This thesis is dedicated to the application of machine learning methods to algorithmic trading. We take inspiration from intraday traders and implement a system that predicts future price based on candlestick patterns and technical indicators. Using forex and US stocks tick data we create multiple aggregated bar representations. From these bars we construct original features based on candlestick pattern clustering by K-Means and long-term features derived from standard technical indicators. We then setup regression and classification tasks for Extreme Gradient Boosting models. From their predictions we extract buy and sell trading signals. We perform experiments with eight different configurations over multiple assets and trading strategies using walk-forward validation. The results report Sharpe ratios and mean profits of all the combinations. We discuss the results and recommend suitable configurations. In overall our strategies outperform randomly selected strategies. Furthermore, we provide and discuss multiple opportunities for further research.

This report explores the impacts of variable renewable energy (VRE) on power trading in the European wholesale electricity market. The intricate operation of a typical power exchange in Europe is accompanied by an equally complex balancing system. The increasing amount of VRE in the power system, such as wind and solar power, has far-reaching impacts for power traders in both this electricity market and the corresponding balancing system. As a result, the electricity market is evolving in unprecedented ways and new participants are entering the playing field to capitalize on the changing dynamics caused by VRE generators. One novel participant, the virtual power plant (VPP), possesses an advantage over other market participants by aggregating VRE generators with controllable renewable energy generators, like biogas and hydro plants, into one entity. This allows the VPP to both gain access to live VRE production data that larger plants don’t have, which it then utilizes to remotely dispatch various subpools of assets, and to provide balancing services to the grid. Subsequently, VPPs are able to trade VRE and other renewable electricity superiorly on the same spot markets and balancing systems as large central power plants and industrial consumers. The report asserts that VPP traders can earn profits through means of innovative trading strategies that exploit predictable market impacts caused by VRE power through a robust understanding of the electricity market and their unique access to data. / Denna rapport undersöker effekterna av variabel förnybar energi (VRE) på krafthandeln på den europeiska elhandelsmarknaden för stora aktörer. Den komplicerade driften av ett typiskt kraftutbyte i Europa åtföljs av ett lika komplicerat balanseringssystem. Den ökande mängden VRE i kraftsystemet, såsom vind- och solkraft, har långtgående effekter för krafthandlare på både denna elmarknad och motsvarande balanseringssystem. Som ett resultat utvecklas elmarknaden på enastående sätt och nya deltagare kommer in på spelplanen för att dra nytta av den förändrade dynamiken som orsakas av VRE-generatorer. En ny spelare, det virtuella kraftverket (VPP), har en fördel jämfört med andra marknadsaktörer genom att samla VRE-generatorer med styrbara förnybara energiproducenter, som biogas och vattenkraftverk, till en enhet. Detta gör att VPP både kan få tillgång till live VRE-produktionsdata som större anläggningar inte har, som den sedan använder för att distribuera olika underpooler av tillgångar och för att tillhandahålla balanstjänster till nätet. Därefter kan VPP: er handla med VRE och annan förnybar el på ett överlägset sätt på samma spotmarknader och balanseringssystem som stora centrala kraftverk och industrikonsumenter. Rapporten visar att VPP-handlare kan göra vinster genom innovativa handelsstrategier som utnyttjar förutsägbara marknadseffekter orsakade av VRE-kraft genom en detaljerad förståelse för elmarknaden och unik tillgång till data för produktionen av förnybar energi / <p>QC 20201118</p>

This thesis explores the implementation of three quantitative investment strategies – the dividend yield strategy, the EV/EBITDA strategy, and the momentum strategy – within the Swedish stock market using Equal-Weighted Portfolios (EWP) and Value-Weighted Portfolios(VWP). The analysis is based on backtesting during the periods 2009 − 2022, 2001 − 2022, and 1992 − 2022, for each strategy respectively. The research aims to assess the risk-adjusted returns of these strategies and compare the performance of the EWP and the VWP. The results indicate that all the tested quantitative investment strategies beat the market. Moreover, the VWP achieve higher annual returns compared to the EWP. However, when considering risk-adjusted returns, the EWP generally demonstrate superior performance. Specifically, the EWP incorporating momentum monthly rebalancing exhibit the largest risk-adjusted returns.

