, the most salient and readily available information for option investors, is a natural reference point for potential gains and losses, which likely attracts market participants’ attention more than traditional measures that are based on past trading prices. Based on the Moneyness-based Propensity to Sell (MPS) measure that we introduce and an adjusted capital gains overhang (ACGO) measure of Grinblatt and Han (2005), we find that a strategy formed by buying calls/puts in the highest MPS or ACGO quintile and selling those in the lowest quintile would generate significant abnormal returns, suggesting the presence of the disposition effect. Using double sorting method, we find that the MPS is better as a measure in capturing the disposition effect on the options market than the ACGO. While the literature documents mixed results for the profitability of technical trading rules, the use of technical buy/sell signals based on analyzing past prices is widely accepted by practitioners. The existing literature on testing the predictive ability of technical trading mostly assumes that a technical investor consistently makes investment decisions based on the buy/sell signals according to one particular trading rule during the entire sample period. However this may be far from reality. Technical investors may simultaneously make predictions based on different technical indicators and follow different technical signals. Furthermore, they analyze historical price patterns that are similar to the current market condition and make assessment of future returns based on the subsequent returns of these similar patterns. The process is known as charting. We attempt to propose a more realistic decision-making process that incorporates the similarity-based predictors to account for technical investors’ decisions in the real world and reexamine the profitability of technical trading rules. The proposed process includes three steps. First, the investor attempts to predict future returns based on a vector of current characteristics that is sufficient for his assessment of the future returns and to depict the present scenario of the stock market. Second, the investor searches for the similar patterns in a specific time window prior to the current date and make an assessment of the future returns based on how similar these past patterns and the current pattern are and how rewarding the subsequent returns of the similar patterns are. Third, the investor is assumed to form a similarity-based indicator which is an assessment of the future returns depended on the similarity-weighted average of all previously observed values of the subsequent returns. The technical investor is then assumed to buy/sell according to the signals generated by the similarity-based trading rules (SBTR). We examine the profitability of the SBTR in nine futures markets and find significantly positive and robust returns after considering the data-snooping adjustments and transaction costs in six of the nine markets.