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Um método algorítmico para operações na bolsa de valores baseado em ensembles de redes neurais para modelar e prever os movimentos dos mercados de ações / An Algorithmic Trading based on Neural Network Ensembles to Model and Predict Stock Market MovementsGiacomel, Felipe dos Santos January 2016 (has links)
A previsão de séries temporais financeiras tem sido um tópico popular da literatura nos últimos anos. Contudo, embora muitos estudos de previsão de séries temporais foquem na previsão exata de valores futuros, defendemos que este tipo de previsão é de difícil aplicação em cenários reais, sendo mais vantajoso transformar este problema de previsão em um problema de classificação que indique se a série temporal irá subir ou descer no próximo período. Neste trabalho é proposto um método de compra e venda de ações baseado nas previsões feitas por dois ensembles de redes neurais adaptados para diferentes perfis de investimento: um para investidores moderados e outro para investidores mais agressivos. Os resultados desses ensembles preveem se determinada ação irá subir ou descer no próximo período ao invés de prever seus valores futuros, permitindo que se criem recomendações de operações de compra ou venda para o próximo período de tempo. A criação de tais ensembles, contudo, pode encontrar dificuldades no fato de que cada mercado se comporta de uma maneira diferente: fatores como a sazonalidade e a localidade da bolsa de valores são determinantes no desenvolvimento das redes neurais apropriadas. Para mostrar a eficiência do nosso método em diferentes situações, o mesmo é avaliado exaustivamente em dois conjuntos de dados diferentes: os mercados de ações norteamericano (S&P 500) e brasileiro (Bovespa). Operações reais foram simuladas nestes mercados e fomos capazes de lucrar em 89% dos casos avaliados, superando os resultados das abordagens comparativas na grande maioria dos casos. / Financial time series prediction has been a hot topic in the last years. However, although many time series prediction studies focus on the exact prediction for future values, we defend that this kind of prediction is hard to apply in real scenarios, being more profitable to transform the prediction problem into a classification problem that indicates if the time series is going to raise or fall in the next period. In this work we propose a stock buy and sell method based on predictions made by two neural network ensembles adjusted for different investment profiles: one for moderate investors and another for aggressive investors. The results of these ensembles predict if certain stock will raise of fall in the next time period instead of predicting its future values, allowing the creation of buy and sell operations recommendations for the next time period. The creation of such ensembles, however, can find difficulties in the fact that each market behaves in a different manner: factors as the seasonality and the location of the stock market are determinant in the development of the appropriate neural networks. To show the efficiency of our method in different situations, it is tested exhaustively in two differents datasets: the north american (S&P 500) and brazilian (Bovespa) stock markets. Real operations were simulated in these markets and we were able to profit in 89% of the tested cases, outperforming the results of the comparative approaches in most of the cases.
