This research assessed market efficiency, volatility behaviour, asset pricing, and oil price risk exposure of the oil and gas companies quoted on the London Stock Exchange with the aim of providing fresh evidence on the pricing dynamics in this sector. In market efficiency analysis, efficient market hypothesis (EMH) and random walk hypothesis were tested using a mix of statistical tools such as Autocorrelation Function, Ljung-Box Q-Statistics, Runs Test, Variance Ratio Test, and BDS test for independence. To confirm the results from these parametric and non-parametric tools, technical trading and filter rules, and moving average based rules were also employed to assess the possibility of making abnormal profit from the stocks under study. In seasonality analysis, stock returns were tested for the day-of-the-week and month-of-the-year effects. Volatility processes, estimation, and forecasting were undertaken using both asymmetric and symmetric volatility models such as GARCH (1,1) and Threshold ARCH or TARCH (1,1,1) to investigate the volatility behaviour of stock returns. To determine the effect of an exogenous variable on volatility, Brent crude oil price was used in the models formulated as a variance regressor for the assessment of its impact on volatility. The models were then used to forecast the price volatility taking note of the forecasting errors for the determination of the most effective forecasting model. International oil price risk exposure of the oil and gas sector was measured using a multi-factor asset pricing model similar to that developed by Fama and French (1993). Factors used in the asset pricing model are assessed for statistical significance and relevance in the pricing of oil and gas stocks. Data used in the study were mainly the adjusted daily closing prices of oil and gas companies quoted on the exchange. Five indices of FTSE All Share, FTSE 100, FTSE UK Oil and Gas, FTSE UK Oil and Gas Producers, and FTSE AIM SS Oil and Gas were also included in the analysis. Our findings suggest that technical trading rules cannot be used to gain abnormal returns, which could be regarded as a sign for weak form market efficiency. The results from seasonality analysis have not shown any day-of-the-week or monthly effect in stock returns. The pattern of stock returns’ volatility can be estimated and forecasted, although the relationship between risk and return cannot be generalised. On a similar note, the relationship between volatility attributes and the efficient market hypothesis cannot be clearly established. However, we have established that volatility modelling can significantly measure the quantum of risk in the oil and gas sector. Market risk, oil price risk, size and book-to-market related factors in asset pricing models were found to be relevant in the determination of asset prices of the oil and gas companies.

Due to the sharpen regulation of the Swedish plain vanilla warrant in 2006 and the recent increase in trade among private investors, this thesis examined the informa-tion efficiency of Swedish plain vanilla warrants. This was done in three different ways. First the theoretical Black & Scholes (B&S) price was tested against the ac-tual market price. Secondly likelihood ratio test statistics was used to see whether information regarding past returns added any information to that already captured by the implied volatility (IV) generated from observed warrant market prices via the B&S model. The third method used was a comparison of the IV´s among com-parable warrants. As the regulation of the Swedish plain vanilla warrant market states that only certified issuer are allowed short calls and puts, the self adjusting price mechanism found in the option market doesn’t exist on this market. As a con-sequence of this, investors on this market is reliant of accurate ask and bid prices from the issuers. Further, the information efficiency of a capital market is of es-sence for capital allocation, price discovery and risk management. The results from all three tests rejected the information efficiency hypothesis of the sample. Thus concluding that the included warrants in this thesis are none ideally for activities such as capital allocation, price discovery and risk management.

Forecasting is an important analysis technique to support decisions and functionalities in many application domains. While the employed statistical models often provide a sufficient accuracy, recent developments pose new challenges to the forecasting process. Typically the available time for estimating the forecast models and providing accurate predictions is significantly decreasing. This is especially an issue in the energy domain, where forecast models often consider external influences to provide a high accuracy. As a result, these models exhibit a higher number of parameters, resulting in increased estimation efforts. Also, in the energy domain new measurements are constantly appended to the time series, requiring a continuous adaptation of the models to new developments. This typically involves a parameter re-estimation, which is often almost as expensive as the initial estimation, conflicting with the requirement for fast forecast computation. To address these challenges, we present a framework that allows a more efficient integration of external information. First, external information are handled in a separate model, because their linear and non-linear relationships are more stable and thus, they can be excluded from most forecast model adaptations. Second, we directly optimize the separate model using feature selection and dimension reduction techniques. Our evaluation shows that our approach allows an efficient integration of external information and thus, an increased forecasting accuracy, while reducing the re-estimation efforts.

