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1

Impact of changes in composition of exchange price index shares of listed Polish companies

100%

Wańczyk K.

Nauki o Finansach

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2018

|

issue vol. 23 no. 3

111-121

EN

The aim of the article is to analyse the change in the quotations of Polish listed companies, which change the stock exchange index as part of the periodic change in the composition of the WIG20, mWIG40 and sWIG80 stock market indices. The research methodology uses abnormal return (AR) based on daily logarithmic rates of return of Polish listed companies and daily logarithmic rates of return on the stock market indices (WIG20, mWIG40, sWIG80). In this way, they defined the relative strength of listed shares in relation to the stock indices revision a month before the composition of the stock index, when the drawn up list of companies is changing the composition of the index. In addition, the relative strength of quoted shares in relation to stock exchange indices after the revision of the composition of the stock exchange index in the short-term (one month) and medium-term perspective (six months) was examined. The research was based on quarterly changes in the composition of stock exchange indices in the years 2010-2015. The analyses carried out indicate the existence of positive surplus stock returns a month before the change in the stock index. The average number of quotes of these companies above the stock market index at the time amounted to +0.52 percentage points. In turn, the average increase in the prices of the debuting companies in the new stock exchange index within 6 months after their flotation it amounted to +0.97 percentage points over the benchmark (WIG20, mWIG40, sWIG80).

2

Investment strategy of sovereign wealth funds from emerging markets: the case of China

88%

Cieślik E.

Bulletin of Geography. Socio-economic Series

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2014

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vol. 24

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issue 24

27-40

EN

Chinese sovereign wealth funds SWFs continue to expand rapidly and have become increasingly active in real-time strategic transactions recently. They have focused not only on financial markets in developed countries, but they also concentrate on commodity investment in emerging markets (mainly in African or Central Asian markets). The main goal of this paper is to examine investment patterns and performance of two large Chinese sovereign wealth funds: the State Administration of Foreign Exchange Investment Company (SAFE IC) and the China Investment Corporation (CIC). In the absence of official data on the activities of the funds, the article is based largely on press releases relating to the operation of funds and corporate reports of the companies invested in by the Chinese SWFs. The paper presents sectoral and geographical directions of China’s SWFs investment and tries to describe how the investment strategy of the aforementioned vehicles changed until mid-2013. The main limitation of the adopted methodology derives from the lack of information and poor transparency of the analysed vehicles. Moreover to obtain the correct information on the details of fund investments (size, value, date) each press release requires extensive verification.

3

Advanced Investment Strategy for Trading Major Currency Pairs

75%

Jan B., Lenka S.

Littera Scripta

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2013

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vol. 1

18-29

EN

In this paper there is a description of one of the possible approaches to investing in the currency market, which is based on the statistical analysis of price movements of major currency pairs. It is the currency pairs EUR/USD, GBP/USD and USD/JPY which consist of major currencies of the world powers. For the analysis includes no fundamental information such as the rate of unemployment, sales, GDP, inflation, etc., and is thus a purely technical analysis, which is based on the actual price. The proposed investment strategy works with short-term investments, which have an average duration of several hours. The logic used strategy is based on the psychological reaction of investors to the previous trading session and their future expectations. To increase the effectiveness of strategies financial leverage is used. This type of investment requires precise compliance with the rules for risk management. Due to diversification, the proposed strategy is put into more currency pairs and achieves stable growth of capital. Due to the computationally intensive optimization problems genetic algorithms that can effectively deal with this type of task were used. The proposed investment portfolio is applied in the time period January 2010 to January 2012 and has been stable profitably.

4

Machine Learning Methods in Algorithmic Trading Strategy Optimization – Design and Time Efficiency

75%

Ryś P., Ślepaczuk R.

Central European Economic Journal

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2018

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vol. 5

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issue 52

EN

The main aim of this paper was to formulate and analyse the machine learning methods, fitted to the strategy parameters optimization specificity. The most important problems are the sensitivity of a strategy performance to little parameter changes and numerous local extrema distributed over the solution space in an irregular way. The methods were designed for the purpose of significant shortening of the computation time, without a substantial loss of strategy quality. The efficiency of methods was compared for three different pairs of assets in case of moving averages crossover system. The problem was presented for three sets of two assets’ portfolios. In the first case, a strategy was trading on the SPX and DAX index futures; in the second, on the AAPL and MSFT stocks; and finally, in the third case, on the HGF and CBF commodities futures. The methods operated on the in-sample data, containing 16 years of daily prices between 1998 and 2013 and was validated on the out-of-sample period between 2014 and 2017. The major hypothesis verified in this paper is that machine learning methods select strategies with evaluation criterion near the highest one, but in significantly lower execution time than the brute force method (Exhaustive Search).

