This write-up is submitted in partial fulfilment of the Master of Management Degree in Finance and Investments Degree. / Growth in commodity exporting economies, such as South Africa, is highly dependent on the revenue generated from exports. It is thus evident that as commodity prices fluctuate, income and the balance of payments will be accordingly impacted. This is further exacerbated by strong dependence on the imports of certain commodities. Oil is one such commodity on whose imports South Africa is highly dependent. Although natural gas is also imported, it is in lower quantities and is as such expected to impact South Africa to a lower extent. Coal, on the other hand, is among the main commodity exports and was expected to have an impact on (and be impacted by) South African macroeconomic fundamentals. In this study, we use a VECM and MGARCH model to test the interaction between South African macroeconomic variables and these three commodities. Our VECM findings indicate that oil and exchange rates are inflationary. This implies that an increase in oil prices and/or exchange rates (indicating a depreciation of the Rand against the U.S. Dollar) results in an increase in inflation. Inflation, on the other hand, propagates higher coal prices and to a lesser extent, higher interest rates. We account the latter to South Africa’s inflation targeting regime and the former to demand and supply dynamics which occur at RBCT as production costs increase (short-term coal export contracts and spot market sales). Natural gas is found to have weak impacts on interest rates and exchange rates. Our MGARCH model shows that only the innovations in natural gas and oil prices spillover into interest rates and exchange rate. There is no direct spillover captured. However, there is strong direct spillover from oil to inflation. Lastly, interest rates are found to have a strong direct volatility spillover to both oil and natural gas. We attribute this to the exchange rate impact that interest rates have and is supported by the exchange rate impact on commodity price volatility. We conclude that an in-depth understanding of triggers is pertinent for monetary and fiscal policy decisions in South Africa. Although the South African economy is relatively diversified compared to other developing countries, commodity price fluctuations do have a significant impact on economic performance. / MT2017

Thesis (M.Com.(Finance)--University of the Witwatersrand, Faculty of Commerce, Law and Management, School of Economic and Business Sciences, 2016. / This study sets out to investigate whether the Taylor Rule provides better the forecasts of the future short-term interest rates than the yield curve in the South African market. For the Taylor Rule we use OLS and use the open-market forward-looking Taylor Rule to forecast interest rates. For the yield curve, simple linear interpolation is used to derive forecast. We find that in the short term, forecasted one-month ahead interest rates closely track the actuals interest rates for both models. At longer horizons, there are larger deviations of forecasts from the actual. The RMSE analyses support the Taylor Rule as a superior forecasting model in all forecasting horizons. / MT2017

O objetivo deste trabalho é comparar o desempenho de modelos de estoque em uma grande diversidade de situações de demanda e custos. Os modelos de estoque comparados são os tradicionais Reposição do Máximo, Reposição da Base e Lote Fixo, com políticas de revisões periódicas e contínuas, e um modelo derivado da lógica dos sistemas Material Requirements Planning (MRP), aqui denominado Cálculo de Necessidades, que utiliza previsões de demanda para o dimensionamento dos pedidos de reposição de estoque. As séries temporais de demanda, por seu lado, são geradas a partir de tendências e sazonalidades definidas, sobre as quais se acrescenta o componente irregular aleatório. Numa primeira etapa, simulação e busca em vizinhança são utilizadas na seleção do melhor modelo de previsão de demanda, a cada série temporal, para gerar as previsões do modelo Cálculo de Necessidades. Suavização Exponencial Simples, o Método Linear de Holt, Suavização Exponencial Simples com Sazonalidade e o Método de Tendência e Sazonalidade de Holt-Winters são os modelos de previsão utilizados nesta seleção. Numa segunda etapa, simulação e busca em vizinhança são também utilizadas para a otimização dos parâmetros dos sete modelos de estoque para cada série temporal. A soma dos custos médios de Pedido, de Armazenagem e de Falta é utilizada como variável de medição do desempenho dos modelos. Os resultados mostram um desempenho superior do modelo de Cálculo de Necessidades, em quase todos os ambientes testados, secundado pelo modelo contínuo de Reposição do Máximo. Mostram, ainda, um desempenho fraco do modelo contínuo de Reposição da Base, fundamento do conhecido modelo kanban, o que contraria sua forte recomendação como modelo robusto. Este trabalho tem como principal contribuição a evidência da superioridade do modelo de Cálculo de Necessidades sobre os modelos tradicionais nas condições da pesquisa efetuada. / The objective of this study is to compare the performance of inventory models in a large range of costs and demand environments. The compared models are the traditional periodic and continuous Up to Maximum Inventory Level, Base Stock and Fixed Lot Size, and another model, based on the Material Requirements Planning (MRP) logic and here referred to as Requirements Planning, which uses demand forecast to quantify the acquisition decisions. In the first step, simulation and neighborhood search are used to select the best of 4 forecasting models, which generates the forecasts to the Requirements Planning model. Single Exponential Smoothing, Holt\'s linear method, Single Exponential Smoothing with seasonality, and Holt-Winters\' trend & seasonality method are these 4 models. In the second step, simulation and neighborhood search are used again to optimize the inventory models parameters. The items\' demand time series are based on trends and seasonality defined arbitrarily plus the addition of a irregular random component. The period average Purchase, holding, shortage and total costs are calculated and the models are ranked, based on the total cost criterion. The results show the superior performance of the Requirements Planning model in practically all tested conditions, with the continuous Up to Maximum Inventory Level in a secondary position. The results show, too, the poor performance of the continuous Base Stock model, base of the Kanban system, in opposition to its actual hard recommendation as robust model. This study has, as major contribution, the evidence of the Requirements Planning model superior performance compared with the traditional inventory models.