Orientador: Paulo Cardieri / Dissertação (mestrado) - Universidade Estadual de Campinas, Faculdade de Engenharia Eletrica e Computação / Made available in DSpace on 2018-08-06T17:02:09Z (GMT). No. of bitstreams: 1 Mignaco_AndreGustavo_M.pdf: 1003880 bytes, checksum: e71bd78fe77a5cd7d4f324c8bc14791b (MD5) Previous issue date: 2005 / Resumo: As redes de sensores sem fio têm merecido atenção especial nos últimos anos graças às suas características intrínsecas que as tornam atrativas em diversas aplicações, como em atividades industriais, de monitoramento de meio ambientes e segurança, entre outros. As mesmas características que tornam atrativas as redes de sensores sem fio fazem a análise do seu desempenho dificultoso. Diversos conceitos de medida da capacidade de redes ad hoc em geral têm sido propostos, incluindo a capacidade de transporte e a eficiência de informação. Nesta dissertação é introduzida uma variação do conceito de eficiência de informação, denominada eficiência de informação agregada, que leva em conta a habilidade da rede em reutilizar o canal de comunicação espacialmente. É apresentada uma análise da eficiência de informação agregada de uma rede de sensores sem fio em diversos cenários, utilizando-se diferentes modelagens da rede sem fio. Os resultados mostram que o meio em que a rede é empregada tem grande importância no seu desempenho, podendo ser decisivo na escolha do esquema de modulação a ser empregado. Também foi observado que transmitir em curtas distâncias é mais vantajoso que transmitir em longas distâncias na maioria dos casos / Abstract: Wireless sensor networks have deserved special attention in the last years due to their intrinsic characteristics that become them attractive in various applications, such as in the industrial activities, in the environment monitoring and security, among others. The same characteristics that become the wireless sensor networks attractive make hard the analysis of their performance. Many concepts of measure of capacities of ad hoc networks have been proposed, including the transport capacity and the information efficiency. In this dissertation is introduced a variation of the concept of information efficiency, called aggregated information efficiency, that takes into account the ability of the network in reusing spatially the communication channel. It is presented an analysis of the aggregated information efficiency of a wireless ad hoc network in many scenarios, where are used different models of the wireless network. The results show that the environment where the network is employed has a big importance in its performance, and it can be decisive in the choice of the modulation scheme to be used. Also was observed that to transmit in short distances is better than do it in longer ones in the majority of the cases / Mestrado / Telecomunicações e Telemática / Mestre em Engenharia Elétrica

Orientador: Paulo Cardieri / Dissertação (mestrado) - Universidade Estadual de Campinas, Faculdade de Engenharia Eletrica e de Computação / Made available in DSpace on 2018-08-11T20:35:16Z (GMT). No. of bitstreams: 1 Nardelli_PedroHenriqueJuliano_M.pdf: 487443 bytes, checksum: d0645b76b7fd0f22601a42712d440da4 (MD5) Previous issue date: 2008 / Resumo: As características inerentes às redes ad hoc sem fio como, por exemplo, a ausência de uma infraestrutura pré-determinada e a possibilidade de enlaces de múltiplos saltos, exigem medidas de desempenho que capturem as inter-relações entre as camadas física, de acesso ao meio e de enlace. Com base na métrica eficiência de informação agregada e no atraso de pacote, as relações de compromisso entre diversas variáveis da rede são analisadas neste trabalho. É mostrado também que a possibilidade de retransmissão para pacotes recebidos em erro pode melhorar o desempenho da rede. Considerando sistemas em que uma parcela dos enlaces ativos estão em situação de outage, observa-se que os melhores resultados ocorrem para probabilidade de ocorrência de outage na rede entre 50% e 80%. Para enlaces de múltiplos saltos, os resultados mostram que é preferível ter transmissões formadas por um número maior de saltos, com receptores que exijam uma maior potência mínima para a recepção de um pacote. / Abstract: The inherent characteristics of ad hoc networks such as the lack of infrastructure and the possibility of multi-hop links require performance measures that capture the relationships between physical layer, medium access control and link layer. Based on aggregate information efficiency metric and packet delay, trade-offs involving several networks variables are analyzed. It is shown that the possibility of packet retransmission improves the network performance. In networks where part of the active links is in outage, the best results are found for outage probabilities between 50% and 80%. Concerning multi-hop links, the results show that it is preferable having transmissions with a greater number of hops formed by receptor terminals that require higher threshold powers for a packet reception. / Mestrado / Telecomunicações e Telemática / Mestre em Engenharia Elétrica