投資者面對到期日相同的一序列不同履約價格的選擇權時，應如何建立最佳的組合交易策略，這個問題雖已有許多標準的交易公式可依循，但這些標準的交易策略無法全面涵蓋複雜多變的組合策略。本論文提出整數線性規劃模型用來建立選擇權的最佳交易策略。模型針對到期日相同的買權、賣權如何買賣的組合，建立最佳交易策略。若我們預期在到期日時，標的股價將會落在某一範圍內，則我們可修改原來的規劃模型配合此項預期，以尋求最佳的交易策略。最後，我們以Ericsson的選擇權為例，驗証本模型的效能。 / The problem of how to construct the optimal combination trading strategy for investors when they face a series of options of different exercise prices on the same maturity date can be solved by many standard trading rules. Yet these standard trading rules cannot completely cover the complex and highly changeable combination strategy. This thesis proposes an integer linear programming (ILP) model to construct the optimal trading strategy for option portfolio selection. This model focuses on constructing the optimal strategy for an option portfolio of call- and put-options on the same maturity date. Given the investor's belief of the stock price, we also provide an extended ILP model to include this belief. Finally, an empirical study will be presented by using the ILP model applied to the Ericsson's call and put options.

An den Handelsbörsen der Welt, hat der Anteil unsichtbarer Luidität in den letzten Jahren dramatisch zugenommen. Obwohl dieser Trend zunehmend in den Fokus regulatorischer Debatten und akademischer Dikussionen rückt, sind sich Forscher und die Aufsichtsbehörden über die Implikationen und entsprechende regulatorische Maßnahmen uneins. In der vorliegenden Arbeit, werden die damit verbundenen Fragestellungen in drei separaten Kapiteln theoretisch und empirisch untersucht. Mit Hilfe eines speziellen NASDAQ Datensatzes, werden in Kapitel 1 die Marktfaktoren, die unsichtbaren Liquidität begünstigen sowie den Einfluß, den unsichtbare Liquidät auf Märkte ausübt, empirisch ausgewertet. Wir zeigen, daß die Querschnittsvariation unsichtbarer Liquidität entlang des Aktienuniversums in einem hohen Maße durch sichtbare Markteigenschaften erklärt wird. Wir zeigen, daß unsichtbare Order gegenüber sichtbaren Ordern signifikant stärkere Preisfluktuationen hervorrufen. Unsere Resultate geben Grund zu der Annahme, daß Märkte mit hoher unsichtbarer Liquidät volatiler sind und höheren Marktreibungen ausgesetzt sind. In Kapitel 2 entwickeln wir ein strukturelles Handelsmodell und untersuchen die optimale Handelsstrategie mit unsichtbaren Ordern. In diesem Rahmen leiten wir für verschiedene Marktspezifikationen explizite Charakterisierungen der sogenannten optimalen Exposure-Größe her. Unter anderem zeigen wir, daß der Einsatz unsichtbarer Order Transaktionskosten signifikant reduzieren kann. In Kapitel 3 entwickeln wir ein dynamisches, Gleichgewichtsmodell in einem Limitorderbuchmarkt. Innerhalb dieses theoretischen Rahmens können die empirischen Beobachtungen des ersten un zweiten Kapitels rationalisiert werden. Insbesondere zeigen wir daß große versteckte Order Marktineffizienzen hervorrufen und Preisfluktuationen verstärken, indem sie die Koordination zwischen Angebots- und Nachfrageseite schwächen können. / In recent years, the proliferation of hidden liquidity in financial markets has increased dramatically and shifted to the center regulatory debates and market micro-structure panels. Yet investors, scientists and policy makers are at odds about its implications and the adequate regulatory responses. This thesis addresses these issues in three separate chapters on both empirical and theoretical grounds. Chapter 1 provides an empirical investigation of the determinants and impact of hidden order submissions. We report that the cross-sectional variation of hidden liquidity is well explained by observable market characteristics. Second, our results suggest that the hidden orders generate substantial price reactions. Our results suggests that hidden liquidity increases market volatility and trading frictions. Chapter 2 proposes a structural trading model. We investigate trader’s optimal trading strategies with respect to order-exposure in limit order book markets. The optimal exposure size marks a trade-off between costs and benefits of exposure. Our model provides explicit characterizations of the optimal exposure size for various market specifications. Model parameters and exposure strategies are estimated through high-frequency order book data. Our results suggest that hidden orders can substantially enhance trade performance. Chapter 3 develops a dynamic equilibrium model with a public primary market and an off-exchange trading mechanism. Our theory correctly predicts the key findings of chapter one and two. For instance, we show that large hidden orders cause excess returns and increase market volatility and correctly predict the role of the observable market characteristics in the origination of hidden liquidity.

