Submitted by Ricardo Cedraz Duque Moliterno (ricardo.moliterno@uefs.br) on 2015-10-07T21:48:06Z No. of bitstreams: 1 Disserta??o de Mestrado - Marcus Vinicius Araujo Martins.pdf: 17313212 bytes, checksum: c8f53c6ca71e9fd04eb76a8bfaa1f1a1 (MD5) / Made available in DSpace on 2015-10-07T21:48:06Z (GMT). No. of bitstreams: 1 Disserta??o de Mestrado - Marcus Vinicius Araujo Martins.pdf: 17313212 bytes, checksum: c8f53c6ca71e9fd04eb76a8bfaa1f1a1 (MD5) Previous issue date: 2015-07-23 / This dissertation includes the implementation of an investment strategy using the divergence pattern of Technical Analysis indicator MACD. This pattern, when it occurs in historical price series indicate trend reversals and thus signal moments of buying and selling of shares, within the so-called Capital Markets. An investment strategy composed of a pattern detection algorithm divergence of the MACD indicator was implemented and applied to several historical series of american stock prices considering trade volumes, popularity of the company, price volatility and their comparison with returns on random dates market entrance. In addition, a stock portfolio composed of the higher volume trading and more volatile stocks was implemented. These tests considered the period from 2003 to 2013. Another test on definite trend moments and not definite considered the interval from 2000 to 2013. Overall, all the tests and simulations, were obtained positive returns on investments based on past prices using a strategy when compared with simple strategies such as buy a stock and hold it till the end of the period, or in comparison with major indexes in the US market. One can conclude, therefore, that the divergence pattern of the MACD indicator was able to predict reversals trends in stock prices used as reference during the period. / Esse trabalho contempla a implementa??o de uma estrat?gia de investimento utilizando o padr?o de diverg?ncia do indicador de An?lise T?cnica MACD. Esse padr?o, quando ocorre em s?ries hist?ricas de pre?os, indicam revers?es de tend?ncia e, dessa forma, sinalizam momentos de compra e venda de a??es, dentro do que se chama Mercado de Capitais. Uma estrat?gia de investimento composta por um algoritmo de detec??o do padr?o de diverg?ncia do indicador MACD foi implementada e aplicada a diversas s?ries hist?ricas de pre?os de a??es americanas, considerando volume de negocia??es, popularidade da empresa, volatilidade dos pre?os e comparativos com retornos por datas aleat?rias de entrada no mercado. Al?m disso, foi implementada uma carteira de a??es composta pelas empresas de maior volume de negocia??o e volatilidade de pre?os. Esses testes consideraram o per?odo de 2003 a 2013. Outro teste, sobre momentos de tend?ncia definida e n?o definida considerou o intervalo de 2000 a 2013. No geral, em todos os testes e simula??es, foram obtidos retornos positivos sobre investimentos baseados em pre?os passados utilizando a estrat?gia, quando comparado com estrat?gias simples como comprar uma a??o e mant?-la at? o fim do per?odo, ou na compara??o com principais ?ndices do mercado americano. Pode-se concluir, portanto, que o padr?o de diverg?ncia do indicador MACD foi capaz de prever revers?es de tend?ncias nos pre?os das a??es utilizadas como refer?ncia no per?odo considerado.