A prospecção tecnológica é a disciplina que trata das atividades de busca e predição de tecnologias de interesse, sendo uma importante ferramenta para empresas e governos. Já o campo da biotecnologia consiste de um dos mais férteis quanto à produção acadêmica e industrial, tendo impacto alto na economia mundial. O presente trabalho focou na intersecção destes dois assuntos, utilizando a disciplina de análises de redes sociais como intermediária. Entre os objetivos buscados estavam sugerir modificações no modelo de classificação de patentes biotecnológicas, descrever a distribuição destas patentes quando agrupadas em redes, e desenvolver uma metodologia de prospecção tecnológica com base nas rotas de desenvolvimento tecnológico presentes nas redes de patentes. As sub-áreas escolhidas para o foco do estudo foram as da biotecnologia agrícola (vegetal) e purificação de água, sendo descritas com base em suas características patentárias. Entre os resultados estão uma nova proposta de aperfeiçoamento de classificação de patentes biotecnológicas, uma nova metodologia para representações de redes de patentes com base em algoritmos de modularidade propostos por Blondel et al. (2008), sendo esta demostrada nos temas estudados. Por fim, o algoritmo SPLC proposto por Hummon e Doreian (1989) foi adaptado de ferramenta para identificação de rotas de desenvolvimento de maior relevância para redes tecnológicas, para uma ferramenta prospectiva de uso em redes de patentes de grande porte. Para a aplicação da ferramenta deste tipo de rede, um plug-in para software de análise de redes sociais foi desenvolvido, com funcionalidades adicionais que agregam ao algoritmo original. As rotas de desenvolvimento tecnológico geradas são passíveis de análises prospectivas posteriores. Não foram encontrados registros de estudos semelhantes na literatura. / Technological forecasting is the subject that tackles the activities of search and prediction of technological innovation, and is considered an important tool for both companies and governments. As for the field of biotechnology, it is one of the richest in terms academic and industrial production, and possess a high impact in the world economy. This study focused in the intersection between this two subjects, using social network analysis as the bridge them. Amongst the objectives was the suggestion of changes in in the classification of biotechnological patents, the description of patents when these are grouped in networks, and the development of a new technological forecasting methodology based on the development routes present in the patent networks. The biotechnology subjects this study focused were plant agriculture and water purification, and their description was elaborated based on their patent characteristics. The results range from a new proposition to the enhancement of the current biotechnological patent classification, to a new method for patent network representation based on the modularity algorithm proposed by Blonde et al. (2008), which was demonstrated in the studied subjects. The last result was related to the SPLC algorithm proposed by Hummon and Doreian (1989) which was adapted from a tool of identification of the most relevant technological development routes, to a technological forecasting tool which can be used in large sized patent networks. For the application of this tool in such networks, a plug-in to a social network software was developed, with added functionalities that enhance the original algorithm. The generated technological development routes of the studied subjects can be used for future forecasting analysis. There has not been found any study similar to this in the literature.