Submitted by Verena Pereira (verenagoncalves@uefs.br) on 2018-09-12T21:52:11Z No. of bitstreams: 1 Vers?o Final_Disserta??o.pdf: 2988104 bytes, checksum: c27862945e0f83da183a6c591a54de39 (MD5) / Made available in DSpace on 2018-09-12T21:52:11Z (GMT). No. of bitstreams: 1 Vers?o Final_Disserta??o.pdf: 2988104 bytes, checksum: c27862945e0f83da183a6c591a54de39 (MD5) Previous issue date: 2018-06-15 / Trading systems based on trend following strategies are applied by many investors when negotiating in the variable income markets, in operations conducted in several asset classes worldwide. These systems play an important role in investor decision-making process, but still require further study. In this dissertation, four trend following trading systems are presented, whose performances have been demonstrated in order to evaluate their effectiveness in the Brazilian variable income market. Two of the four proposed systems were evaluated in the stock market and the other two were considered for the future contract market. For this purpose, a historical series of asset prices available for trade between January 1995 and December 2014 at the S?o Paulo Mercantile and Futures Exchange. Through simulations, the systems showed that if they were traded on the stock market and futures markets in Brazil, they would generate profitability, indicating the existence of several trends in the assets studied, obtaining a performance superior to strategy of buying and hold in the market Ibovespa index. This study contributes to the discussion on the effectiveness of trading systems based on the trend following investment philosophy / Sistemas de negocia??o baseados em estrat?gias fundamentadas no trend following, s?o utilizados por in?meros investidores para negociarem nos mercados de renda vari?vel, em opera??es nas mais variadas classes de ativos no mundo. Esses sistemas desempenham papel importante na tomada de decis?o por parte de um investidor na realiza??o de uma negocia??o, no entanto, ainda precisam de maiores estudos. Nesta disserta??o, apresentamos quatro trading systems seguidores de tend?ncias, os quais tiveram suas performances demonstradas na perspectiva de avaliar a efic?cia desses trading systems no mercado de renda vari?vel brasileiro. Dois dos quatro sistemas propostos, foram avaliados no mercado de a??es e os outros dois foram considerados para opera??es no mercado de contratos futuros. Para tanto, foram consideradas s?ries hist?ricas de pre?os de ativos dispon?veis para negocia??o entre janeiro de 1995 ? dezembro de 2014, na Bolsa de Valores Mercadorias e Futuros de S?o Paulo. Atrav?s de simula??es, os sistemas demonstraram que caso fossem operados no mercado de a??es e/ou de futuros do Brasil, gerariam lucros, indicando-se a exist?ncia de diversas tend?ncias nos ativos estudados, obtendo-se performance superior ? estrat?gia de comprar e manter no ?ndice Ibovespa. O presente trabalho contribui na discuss?o a respeito da efic?cia de sistemas de negocia??o baseados na filosofia de investimento do trend following

