Ao longo das décadas de 1990 e 2000, Brasil e Argentina passaram por mudanças estruturais em suas economias para poderem contornar as dificuldades impostas pelos novos cenários econômicos internacional e doméstico. Nesse contexto, já não havia a possibilidade de controlar os fluxos de capitais como em décadas anteriores para equilibrar déficits comerciais. A integração econômica passou a ser vista como uma forma de expandir o comércio dos parceiros, o nível de emprego e de crescimento econômico. Os ganhos após as negociações do bloco foram consideráveis, marcados por interrupções decorrentes de crises externas e internas a Brasil e Argentina. Durante as crises os setores ineficientes manifestaram-se para protegerem seus mercados e adiar a queda das barreiras comerciais e tornaram mais nítidas as limitações da estrutura regulatória do comércio. Entre 1994 e 2005, alguns setores inicialmente inexpressivos ganharam participação maior em relação ao total comercializado, demonstrando a importância da criação de novos mercados para o crescimento de segmentos anteriormente sem demanda, como foi o caso do setor de equipamentos eletrônicos para o Brasil. Pela observação dos setores envolvidos na relação comercial, pode-se observar a capacidade de geração de emprego, captação de divisas, expansão da demanda por produtos intensivos em tecnologia. Tanto para o Brasil quanto para a Argentina o setor de veículos automotores, reconhecidamente de alto valor agregado e intensivo em tecnologia, apresentou crescimento de vendas notável, utilizando-se das novas possibilidades oferecidas pela integração. / Throughout the decades of 1990 and 2000, Brazil and Argentina went through structural changes in their economies in order to face the restrictions imposed by the new domestic and international economic environment. It was not possible anymore to control capital flows as it was in previous decades to balance trade deficits. The economic integration became a way to increase trade between partners, the employment level and the economic growth. After negotiations, the gains were considerable and marked by interruptions as a result of domestic and international crises faced by Brazil and Argentina. At the same time, the inefficient sectors used the harsh moments to impose trade barriers, protect their market shares and postpone the liberalization process, making it clear the limitations of the regulatory structure. From 1994 to 2005 some sectors initially not much expressive expanded their participation on the total of trade, showing the importance of the creation of new markets for the development of sectors, as it was for the brazilian sector of electronics equipments. Analysing the sectors involved in the trade makes it possible to see their capacity to generate employment, obtain foreign exchange and increase the demand for high technology goods. As for Brazil and Argentina, the automobile sector, known as for being of high added value and intensive in technology, has demonstrated remarkable growth in sales, taking advantage of the new possibilites granted by the integration.

In this paper, we use the high frequency trading data of New York Stock Exchange to analyze the bid-ask spread components. It is found that there is an exponential relationship between the log returns of quoted midpoints and the trade volume. We also observe a negative linear correlation between the changes of quoted depth and the trade volume. Furthermore, changes of the quoted ask depth and the quoted bid depth are asymmetric due to the trading direction. Furthermore, statistical quality control charts, p-charts, are built for fixed number of trades to monitor unusual trades entering the market. Finally, logistic regression models are established to predict the probabilities of unusual trades entering the market based on the quotes and the quoted depth adjustments of the market makers.