A complexidade inerente ao processo de produção de energia apresenta um desafio aos especialistas quando estes se deparam com o dimensionamento e operação de sistemas de recursos hídricos. A produção energética de um sistema hidroelétrico depende fundamentalmente das séries de vazões afluentes às diversas usinas hidrelétricas do sistema. No entanto, a incerteza das vazões futuras e sua aleatoriedade são obstáculos que dificultam todo o planejamento da operação do sistema energético brasileiro. A inexistência de um software específico para análise de séries de vazões ocorridas nas usinas hidrelétricas, associada à importância desse tipo de dado no contexto energético, motivou a concepção de uma ferramenta gráafica para visualização e previsão desses dados. Acredita-se que a visualização desses dados por meio de representações apropriadas e altamente interativas possa promover hipóteses e revelar novas informações dos fenômenos associados a essas quantidades, melhorando a qualidade das decisões de planejamento do sistema energético. Este trabalho de mestrado apresenta em detalhes o sistema desenvolvido, chamado Power Map Explorer, e das técnicas nele implementadas / The complexity inherent to the process of energy production introduces a challenge to the experts when they are faced with dimension and operation of water resources systems. The energy production of a hidroeletric system depends on streamflow time series from hydroelectric plants located on different rivers of the system. However, the uncertainty and randomness of future streamflow series impose difficulties to the planning and operation of the brazilian energy system. The lack of a software suite to support the analysis of inflow series from hydroelectric plants, and the importance of this data in the energy context motivated the conception and implementation of a graphical tool to visualize and forecast this type data. The appropriate level of visualization and interaction with this type of data can spring new hypotheses and reveal new information, leading to performance improvement of the task of energetic planning. This work presents a software for visualization and forecast of inflow data series, the Power Map Explorer, in detail

Orientador: Paulo de Oliveira Camargo / Banca: Jonas Rodrigues de Souza / Banca: Emanuel Paiva de Oliveira Costa / Banca: Milton Hirokazu Shimabukuro / Banca: Claudinei Rodrigues de Aguiar / Resumo: Dentre os métodos de posicionamento GNSS (Global Navigation Satellite System) utilizados pela aviação no suporte das fases de aproximação e pouso preciso de aeronaves, destacam-se o SBAS (Satellite-Based Augmentation System) e o GBAS (Ground-Based Augmentation System). O GBAS tem a capacidade de corrigir a maioria dos erros envolvidos na pseudodistância a partir do DGNSS (Differential GNSS), desde que a camada ionosférica apresente um comportamento não perturbado na região do aeroporto. Entretanto, dependendo do fluxo de ionização solar, da atividade geomagnética, do ciclo de manchas solares, do ângulo zenital do Sol e da localização geográfica, a ionosfera pode sofrer fortes perturbações, proporcionando uma ameaça à integridade do GBAS, uma vez que podem ser diferentes os efeitos ionosféricos em pequenas distâncias. Assim, investigações dos erros sistemáticos devido à camada ionosférica no GBAS tem sido objeto de estudos há alguns anos. Nesse sentido, modelos de risco ionosférico, que visam determinar a máxima decorrelação ionosférica espacial existente entre a estação GBAS e a aeronave que se aproxima num aeroporto, foram desenvolvidos ou avaliados, principalmente para o hemisfério norte, mais precisamente para o território norte-americano, onde se destaca o CONUS (Conterminous United States) Threat Model. Nessa área o comportamento da ionosfera é mais estável em comparação com o observado sobre o Brasil, localizado na região ionosférica equatorial e de baixas latitudes, qu... (Resumo completo, clicar acesso eletrônico abaixo) / Abstract: Among the methods of GNSS (Global Navigation Satellite System) positioning used by the aviation in the support of the phases of approach and precise landing of aircraft, stand out the SBAS (Satellite-Based Augmentation System) and the GBAS (Ground-Based Augmentation System). GBAS has the ability to correct most of the errors involved in pseudorange from DGNSS (Differential GNSS), provided that the ionospheric layer exhibits undisturbed behavior in the airport region. However, depending on the flow of solar ionization, geomagnetic activity, sunspot cycle, zenith angle of the sun and geographic location, the ionosphere can suffer severe disturbances, posing a threat to the integrity of the GBAS, since the ionospheric effects may be different at small distances. Thus, investigations of systematic errors due to the ionospheric layer in GBAS have been the subject of studies for some years. In this sense, ionospheric threat models, which seek to determine the maximum existing spatial ionospheric decorrelation between the GBAS station and the aircraft approaching an airport, have been developed or evaluated, especially for the northern hemisphere, more precisely to the US territory, which highlights the CONUS (Conterminous United States) Threat Model. In this area, the ionosphere behavior is more stable compared to that observed in Brazil, located in the equatorial and low latitude ionospheric region, which presents the occurrence of Equatorial Ionization Anomaly (EIA), ionospheric ... (Complete abstract click electronic access below) / Doutor

by Lo Yat-keung & Ma Kwok-wa. / Bibliography: leaves 46-47 / Thesis (M.B.A.)--Chinese University of Hong Kong, 1986

