Original title: Investiční modely v prostředí finančních trhů
Translated title: The Investment Models in an Environment of Financial Markets
Authors: Repka, Martin ; MSc, Martin Volko (referee) ; Budík, Jan (advisor)
Document type: Master’s theses
Year: 2013
Language: slo
Publisher: Vysoké učení technické v Brně. Fakulta podnikatelská
Abstract: [slo] [eng]
Diplomová práca za zameriava na problematiku automatických obchodných systémov (AOS) na obchodovanie na finančných trhoch. Popisuje teoretické základy finančných trhov, rôzne prístupy k technickej analýze a poznatky o AOS. Výstupom práce je diverzifikované portfólio štyroch modelov na obchodovanie futures kontraktov zlata a kakaa, ktoré za prvý kvartál 2013 dosiahli zhodnotenie kapitálu 46,74%. Systémy sú navrhnuté v programe Adaptrade Builder za použitia genetických algoritmov a otestované v obchodnej platforme MetaTrader. Na záver sú modely optimalizované pomocou citlivostnej analýzy. This thesis focuses on automated trading systems for financial markets trading. It describes theoretical background of financial markets, different technical analysis approaches and theoretical knowledge about automated trading systems. The output of the present paper is a diversified portfolio comprising four different investment models aimed to trading futures contracts of cocoa and gold. The portfolio tested on market data from the first quarter 2013 achieved 46.74% increase on the initial equity. The systems have been designed in Adaptrade Builder software using genetic algorithms and subsequently tested in the MetaTrader trading platform. They have been finally optimized using sensitivity analysis.
Keywords: Adaptrade Builder; Automated trading systems; exchange.; financial markets; genetic algorithms; investment portfolio; MetaTrader; sensitivity analysis

Institution: Brno University of Technology (web)
Document availability information: Fulltext is available in the Brno University of Technology Digital Library.
Original record: http://hdl.handle.net/11012/27808

Permalink: http://www.nusl.cz/ntk/nusl-601237


The record appears in these collections:
Universities and colleges > Public universities > Brno University of Technology
Academic theses (ETDs) > Master’s theses