本論文的理論研究先進入選擇權的理論基礎，探討選擇權重要的定價理論與選擇權最新的避險理論，再進一步探討波動度選擇權套利理論，分析利用買權與賣權持入波動度(Long Volatility)或放空波動度(Short Volatility)的組合價值變化。 實證分析方面，本研究將此波動度選擇權套利理論應用在全世界權證交易最活絡的香港權證市場，採取過去1998年香港權證市場做為實證的期間與對象，並且選取香港□生指數前三大成份股：長江實業、匯豐控股、香港電訊做為實證上的樣本，從中各選取其相關權證中交易最活絡的前三支備兌認購（沽）權證做為波動套利理論實證，本研究為力求與套利時能與香港實務環境相吻合，亦進一步分析香港衍生性金融市場的交易制度與投資成本，予以詳細考慮香港權證與證券市場的交易成本與稅賦，並且將可能衍生的成本加計香港的銀行利息，試圖求取最符合實務環境下的資金成本。並且考慮三種不同波動度的估計方式，期望在嚴謹的分析下，比較出最客觀的套利方式。除此之外，並列舉出香港實務界在操作權證或選擇權常用的套利策略。 我們發現在過去1998年香港權證市場應用波動度選擇權套利策略都能產生超額的利潤，而且比較三種波動度估計下的套利表現，發現採取Garman & Klass波動度估計式整體套利表現優於隱含波動度（Implied Volatility）與傳統的歷史波動度(Historical Volatility) 的計算方式。 另外發現的是：採取持入波動度套利時，股價大幅下跌，較股價大幅上漲的套利利潤要高出許多，這樣的實證結果與股價下跌市場波動度上升、股價上漲市場波動度下降的理論現象完全一致，因此發現當我們採取持入波動度策略，面對股價大幅下挫而使得市場股價波動度上升，所能捕捉到的套利利潤亦隨之大增。此外，我們利用認購權證推算隱含波動度亦可發現香港備兌權證具有波動度微笑（Volatility Smile）的現象。故本研究實證結果與理論皆獲得一致的結論。 值得一提的是：本研究嘗試利用權證推算市場隱含波動度，在適當的時機採取不同的波動度套利策略，靈活採取持入波動度與放空波動度的套利操作，皆能獲取比單純只採取持入波動度套利策略較高的報酬，值得提供給市場投資者予以深入探討。 PART1：緒論 第一章 前言與緒論 第一節 研究背景與動機…………………………………..….…1-1 第二節 研究問題與目的 ……………………………………….1-2 第三節 研究範圍與內容…………………………………….…..1-2. 第四節 論文架構流程…………………………………………...1-4 PART2：理論探討與文獻回顧 第二章 現代選擇權定價理論 第一節 Black-Scholes Model .…………………………………..2-1 第二節 Black-Scholes Extended Model…………………………2-3 第三節 CRR Binomial Tree Model……………………………...2-7 第四節 B-S Model的缺陷與實務上的限制……………………2-8 第三章 現代選擇權避險理論 第一節 影響選擇權價值的因素及其價格敏感性……….…….3-1 第二節 風險中立避險法…………………………………..……3-8 第三節 永恆靜態避險法…………………………………….….3-3 第四節 選擇權在交易成本下之間斷性避險…………………..3-16 第四章 股價波動度下之選擇權套利理論分析 第一節 持入波動度套利理論分析……………………………..4-1 第二節 放空波動度套利理論分析……………………………..4-19 第三節 波動度賣權套利理論分析……………………………..4-27 第四節 選擇權合成套利理論分析……………………………..4-37 PART3：波動度套利理論之實務應用：以香港備兌權證市場為實證 第五章 香港認購（沽）權證市場之析論 第一節 備兌認購權證與權益認股權證…………………………..5-1 第二節 香港股票選擇權、認股權證與恆指選擇權之比較……..5-2 第三節 香港權證市場之交易制度與投資成本分析……………..5-5 第四節 香港備兌權證市場之投資實務…………………………..5-8 第六章 香港實務界常見的選擇權套利策略 第一節 多頭市場：牛市認購（沽）跨價套利…………………6-1 第二節 空頭市場：熊市認購（沽）跨價套利…………………6-3 第三節 波動市場：購入馬鞍式與勒束式組合…………………6-6 第四節 盤整市場：比率認購（沽）跨價套利…………………6-8. 第五節 各種選擇權套利策略之總結……………………………6-11 第七章 波動度套利實證分析與結果 第一節 分析香港權證市場近況…………………………………..7-1 第二節 資料描述與選取採樣……………………………………..7-7 第三節 股價波動度與市場交易成本之計算……………………..7-10 第四節 波動度套利: 以香港備兌認購(沽)權證市場為實證……7-13 PART4：總結 第八章 結論與建議 第一節 結論…………………………………………………………8-1 第二節 建議…………………………………………………………8-2 第三節 對後續研究之建議…………………………………………8-3 附錄一：1998年香港金融市場大事紀要………………………………..Ⅰ 附錄二：1998年香港恆生指數十大漲跌幅統計………………………...Ⅳ 附錄三：香港的銀行與證券商證券交易部份收費之比較………………Ⅴ 附錄四：香港證券市場常用術語解釋……………………………………Ⅵ 附錄五：長江實業、匯豐控股、香港電訊的歷史股價波動度圖………Ⅸ 參考文獻 / First, Our research tries to get into the theoretical base of the options：the important pricing theories and the most advanced hedging ones of the derivatives instruments. Further than that, by analyzing the changes of the portfolio value composed of long volatility and short volatility of call and put options, it would explore the essence of volatility option trading theory. On the empirical analysis front, we will apply the volatility option trading theory to the most liquid derivatives warrants market in the world □ Hong Kong derivatives warrants markets. The subjects in this research are Cheung Kong (Holdings) Ltd , HSBC Holding Plc , Hong Kong Telcom Ltd □ the three heaviest components in HK Heng Seng stock Index. And the sample period is 1998 with the derivatives warrants data of the three companies, we test the volatility option trading theory. In order to fit the HK market conditions while the arbitrage operation take place, we analyze the HK trading system and the investment costs derived from the interest charge by the bank in HK to reach the opportunity costs in line with practical environment. By comparison of these three different volatility estimators, we can define the most objective way to do the trading in the most discreet manner. On the top of that, we enumerate the common trading strategies with warrants and options in HK markets. We find that the volatility option trading theory can yield excess return in