by To Kwok-Fai. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references (leaves 83-84). / ABSTRACT --- p.ii / ACKNOWLEDGEMENTS --- p.iii / TABLE OF CONTENTS --- p.iv / LIST OF ILLUSTRATIONS --- p.vi / LIST OF TABLES --- p.viii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- THE GROWTH AND CHANGING CHARACTER OF THE FOREIGN EXCHANGE MARKET --- p.3 / Three Economic Blocs --- p.3 / Increase of Trading Volume --- p.4 / Shift In Customer Base --- p.5 / Twenty-four Hours Global Market --- p.5 / Growth in the Use of Computer --- p.6 / Chapter III. --- FORECASTING OF FOREIGN EXCHANGE RATE --- p.7 / Efficient Market Hypothesis and Random Walk Theory --- p.7 / The Hypothesis --- p.7 / Implications --- p.9 / Chaos Theory --- p.9 / Definition --- p.9 / Phenomena in Foreign Exchange Market --- p.9 / Implications --- p.12 / Fundamental Analysis in Forecasting Foreign Exchange Rate --- p.12 / Technical Analysis in Forecasting Foreign Exchange Rate --- p.15 / Other Factors Influencing Foreign Exchange Rate --- p.17 / Chapter IV. --- METHODOLOGY --- p.18 / Collection of Data --- p.18 / Selection of Trading Systems --- p.20 / Construction of Trading Systems --- p.21 / Simple Moving Average Trading System --- p.21 / Directional Movement Index Trading System --- p.22 / Evaluation of Trading Performance --- p.27 / Chapter V. --- RESULTS AND FINDINGS --- p.30 / Simple Moving Average Trading System --- p.30 / Directional Movement Index Trading System --- p.40 / Comparison of the Two Trading Systems --- p.50 / Current Net Profit or Loss --- p.50 / Sample Standard Deviation --- p.52 / Sharpe Ratio --- p.52 / Ratio of Average Profit per Profitable Transaction to Average Loss per Losing Transaction --- p.55 / Chapter VI. --- CONCLUSIONS --- p.57 / APPENDIX / Chapter 1. --- Program Listing of Simple Moving Average Trading System Performance Report --- p.59 / Chapter 2. --- Program Listing of Directional Movement Index Trading System Performance Report --- p.63 / Chapter 3. --- "Detailed Listing of USD/DEM High, Low and Close Exchange Rate from Oct 18 1988 to Dec 31 1991" --- p.67 / BIBLIOGRAPHY --- p.83

Shin Shiu Kau. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1975. / Bibliography: leaves 149-151.

by Lawrence Chi-Ho Lee. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 91-97). / Abstract also in Chinese. / Chapter Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- The Importance of Forecasting --- p.1 / Chapter 1.2 --- Objective --- p.3 / Chapter Chapter 2 --- Holt-Winters Forecasting Procedure --- p.6 / Chapter 2.1 --- Exponential Smoothing and Holt-Winters Method --- p.6 / Chapter 2.2 --- Relationships Between Holt-Winters models and ARIMA Models --- p.13 / Chapter 2.2.1 --- A Steady Model --- p.14 / Chapter 2.2.2 --- A Growth Model --- p.15 / Chapter 2.2.3 --- The Three-Parameter Holt-Winters Model --- p.18 / Chapter 2.3 --- Some Practical Issues --- p.19 / Chapter 2.3.1 --- Normalizing the Seasonal Factors --- p.20 / Chapter 2.3.2 --- Choosing Starting Values --- p.20 / Chapter 2.3.3 --- Choosing the Smoothing Parameters --- p.22 / Chapter Chapter 3 --- Methods of Constructing Simultaneous Prediction Intervals --- p.24 / Chapter 3.1 --- Three Approximation Procedures --- p.25 / Chapter 3.1.1 --- Bonferroni-type Inequality --- p.26 / Chapter 3.1.2 --- Product-type Inequality --- p.28 / Chapter 3.1.3 --- Chi-square-type Inequality --- p.30 / Chapter 3.2 --- The 'Exact' Procedure --- p.31 / Chapter 3.3 --- Summary --- p.32 / Chapter Chapter 4 --- An Illustrative Example --- p.33 / Table 4.1 - 4.7 --- p.47 / Figure 4.1 - 4.5 --- p.55 / Chapter Chapter 5 --- Simulation Study --- p.60 / Chapter 5.1 --- Holt-Winters Forecasting Procedure for Optimal Model --- p.60 / Chapter 5.2 --- Holt-Winters Forecasting Procedure for Some Non-optimal Models --- p.66 / Chapter 5.3 --- A Comparison of Box-Jenkins Method and Holt-Winters Forecasting Procedure --- p.68 / Chapter 5.4 --- Conclusion --- p.74 / Table 5.1-5.10 --- p.75 / Chapter Chapter 6 --- Further Research --- p.82 / APPENDIXES --- p.87 / REFERENCES --- p.91