5

Rentowność portfeli inwestycyjnych zbudowanych na bazie relacji częściowego porządku

63%

Guzik K., Prysak P.

Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie

|

2015

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issue 1(937)

51-67

PL

W artykule przedstawiono porównanie efektywności inwestycji w portfele inwestycyjne w warunkach dozwolonej i zabronionej krótkiej sprzedaży z zastosowaniem relacji ograniczonej ceny ryzyka (OCR). Relacja OCR w zadanym zbiorze osiemnastu akcji ustala częściowy porządek zgodny z porządkiem całkowitym zadanym przez współczynnik efektywności Sharpe’a (WS). Wynika on z zależności: jeżeli akcja A jest w relacji OCR z akcją B, to WSA < WSB. Z perspektywy współczynnika Sharpe’a w danym łańcuchu relacji OCR element maksymalny jest elementem najbardziej efektywnym. Z uzyskanych w ten sposób elementów maksymalnych utworzono portfele: Pmin (portfel minimalnego ryzyka), P (portfel efektywny o zadanej stopie zwrotu 5%) oraz portfel PWS (portfel o udziałach zgodnych z wartościami współczynnika WS). Portfele te zostały porównane z portfelami utworzonymi ze wszystkich badanych inwestycji według tych samych reguł co portfele P, Pmin, PWS. Okazuje się, że w kolejnych okresach ustalonego horyzontu czasowego rentowność portfeli utworzonych z elementów maksymalnych była wyższa niż rentowność portfeli utworzonych ze wszystkich inwestycji bazowych.

EN

The article compares the effectiveness of investing in portfolios which use reduced risk relationship prices under short sale and forbidden short sale. This risk relationship in a given set of shares determined a partial order consistent with the Sharpe ratio. In the chain of relationships, the reduced risk relationship maximal element is the most effective one. The obtained maximal elements-created portfolios were: Pmin (a minimum risk portfolio), P (efficient portfolio with a 5% rate of return) and portfolio PWS (a portfolio based on Sharpe ratio). These portfolios were compared with those formed from all of the shares using the same rules as portfolios P, Pmin, PWS. In consecutive periods of a fixed investment horizon it was found that the profitability of portfolios created from the maximal elements exceeded that of the portfolios formed from all the shares.

6

Inwestycje zagraniczne w miastach i regionach - główne korzyści oraz ich uwarunkowania

51%

Szromnik A.

Zeszyty Naukowe Małopolskiej Wyższej Szkoły Ekonomicznej w Tarnowie

|

2001

|

issue 4

7-19

PL

Przedmiotem artykułu jest rozwój inwestycji bezpośrednich za granicą jako przejaw współdziałania międzynarodowego przedsiębiorstw. Autor przedstawia złożony system uwarunkowań procesu decyzyjnego w przedsiębiorstwie inwestycyjnym. Podejmuje ocenę korzyści i strat inwestycji zagranicznych w mezo skali; korzyści dla gmin i regionów. Identyfikuje 8+8 korzyści, tj. osiem głównych bezpośrednich i osiem głównych pośrednich korzyści, jakie mogą zyskać społeczności lokalne i regionalne dzięki inwestycjom firm zagranicznych. Liście korzyści towarzyszy omówienie potencjalnych strat z tytułu obecności firm zagranicznych. Zastanawiając się nad determinantami atrakcyjności jednostek samorządowych dla potencjalnych inwestorów zagranicznych autor wyróżnia dwie podstawowe grupy czynników: czynniki zależne (zmienne) i czynniki niezależne (stałe lub względnie stałe).

EN

The subject of the paper's analysis is the investment processes carried out abroad as a sign of enterprises' becoming international companies. The author has presented the complex system of conditions of the flows of investment capital, including, apart from own internal motifs, also four additional groups of factors originating from the domestic and foreign environment. Foreign investments are treated in the paper as a phenomenon consisting of various aspects, implying specific advantages and losses for the interested towns and regions. The author proposes the 8+8 list of advantages related to foreign investments, i.e. eight direct and eight main indirect advantages. The list is accompanied by the enumeration of the most common negative consequences of the direct investments abroad. Investment attractiveness of a town (region) that is characterised by the conditions that are dependent (variable) and independent (fixed) from the kind of location, has been the subject of a thorough analysis of the paper.

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