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As RepresentaÃÃes da Pobreza sob a Ãtica dos Pobres do Programa Bolsa FamÃlia / Representations of Poverty in the Perspective of the Poor of the Bolsa FamÃliaMaria de Fatima Pereira 30 October 2007 (has links)
FundaÃÃo de Amparo à Pesquisa do Estado do Cearà / CoordenaÃÃo de AperfeiÃoamento de Pessoal de NÃvel Superior / A presente pesquisa tem como objetivo o estudo das representaÃÃes da pobreza para os
considerados pobres inseridos no Programa Bolsa FamÃlia. O foco do trabalho à adentrar
nas representaÃÃes que o âpobreâ, a partir de suas vivÃncias sociais, faz da sua condiÃÃo de
pobreza, tendo em vista o contexto de transformaÃÃes sociais que, cada vez mais, tem
levado milhares de indivÃduos à condiÃÃo de ârefugoâ social. Diante dessa realidade, a
condiÃÃo de âpobreâ se configura numa condiÃÃo socialmente reconhecida e encarnada em
vÃrias representaÃÃes relacionadas ao âser pobreâ. Tais questÃes sÃo o fio condutor desta
pesquisa, como tambÃm nos instigaram a dimensionar as formas de representaÃÃes da
pobreza, como elas refletem nas vivÃncias do âpobreâ, na maneira como tais pobres se
apresentam a um programa voltado aos pobres, no modo de interagir com as diversas
situaÃÃes e enfim nos espaÃos por eles ocupados a partir do lugar social que a sociedade do
capital lhes reserva. / The present research has as objective the study of the poor considered representations of the
poverty for inserted in the Program the Stock market Family. The focus of the work is to in
the representations that the âpoor personâ, from its social experiences, makes of its
condition of poverty, in view of the context of social transformations that, each time more,
has taken thousand of individuals to âthe social rubbishâ condition. Ahead of this reality,
the condition of âpoor personâ if configures in a recognized and socially incarnate
condition in some representations related to the âpoor beingâ. Such questions are the
conducting wire of this research, in had as well as instigated them to the forms of
representations of the poverty, as they reflect in the experiences of the âpoor personâ, in the
way as such poor persons if they present to a come back program the poor persons, in the
way to interact at last with the diverse situations and in the spaces for busy them from the
social place that the society of the capital them reserve.
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[en] CORPORATE BONDS: A STUDY ABOUT THE VARIABLES THAT AFFECT THE BOND RATING / [pt] BÔNUS CORPORATIVOS: UM ESTUDO SOBRE AS VARIÁVEIS QUE AFETAM O RATING DE UMA EMISSÃOANITA CASTELLO BRANCO CAMARGO 22 January 2010 (has links)
[pt] O mercado de capitais das grandes economias mundiais já incorporou o
conceito de rating, ou seja, a classificação de risco de crédito, utilizada
amplamente nos Estados Unidos há muitos anos. A existência de agências de
rating capazes de fornecer classificações de risco de crédito totalmente
independentes é uma condição imprescindível para o desenvolvimento de
qualquer mercado de dívida. Este estudo tem como objetivo avaliar se as variáveis
definidas no contrato de um bônus corporativo afetam o rating determinado por
estas instituições para determinada emissão. Foram analisadas as variáveis cupom,
preço de emissão, volume de emissão, maturidade e a presença de garantia. Além
disso, analisou-se também a influência do risco país representado pelo EMBI +.
Quanto ao método de análise, optou-se por comparar o método dos mínimos
quadrados ordinários (MQO) com o probit ordenado. Os resultados mostram que
não houve diferença de desempenho entre os dois modelos. E quanto às variáveis
analisadas, apenas o cupom demonstrou exercer influência sobre o rating da
emissão. / [en] The financial markets in the largest economies of the world often utilize
rating agencies as a tool for credit risk classification, following the concept
introduced in the USA a long time ago. The existence of independent institutions
capable of classifying credit risk is a vital condition for the development of debt
market. This study aims at analysing whether the variables defined in the
indenture of the bond issue affect the rating assigned by rating agencies. The
following variables were investigated: coupon, price, issued amount, maturity and
the existence of collateral. Furthermore, it was analysed if the country risk,
represented by the EMBI+ index, also affected the bond rating. Regarding the
methodology, the ordinary least square (OLS) and ordered probit were chosen as
the method of analysis. A comparative study was performed and the results
indicated no major differences between both models. Concerning the variables
analysed, only the coupon has shown some influence on the bond rating.
