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Exchange Traded Funds a likvidita indexových portfolií
Bodeček, Ondřej
The thesis investigates if introduction of Exchange Traded Fund, which replicates given index, has impact on liquidity and risk of underlying component securities. This thesis specifically examines impact of introduction ETF called Lyxor ETF WIG20, which was introduced at Warsaw Stock Exchange. ETF holds stock of WIG 20 Index. The impact on liquidity is investigated by using univariate analysis and by using multivariate panel regression, where dummy variable is used. The impact on risk of component stock is analyzed by beta coefficient.
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Informed Trading on the Prague Stock Exchange
Doležal, Tomáš ; Parrák, Radovan (advisor) ; Princ, Michael (referee)
Subject matter of this thesis is the problem of informed trading on the Prague Stock Exchange. This topic is developed in two directions. First one is empirical analysis of informed trading, which makes use of unique dataset which includes trading in XETRA and SPAD. This dataset enabled the author to compare change in measures of informed trading in respective trading systems. For this comparison models PIN and VPIN are used, the latter for the first time in Czech academic research. Model PIN brings the result that the probability of informed trading has significantly decreased following the transition to XETRA. On the contrary, results of VPIN metric suggest that measure of toxic liquidity has slightly increased. Second one is economic analysis of law. On the basis of economic insight two regulatory issues are identified - the problem of inside information and conflict of interest in case of market makers. Legal analysis has brought two key findings - problem of inside information is the result of incomplete implementation of european legislature and the conflict of interest is attributed to its improper treatment, based on the concept of fiduciary duties, which are hard to enforce in this particular case. Proposal how to fix these problems suggests "chinese wall" as the solution which would...
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Market making jako obchodní strategie
Čamaj, Matej ; Stádník, Bohumil (advisor) ; Fičura, Milan (referee)
The purpose of this thesis is to analyze market making trading strategy and explore possibilities of using such strategy for intraday trading on the markets with the limit order book. In theoretical part we prove profitability of specified market making strategy under certain assumptions and moreover analyze effect of change of parameters on the performance of the strategy using one dimensional stochastic processes. Next the assumption of constant fair price is relaxed which leads to deterioration of profitability of these strategies. Because one dimensional stochastic processes do not capture price creation in the real world, we propose stochastic model of intraday trading in the next chapter. Advantage of this approach is that we can observe state of the limit order book during whole trading session and therefore better simulate conditions for test of the strategies. Although proposed model exhibit many phenomenons observed in empirical data like volatility clustering, in some situations it produces unrealistically high spread caused by the construction of the model, because arrivals of market and limit orders are modeled as independent processes. Another disadvantages are need of relatively extensive data for model calibration and high sensitivity of model to change of parameters. Lastly we test three different market making strategies under different choice of model parameters and show that expected profitability is positive in all cases.
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Limits to the Efficiency of the Capital Market
Vyhlídka, Jan ; Pošta, Vít (advisor) ; Lopušník, Ondřej (referee)
The aim of this study is to gather insights into market efficiency and mechanisms that work in the financial markets. It provides a framework with an emphasis on liquidity and the failure of arbitrage that deepens our understanding of various financial crises. Described mechanisms are particularly relevant for the last financial crises - including 2007-2009, LTCM, and dot-com bubble. In the first chapter the concept of efficient markets is introduced. In the second chapter it is challenged from the point of view of noise trader theory and limits of arbitrage. The third chapter deals with market microstructure and liquidity. Last chapter shows importance and adverse effects of externalities, particularly of those causing liquidity spirals.
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