Submitted by Automa??o e Estat?stica (sst@bczm.ufrn.br) on 2018-03-12T13:28:18Z No. of bitstreams: 1 LuisDeFreitasAraujo_DISSERT.pdf: 2081281 bytes, checksum: c17e55352c580fdeae036c361d77cc7e (MD5) / Approved for entry into archive by Arlan Eloi Leite Silva (eloihistoriador@yahoo.com.br) on 2018-03-14T18:41:28Z (GMT) No. of bitstreams: 1 LuisDeFreitasAraujo_DISSERT.pdf: 2081281 bytes, checksum: c17e55352c580fdeae036c361d77cc7e (MD5) / Made available in DSpace on 2018-03-14T18:41:28Z (GMT). No. of bitstreams: 1 LuisDeFreitasAraujo_DISSERT.pdf: 2081281 bytes, checksum: c17e55352c580fdeae036c361d77cc7e (MD5) Previous issue date: 2017-12-21 / Informa??es advindas de empresas de pesquisa nacionais mostram que a matriz el?trica brasileira ? composta quase em sua totalidade da energia hidrel?trica, em torno de 65%. No entanto h? uma necessidade urgente na diversifica??o da nossa matriz de forma que haja uma maior seguran?a para o consumidor em per?odos com escassez de chuva e, al?m disso, que essas varia??es na gera??o de energia el?trica se adaptem ?s discuss?es atuais referentes ? baixa emiss?o de carbono al?m de garantir uma maior preserva??o ambiental. Nesse contexto, surge a energia solar fotovoltaica que, al?m de possuir um grande potencial na produ??o de eletricidade oriunda de um recurso inesgot?vel ? o sol - ainda ? uma fonte energ?tica que contribui imensamente para a economia do pa?s devido ao seu elevado ?ndice de empregabilidade, com pouco mais de oito milh?es de empregos gerados no mundo somente no ano de 2016. Apesar de ainda representar a menor parcela na participa??o da matriz energ?tica el?trica nacional, a energia solar fotovoltaica come?a a mostrar sinais de for?a e potencial em crescimento no cen?rio nacional desde a resolu??o 482 de 2012, atualizada pela norma 687 de 2015 que, juntas, incentivam e criam oportunidades mais acess?veis para o consumidor/gerador de pequeno porte. Com base nos conceitos de mini e micro gera??o distribu?da, contidos nas normas supracitadas, o Instituto Federal do Rio Grande do Norte (IFRN) foi a primeira institui??o de ensino p?blica no Brasil a aderir ao sistema de compensa??o energ?tica regulamentado pela ANEEL e hoje j? conta com 14 usinas em opera??o onde quatro encontram-se em projeto de amplia??o e outras sete encontram-se em fase de instala??o. Uma dessas usinas situa-se no campus da cidade de Santa Cruz localizada na mesorregi?o do agreste potiguar. A mesma possui um sistema de micro gera??o fotovoltaica conectada ? rede com pot?ncia nominal de instala??o de 84kWp e ser? tema de discuss?o nesse trabalho. Essa disserta??o ter? como objetivo uma an?lise t?cnica (atrav?s das an?lises da produtividade do sistema, produtividade de refer?ncia, desempenho global - performance ratio) e econ?mica (an?lise pelo m?todo payback simples e descontado, Valor Presente L?quido ? VPL e a Taxa Interna de Retorno - TIR) do micro gerador fotovoltaico com a finalidade de verificar o funcionamento atual do sistema e compara-lo com outros sistemas. Al?m de verificar a viabilidade econ?mica da instala??o dentro do per?odo de vida ?til dos componentes do sistema fornecido pela empresa respons?vel pela instala??o que ? de 25 anos. / According to national research companies, the Brazilian electrical matrix is almost totally composed by hydroelectric energy, around 65%. However, it is necessary to change our matrix in a way that makes it more secure for the consumers in periods of draught. Moreover, these variations in the electric power generation have to be adapted to the discussions about low carbon emissions and environmental preservation. In this context, the photovoltaic solar energy drawn with an inexhaustible generation fount ? the sun - and great potential in producing electrical energy. Moreover, the photovoltaic solar energy plays a huge contribution to the Brazilian economy due to its high employability index, with more than eight million jobs created in the world in the year of 2016 alone. Despite representing the smallest participation in the national electrical matrix, the photovoltaic solar energy starts to show signs of power and potential in the national scenario since the resolution 482 of 2012, updated by the norm 687 of 2015 that, together, encourage and create opportunities more accessible to the small consumer/generator. According the concepts about mini and micro distributed generation, contained in the norms already cited, the Federal Institute of Rio Grande do Norte (IFRN) was the first Brazilian public institution of teaching to adhere to the system of electrical energy compensation of the ANEEL and today it counts with 14 plants in operation which four are in extension phase and other seven are in installation phase. One of these plants is located at the Santa Cruz Campus. This plant has a photovoltaic micro generation connected to the grid with installation nominal power of 84kWp and will be the subject of discussion of this master thesis. The target of this master thesis is to perform a technical analysis (through the analyses of system productivity, reference productivity, global performance ? performance ration) and economic analysis (simple and discounted payback, liquid present value ? VPL and intern return index ? TIR) of the photovoltaic micro generator in order to verify the actual operation system condition and compare it with other systems. In addition, this thesis will also verify the economic viability of the installation inside the 25 years? life period of the system components.

Submitted by Verena Pereira (verenagoncalves@uefs.br) on 2018-07-20T23:30:41Z No. of bitstreams: 1 Disserta??oMestradoVers?oFinalCD.pdf: 2552948 bytes, checksum: 021c9ef4954fba969e5860759364257e (MD5) / Made available in DSpace on 2018-07-20T23:30:41Z (GMT). No. of bitstreams: 1 Disserta??oMestradoVers?oFinalCD.pdf: 2552948 bytes, checksum: 021c9ef4954fba969e5860759364257e (MD5) Previous issue date: 2018-03-06 / The biggest challenge for stock market traders is to identify the timing to enter and exit in a trade. This research uses a trading system based on bullish and bearish candlesticks patterns to identify buy and sell signals in the brazilian?s stock market with exit through the chandelier method. The trading system was tested during the period 2005 and 2010 for application in two strategies between 2011 and 2016. The statistical significance and robustness of the strategies were evaluated through skewness, kurtosis, Monte Carlo, z-score, t-test and walk-forward. They revealed some prediction in bullish candlesticks standards / O maior desafio para os investidores no mercado de a??es ? identificar o momento para entrar e sair de uma negocia??o. Esta pesquisa utilizou um sistema de negocia??o baseado em padr?es candlesticks de alta e de baixa para gerar sinal de compra/venda no mercado brasileiro de a??es e vender/comprar por meio do m?todo chandelier exit. O sistema de negocia??o foi testado para simular negocia??es no per?odo entre 2005 e 2010 e para aplica??o em duas estrat?gias no per?odo entre 2011 e 2016. A signific?ncia estat?stica e robustez das estrat?gias foram avaliadas por meio daskewness, kurtosis, Monte Carlo, z-score, t-test e walk-forward. Eles revelaram algum grau de predi??o nos padr?es de candlesticks de alta

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