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[en] BRAZILIAN S CAPITAL MARKET CHANGE: PRIVATE VERSUS PUBLIC STOCK PLACEMENTS AFTER PLANO REAL / [pt] MUDANÇA NO MERCADO DE CAPITAIS BRASILEIRO: SUBSCRIÇÕES PRIVADAS VERSUS OFERTAS PÚBLICAS DE AÇÕES APÓS O PLANO REALRICARDO BORDEAUX REGO 01 December 2004 (has links)
[pt] Esta tese investiga a decisão por emissões públicas ou particulares de ações no Brasil. É apresentada uma revisão da literatura nacional e internacional sobre o assunto. É relatada a evidência empírica no Brasil. Dois modelos são construídos de forma a elucidar o problema investigado, à luz da literatura revista e da evidência empírica: Análise Discriminante e Regressão Logística. A legislação relativa às emissões e ações no Brasil é resumida. Os resultados apontam para maior propensão à emissão privada de empresas
estatais ou holdings, com menor lucratividade (maiores prejuízos), que realizaram emissões de menor porte, apresentavam maior concentração de propriedade, endividamento e menor liquidez em Bolsa de Valores. / [en] This dissertation studies the decision for public issues or private placements of equity in Brazil as a source of capital. The national and international literature on the subject is reviewed. The empirical evidence of placements of the Brazilian capital market and the characteristics of the issuers are also presented. After the discussion of the evidence and literature, two models are constructed: Multiple Discriminant Analysis and Logistic Regression, relating the characteristics of firms to the decision of type of issue. The regulation of stock issues is also discussed. The results show that firms with less liquid stocks, more debt, lower returns on equity and profits, more concentration of control and smaller issues, more probably use private issues.
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Regulace akciového trhu - dopad vybraných regulačních opatření na akciové trhy / Stock markets regulation - chosen regulations impact on stock marketKecl, Michal January 2009 (has links)
The thesis is focused on state interventions and regulation on field of stock exchanges. On special examples I show for and against argumentation of real precautions. I repeal the questions of public konvenience of these precautions. In the first part of the thesis I begin with historical genesis of exchange especially in our area including the origin -- private or state. The first part continue with theoretical functions of stock exchange and its fulfilment in case of The Stock Exchange in Prague. In the second part I present dilemma of squeeze-out or expropriation of minority shareholders.There will be arguments of proposers, opponents and also neutral arbiter representing by The Constitutional Court of the Czech Republic. In the third part of the thesis I present an example of foreign regulation. It is Sarbanes-Oxley Act with its impact on different entities. In conclusion I propose some changes and I want to give a support to discussion about state admission to regulation of stock markets.
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Souvislost volatility akciových kurzů a pozice ekonomiky v hospodářském cyklu / The Connection Between Stock Market Volatility and a Position of Economy in a Business CyclePoláková, Soňa January 2014 (has links)
Finding significant relation between stock markets (including omnipresent volatility) and real economy of the US, Germany, Great Britain and Japan is the main aim of this thessis. If not found it is also the final conclusion. By means of time series analysis using artificial neural networks from the beginning of 2000 till the November of 2014 was proved that the strong single -- way relation between prime stock indices and GDP of chosen economies does exist. Highest quality of prediction was proved on the American and British economy. S&P 500, FTSE and VIX indicator made a precise prediction of future economic progress in the US and Great Britain for six to nine months ahead with 71% to 86% accuracy. The artificial neural networks proved an extraordinary ability to predict chosen financial time series regardless the actual position in a business cycle.