the 1998 HK warrants markets. Moreover, adopting Garman & Klass volatility estimators outperforms the implied volatility and the historical volatility ones as well. On the side line： when the investors trade with long volatility in the falling stock market profit from the strategies are much larger than the ones generated from sharply stock price rise market. The conclusion is consistent with the theory that when the stock price is falling; the market volatility increases and vice versa. Therefore the more market volatility caused by the stock price fall at the large scale, the more profit captured by the options trading method. By the way, in this process that we infer the implied volatility by using the market information, we can also find phenomenon of volatility smile which is coherent with the original theory. It worth mention that our research is approximated the implied volatility in the market with the warrants. By wisely adopting different volatility trading strategies in the different time and long & short volatility could profit better than purely the performance of long volatility trading strategies. That could pave the way for the market participants to study further on such issues in the near future.

本研究利用雲端運算的技術，發展大量使用者使用的策略交易的系統。為滿足大量使用者的運算需求，本系統包括幾項特性： 1. 採用服務導向架構以充分使用雲端運算的特性。 2. 建立非同步事件控制機制以提供服務間非同步運算能力。 3. 採用集中式資料結構，提出收縮式肋骨網絡(SRN)資料結構，減少運算需求。 4. 提供基因演算模擬環境，讓使用者可以發展符合個人投資偏好的投資策略。 / In this study, we designed a algorithmic trading system for large numbers of users on a cloud computing plateform. So the main features of the algorithmic trading system have been as follows. 1. The use of Service-Oriented architecture in order to fully use the characteristics of cloud computing. 2. The establishment of asynchronous event control mechanism to provide services to non-synchronous computing power. 3. A centralized data structure, proposed Systolic Ribs Network (SRN) data structure, reducing the computing needs. 4. To provide the genetic algorithm simulation environment that allows users to develop in line with the investment strategy personal investment preferences.

投資者面對到期日相同的ㄧ序列不同履約價格的選擇權，已有許多文獻提出如何建立選擇權最佳投資組合，但模型中均未考慮交易成本。選擇權在實際市場的交易過程中，投資者所支付的手續費與賦稅即為選擇權的交易成本。本論文針對買賣到期日相同但不同履約價格的買權與賣權如何組合，提出考慮交易成本的整數線性規劃模型，建立選擇權最佳交易策略。我們不考慮股價變動的機率分配型態，延伸楊靜宜 (2004)所建立之整數線性規劃模型和Liu與Liu (2006)的大中取小模型，建構考慮比例制、固定制與混合制交易成本之整數線性規劃模型。最後，我們以台指選擇權(TXO)為例，驗證模型的效能。 關鍵字：交易成本，選擇權交易策略，整數線性規劃，選擇權套利機會。 / There are many researchers focus on constructing the optimal strategies and propose integer linear programming (ILP) for a series of options which are on the same maturity date with different strike price, but they neglect transaction costs in their models. The transaction costs of options are the handling charge and taxes which investors should pay for trading in the market. The thesis proposes an ILP with transaction costs to construct the optimal strategy for an option portfolio of call- and put- options on the same maturity date with different strike price. We leave the distribution of the variety of stock price out of consideration and extend Yang’s (2004) model and Liu & Liu’s (2006) min-max regret model to construct ILP with proportional, fixed, and mixed transaction costs. Finally, we take the trading data of TXO as an empirical study to test and verify the efficiency of our models. Key words: transaction costs, option trading strategies, integer linear programming, option arbitrage opportunities.