La littérature académique récente n'aborde que très peu la question du comportement, des transactions et des gains sous-jacents aux manquements d'initiés. A partir des décisions rendues par la Commission des sanctions de l'Autorité des marchés financiers entre 2001 et 2011, nous recensons les opérations d'initiés intervenues entre 1999 et 2008 sur des actions cotées en France, ayant abouti à une mise en cause des personnes concernées et éventuellement à une sanction administrative. Les informations collectées, qui concernent à la fois le statut professionnel des initiés, mais également le nombre et le montant de leurs transactions, le type d'information privilégiée utilisée, les profits obtenus, et le cas échéant les sanctions imposées, nous permettent de caractériser de manière empirique le profil type de l'initié et son comportement. Les déterminants des profits, de la probabilité de sanction et du montant de l'amende financière sont également testés économétriquement. Nous nous intéressons ensuite aux stratégies de camouflage, qui, bien qu'elles existent, semblent peu efficaces. Les déterminants de la taille des transactions illégales sont également mis en évidence au moyen d'une estimation économétrique. Enfin, dans la perspective d'une juste adéquation entre la sanction financière et la gravité du manquement commis, nous proposons une évaluation des méthodes de calcul des profits réalisés par les initiés utilisées par les régulateurs de marché en France, aux États-Unis et en Italie. Quoique beaucoup plus complexe, la méthode utilisée par la SEC fournit des résultats identiques à ceux obtenus à l'aide de l'outil de calcul de l'AMF. Ce dernier est donc à privilégier pour évaluer les profits indus car il s'avère utilisable en toutes circonstances, statistiquement tout aussi robuste et plus simple dans sa mise en œuvre. / The recent academic literature deals only very rarely with issues related to illegal insider trading behavior, deals and profits. From the decisions of the Enforcement Committee of the French financial market authority (AMF) between 2001 and 2011, we built a database that identifies insider trading operations and their instigators between 1999 and 2008, involving shares listed in France, and leading to the indictment and possibly the sanction of the concerned persons. The collected information, which refers to the professional status of insiders, but also the number and the amount of trades, the type of inside information used, the profits realized, and if any, the sanctions imposed, allows us to empirically characterize the insiders typical profile and behavior. The determinants of profits, of sanction probability and of the amount of financial penalty are also tested econometrically. We then turn to concealment strategies, which, although they exist, seem inefficient. The determinants of the size of illegal trades are also evidenced through an econometric estimation. Finally, from the perspective of a fair balance between the financial penalty and the seriousness of the breach, we propose an evaluation of insider trading profits calculation methods used by market regulators in France, the United States and Italy. Though much more complex, the method used by the SEC provides identical results to those obtained using the AMF calculation tool. The latter should thus be preferred because it seems usable in all circumstances, statistically as robust and simpler in its implementation.

Wirtschaftsprognosen sollen die Unsicherheit bezüglich der zukünftigen wirtschaftlichen Entwicklung mindern und Planungsprozesse von Regierungen und Unternehmen unterstützen. Empirische Studien bescheinigen ihnen jedoch in aller Regel ein unbefriedigendes Qualitätsniveau. Auf der Suche nach den Ursachen hat sich in Form der rationalen Erwartungsbildung eine zentrale Grundforderung an  die Prognostiker herausgebildet. So müssten offensichtliche und systematische Fehler, wie bspw. regelmäßige Überschätzungen, mit der Zeit erkannt und abgestellt werden. Die erste Studie der Dissertation übt Kritik am vorherrschenden Verständnis der Rationalität. Dieses ist zu weitreichend, weshalb den Prognostikern die Rationalität voreilig abgesprochen wird. Anhand einer neuen empirischen Herangehensweise wird deutlich, dass die Prognosen aus einem anderen Blickwinkel heraus durchaus als rational angesehen werden können. Der zweite Aufsatz zeigt auf, dass in Form von Befragungsergebnissen öffentlich verfügbare Informationen bestehen, die bei geeigneter Verwendung zu einer Verbesserung der Qualität von Konjunkturprognosen beitragen würden. Die Rationalität dieser Prognosen ist daher stark eingeschränkt. Im dritten Papier erfolgt eine Analyse von Prognoserevisionen und deren Ursachen. Dabei zeigt sich, dass es keinen Zusammenhang zwischen der Rationalität und der Qualität der untersuchten Prognosezeitreihen gibt. Die vierte Studie dient der Präsentation der Ergebnisse eines Prognoseplanspiels, welches den Vergleich der Prognosen von Amateuren und Experten zum Ziel hatte. Es stellt sich heraus, dass die Prognosefehler erhebliche Übereinstimmungen aufweisen.