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Essais sur l'économie politique de la finance / Essays on the Political Economy of FinanceLambert, Thomas 11 February 2015 (has links)
Quelles sont les conséquences du système politique des pays sur leurs marchés financiers et les intermédiaires financiers? Pour répondre à cette question, cette thèse propose trois essais. Dans le premier essai, je montre comment les institutions du suffrage – une mesure clé de la répartition du pouvoir politique dans la société – affectent la dépendance relative des pays aux marchés boursiers et bancaires. Je démontre qu’au cours des deux derniers siècles les expansions graduelles du suffrage à différents segments de la population exercent un effet négatif sur le développement boursier – ce qui est en ligne avec l'idée selon laquelle les élites poursuivent leurs intérêts économiques en favorisant levé de capitaux sur les marchés boursiers. En revanche, j’identifie un effet positif du suffrage sur le développement bancaire – ce qui est en ligne avec l'idée selon laquelle le renforcement du pouvoir politique de la classe moyenne favorise un secteur bancaire qui partage son aversion pour le risque. Dans le deuxième essai, j’examine les déterminants politiques des réformes financières ayant eu lieux à travers le monde durant les trois dernières décennies. Je souligne en particulier le rôle prépondérant de la cohésion des gouvernements pour expliquer le rythme à laquelle ces réformes ont été prises ; constatant en effet que les gouvernements fragmentés sont moins enclins à dévier du statu quo. Dans le troisième essai, j’explore les répercussions des efforts de lobbying déployés par le secteur bancaire aux Etats-Unis ces quinze dernières années. Je montre que les banques font du lobbying pour obtenir un traitement préférentiel de la part du égulateur ; ce qui leur permet à leur tour de prendre des risques supplémentaires. / What are the consequences of countries’ political system on their financial markets and intermediaries? This dissertation proceeds in answering this question along three essays. The first essay focuses on the way suffrage institutions, a key measure of the distribution of political power, shape countries’ reliance on both stock market and bank finance. It provides evidence from the last two centuries that suffrage expansions adversely affect stock market development, consistent with the insight that small elites pursue economic opportunities by promoting capital raised on stock markets. In contrast, it shows a positive effect of suffrage on banking development, consistent with the idea that an empowered middle class favors banks as they share its aversion for risk. The second essay examines the political outcomes driving the pace and extent of financial reforms occurring in the last three decades around the world. It stresses the role of government cohesiveness in explaining patterns of financial liberalizations, finding that fragmented governments do breed stalemate. The third essay explores the incidence and drivers of lobbying efforts made by the U.S. banking industry. It shows that banks engage in lobbying to gain preferential treatment, and take in turn additional risks.
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Behaviorálne financie a ich aplikácia na kapitálové trhy / Behavioral finance and their application to capital marketsŠuvadová, Barbara January 2013 (has links)
Thesis addresses the topic of behavioral finance. The aim of the paper is to identify most common investors's mistakes and examine the impact, the psychological and sociological factors have on their behavior when trading equities. The first part of thesis deals with the definition of classical theoretical concepts. The second part is devoted to the description of behavioral deviations. The final section consists of a questionnaire survey which aims to establish whether the behavior of participants is biased with behavioral deviations or is in accordance with the theory of efficient markets.
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Cyclicality of size, value and momentum on the Johannesburg stock exchangeKapche Fotso, Herve Moise January 2019 (has links)
Magister Commercii - MCom / Over the past four decades, size, value and momentum effects have been uncovered on stock
markets, and several multifactor asset pricing models have been proposed to explain them.
The associated premiums have been found to be time-varying and the explanations behind the
effects are still debated. In South Africa, contradictory findings have been reported on the
existence of those effects and the explanatory power of multifactor models. More important,
the cyclicality of the effects and the risk/mispricing debate have been given little attention.
In this regard, this study purports to establish the existence of size, value and momentum
effects, investigate the explanatory power of the Fama-French three- and five-factor models
(FF3F and FF5F respectively), and Carhart four-factor model (C4F), and examine the
cyclicality and risk-based rationale of the style premiums on the Johannesburg Stock
Exchange (JSE). Using a research sample comprised of common stocks included in the
FTSE/JSE All Share Index (ALSI) for the period 1 January 2002 - 31 December 2018, the
study subdivides the examination period into two business cycles, with each cycle including
one upward phase and one downward phase
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Podpůrný nástroj pro investování na akciových trzích / Supportive Tool for Investing in a Stock MarketsBlaškovič, Branislav January 2016 (has links)
This thesis deals with the development of supportive tool for investment in the stock markets. The result is a tool that allows investors in making decisions while investing and also can autonomously invest in stock markets by pre-learned heuristics that can help a potential investor to choose their own tactics for investing.
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