Submitted by Melchior Felix (melchior_felix@yahoo.com.br) on 2014-08-27T23:26:03Z No. of bitstreams: 1 Memória Longa em Dados Intradiários - Melchior Vinicius dos Santos Felix.pdf: 1262687 bytes, checksum: e23c42090eb78ab8e9251f4e82fa6bc1 (MD5) / Approved for entry into archive by JOANA MARTORINI (joana.martorini@fgv.br) on 2014-08-28T18:42:44Z (GMT) No. of bitstreams: 1 Memória Longa em Dados Intradiários - Melchior Vinicius dos Santos Felix.pdf: 1262687 bytes, checksum: e23c42090eb78ab8e9251f4e82fa6bc1 (MD5) / Made available in DSpace on 2014-08-28T19:38:24Z (GMT). No. of bitstreams: 1 Memória Longa em Dados Intradiários - Melchior Vinicius dos Santos Felix.pdf: 1262687 bytes, checksum: e23c42090eb78ab8e9251f4e82fa6bc1 (MD5) Previous issue date: 2014-07-31 / Mandelbrot (1971) demonstrou a importância de considerar dependências de longo prazo na precificação de ativos - o método tradicional para mensurá-las, encontrado em Hurst (1951), faz uso da estatística R/S. Paralelamente a isso, Box e Jenkins (1976; edição original de 1970) apresentaram sua famosa metodologia para determinação da ordem dos parâmetros de modelos desenvolvidos no contexto de processos com memória de curto prazo, conhecidos por ARIMA (acrônimo do inglês Autoregressive Integrated Moving Average). Estimulados pela percepção de que um modelo que pretenda representar fielmente o processo gerador de dados deva explicar tanto a dinâmica de curto prazo quanto a de longo prazo, Granger e Joyeux (1980) e Hosking (1981) introduziram os modelos ARFIMA (de onde o F adicionado vem de Fractionally), uma generalização da classe ARIMA, nos quais a dependência de longo prazo estimada é relacionada ao valor do parâmetro de integração. Pode-se dizer que a partir de então processos com alto grau de persistência passaram a atrair cada vez mais o interesse de pesquisadores, o que resultou no desenvolvimento de outros métodos para estimá-la, porém sem que algum tenha se sobressaído claramente – e é neste ponto que o presente trabalho se insere. Por meio de simulações, buscou-se: (1) classificar diversos estimadores quanto a sua precisão, o que nos obrigou a; (2) determinar parametrizações razoáveis desses, entendidas aqui como aquelas que minimizam o viés, o erro quadrático médio e o desvio-padrão. Após rever a literatura sobre o tema, abordar estes pontos se mostrou necessário para o objetivo principal: elaborar estratégias de negociação baseadas em projeções feitas a partir da caracterização de dependências em dados intradiários, minuto a minuto, de ações e índices de ações. Foram analisadas as séries de retornos da ação Petrobras PN e do Índice Bovespa, com dados de 01/04/2013 a 31/03/2014. Os softwares usados foram o S-Plus e o R. / Mandelbrot (1971) demonstrated the need to take into account long-term dependences when pricing assets – the traditional method to measure it, proposed by Hurst (1951), is based on the R/S statistic. In parallel to this, Box and Jenkins (1976; first edition in 1970) presented their famous methodology to determine the order of the parameters of models developed in the context of short memory processes, known as ARIMA (acronym to Autoregressive Integrated Moving Average). Motivated by the perception that a model that aims to described correctly the data generating process needs to explain both the short-term as well as the longterm dynamics, Granger and Joyeux (1980) and Hosking (1981) introduced the ARFIMA models (the F is due to the added term Fractionally), a generalization of the ARIMA class, in which the estimated long-term dependence is related to the value of the integration parameter. It can be said that since then processes with a high degree of persistence have attracted greater interest of researchers, what resulted in the development of new methods to estimated it, although none of them has clearly excelled – and is at this point that the present work stands itself. Through simulations, we targeted to: (1) rank many estimators according to precision, what showed the necessity to; (2) determine reasonable values for the input parameters, defined as those that minimize the bias, the mean squared error and the standard deviation. Past reviewing the literature about the subject, analyzing these points proved necessary to the main objective: creating trading strategies based on forecasts derived through the characterization of dependences in intradaily quotes, minute by minute, of equities and equity indexes. In the tests were analyzed the Petrobras PN and Bovespa Index returns time series, from the period ranging from April 1st, 2013 to March 31st, 2014. The softwares used were the S-Plus e the R.