Ao longo das décadas de 1990 e 2000, Brasil e Argentina passaram por mudanças estruturais em suas economias para poderem contornar as dificuldades impostas pelos novos cenários econômicos internacional e doméstico. Nesse contexto, já não havia a possibilidade de controlar os fluxos de capitais como em décadas anteriores para equilibrar déficits comerciais. A integração econômica passou a ser vista como uma forma de expandir o comércio dos parceiros, o nível de emprego e de crescimento econômico. Os ganhos após as negociações do bloco foram consideráveis, marcados por interrupções decorrentes de crises externas e internas a Brasil e Argentina. Durante as crises os setores ineficientes manifestaram-se para protegerem seus mercados e adiar a queda das barreiras comerciais e tornaram mais nítidas as limitações da estrutura regulatória do comércio. Entre 1994 e 2005, alguns setores inicialmente inexpressivos ganharam participação maior em relação ao total comercializado, demonstrando a importância da criação de novos mercados para o crescimento de segmentos anteriormente sem demanda, como foi o caso do setor de equipamentos eletrônicos para o Brasil. Pela observação dos setores envolvidos na relação comercial, pode-se observar a capacidade de geração de emprego, captação de divisas, expansão da demanda por produtos intensivos em tecnologia. Tanto para o Brasil quanto para a Argentina o setor de veículos automotores, reconhecidamente de alto valor agregado e intensivo em tecnologia, apresentou crescimento de vendas notável, utilizando-se das novas possibilidades oferecidas pela integração. / Throughout the decades of 1990 and 2000, Brazil and Argentina went through structural changes in their economies in order to face the restrictions imposed by the new domestic and international economic environment. It was not possible anymore to control capital flows as it was in previous decades to balance trade deficits. The economic integration became a way to increase trade between partners, the employment level and the economic growth. After negotiations, the gains were considerable and marked by interruptions as a result of domestic and international crises faced by Brazil and Argentina. At the same time, the inefficient sectors used the harsh moments to impose trade barriers, protect their market shares and postpone the liberalization process, making it clear the limitations of the regulatory structure. From 1994 to 2005 some sectors initially not much expressive expanded their participation on the total of trade, showing the importance of the creation of new markets for the development of sectors, as it was for the brazilian sector of electronics equipments. Analysing the sectors involved in the trade makes it possible to see their capacity to generate employment, obtain foreign exchange and increase the demand for high technology goods. As for Brazil and Argentina, the automobile sector, known as for being of high added value and intensive in technology, has demonstrated remarkable growth in sales, taking advantage of the new possibilites granted by the integration.

Created in 2009, the digital currency of bitcoin is a relatively new phenomenon. During this short period of time, it has however displayed a strong development of both price and trade volume. This has led to increased media attention, but also regulators and researchers have developed an interest. At this moment, the amount of available research is however limited. With a focus on the price volatility of bitcoin and an aim of finding drivers of this volatility, this study is taking a unique position. The research has its basis in the philosophical position of positivism and objectivism. This has shaped the research question as well as the construction of the study. The result is a describing and explaining research with a deductive research approach, a quantitative research method and an archival research strategy. This has in turn stimulated an extensive literature review and information search. Areas of discussion are microstructure theory, the efficient market hypothesis, behavioural finance and informational structures. Due to the limited amount of previous bitcoin research within the area of price volatility, the study has drawn extensively on research performed on more classical assets such as stocks. Nevertheless, when available, bitcoin research has been used as a foundation/reference and an inspiration. Reviews of academic literature and economic theories, as well as public news helped to identify the variables for the empirical study. These variables are; information demand, trade volume, world market index, trend and six specified events, occurring during the chosen sample period and included in the study as dummy variables. The variables are all analysed and included in a GARCH (1,1) model, modified following a similar research by Vlastakis & Markellos (2012) on stocks. This GARCH (1,1) model is then fitted to the bitcoin volatility registered for the sample period and is able thereby able to generate data of if and how the variables affect the bitcoin volatility. The test result suggests that five of the ten variables are significant on a 5 %-level. More specifically it suggests that information demand is a significant variable with a positive influence on the bitcoin volatility, something that corresponds to the literature on information demand and price volatility. This also relates to the events found significant, as they generated bitcoin related information. The significant events of the Cypriot crisis and the failure of the bitcoin exchange MtGox are thus specific examples of how information affects price volatility. Another significant variable is trade volume, which also displays a positive influence on the volatility. The last significant variable turned out to be a constructed positive trend, suggesting that increasing acceptance of bitcoin decreases its volatility.

The purpose of this study is to create a model of prediction for the volume distribution. Due to the lack of previous studies on the subject, an exploratory approach is used, with the purpose of serving as a proof of concept for further research. By looking at all market data from the Stockholm stock exchange the volume distribution of individual order books are matched with a mixed beta distribution and scaled by a prediction based on a linear regression. The model provided in this study outperforms the floating mean by quite a good margin. Some days are, almost by definition, impossible to get an accurate prediction on. Intraday news with a big impact have a tendency to skew the results away from the predicted value. To remedy this the initial model is expanded by using intraday data to catch up on trends / Syftet med denna rapport är att skapa en model för prediction av höglikvida aktiers volym fördelingen på stockholmsbörsen. Detta görs på ett utforskande sätt och agerar som konceptvalidering och bevis att grunda vidare forsking på. Genom att titta på all marknadsdata på stockholmsbörsen kommer den kumulativa volym fördelingen av induviduela aktier skapas. För att sedan bli matchad mot en mixture beta fördeling och skalas med en prediktion erhållen från en linjär regrission. Modelen som presenteras i rapporten fungerar bättre som prediktion än det flytande medelet. Det finns dock dagar som av sin natur är omöjliga att förutspå, exempelvis när en stor nyhet blir känd. För att kompensera för detta expanderas modelen genom att använda data från samma dag som ska prediceras och detta förbättrar modelen för den resterande tiden av dagen.

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Bakgrund: Aktieindex används världen över som placeringsalternativ, jämförelsemått inom portföljförvaltning och som underlag för portföljoptimering. Forskare har under senare tid ifrågasatt index viktade efter börsvärdet och alternativa viktningsmetoder för index har framtagits som substitut till det kapitalviktade indexet och prestationsjämförelser har gjorts. Studier har främst gjorts i USA och denna studie ämnar göra en liknande undersökning på den svenska marknaden.  Syfte: Syftet med vår studie är att undersöka alternativa viktningsmetoder på det svenska aktieindexet OMXS30 och dess historiska prestation under åren 1995-2011 i förhållande till det traditionellt kapitalviktade OMXS30. Syftet är vidare att analysera de alternativt viktade indexen som grund för portföljoptimering enligt Single-Index Model.  Genomförande: Fem alternativt viktade index konstrueras i studien där viktningen grundas på fundamentala värden, Sharpekvoter, standardavvikelse, likaviktning och handelsvolym och jämförs prestationsmässigt mot OMXS30. Indexen används sedan vid portföljoptimering enligt SIM där aktiers och portföljers karakteristika analyseras. Indexens prognostisering av betavärden utvärderas i studien för att urskilja om något index är mer träffsäkert gällande aktiens beta för nästkommande period.  Slutsats: Ett flertal av de konstruerade alternativa indexen genererar signifikant högre avkastning till lägre risk i den nedgångsperiod som analyserats varför dessa kan ses som en mer lönsam investering. Tendenser till högre avkastning för den totala perioden finns även om signifikanta skillnader inte föreligger. De alternativa indexen har föranlett skilda allokeringsbeslut vid portföljoptimeringen vilket har gett stora utslag i portföljernas förväntade prestation såväl som faktisk prestation efter optimeringen genomförts. / Background: Stock market indexes are widely used as investment strategies and as a benchmark when portfolios are being constructed and evaluated. Researchers have recently questioned the capital weighted index in favor of other available weighting schemes. By comparing alternative weighted indexes to the traditionally capital weighted index one has been made aware of the significantly lower risk adjusted performance for the capital weighted index.  Aim: Our aim is to investigate in alternative weighting schemes used on the Swedish index OMXS30 and evaluate the historical performance of these alternative indexes in comparison to the traditionally capital weighted index during the period 1995-2011. Furthermore, our objective is to analyze the effects alternative weighting schemes have on portfolio optimization through Single-Index Model.  Completion: To fulfill the purpose of this thesis, five alternative weighting schemes have been applied on the Swedish index OMXS30. The weights have been calculated on fundamental measures, Sharpe ratios, standard deviation, equally weighted and trade volume and they have been compared to the traditionally cap-weighted index. Furthermore, the constructed indexes will be used to optimize portfolios with Single Index Model to compare the portfolios characteristics when different indexes have been used.  Results/Findings: The majority of the alternative weighted indexes generate significantly higher returns in one of our analyzed periods and this was during a market recession. For the total analyzed period no statistical differences among the indexes could be determined even though differences in total return are made clear. The indexes had a big effect on the portfolio optimization in terms of different share allocation.

Master´s thesis goal that the author hopes to achieve is a design of an application aiding stock technical analysis based on identified needs. Based on analysis regarding modules for technical analysis of current trading platforms, I found out there is a certain space for improvement. Implemented trading rules and technical indicators of the application itself are further examined in terms of prognostic success rate on historical data. Selected chapters of technical analysis are fundamental base for this master´s thesis.