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Avaliação de preços de ações: proposta de um índice baseado nos preços históricos ponderados pelo volume, por meio do uso de modelagem computacional / Stock prices assessment: proposal of a index based on volume weighted historical prices through the use of computer modelingTiago Santos Colliri 03 May 2013 (has links)
A importância de se considerar os volumes na análise dos movimentos de preços de ações pode ser considerada uma prática bastante aceita na área financeira. No entanto, quando se olha para a produção científica realizada neste campo, ainda não é possível encontrar um modelo unificado que inclua os volumes e as variações de preços para fins de análise de preços de ações. Neste trabalho é apresentado um modelo computacional que pode preencher esta lacuna, propondo um novo índice para analisar o preço das ações com base em seus históricos de preços e volumes negociados. O objetivo do modelo é o de estimar as atuais proporções do volume total de papéis negociados no mercado de uma ação (free float) distribuídos de acordo com os seus respectivos preços passados de compra. Para atingir esse objetivo, foi feito uso da modelagem dinâmica financeira aplicada a dados reais da bolsa de valores de São Paulo (Bovespa) e também a dados simulados por meio de um modelo de livro de ordens (order book). O valor do índice varia de acordo com a diferença entre a atual porcentagem do total de papéis existentes no mercado que foram comprados no passado a um preço maior do que o preço atual da ação e a sua respectiva contrapartida, que seria a atual porcentagem de papéis existentes no mercado que foram comprados no passado a um preço menor do que o preço atual da ação. Apesar de o modelo poder ser considerado matematicamente bastante simples, o mesmo foi capaz de melhorar significativamente a performance financeira de agentes operando com dados do mercado real e com dados simulados, o que contribui para demonstrar a sua racionalidade e a sua aplicabilidade. Baseados nos resultados obtidos, e também na lógica bastante intuitiva que está por trás deste modelo, acredita-se que o índice aqui proposto pode ser bastante útil na tarefa de ajudar os investidores a definir intervalos ideais para compra e venda de ações no mercado financeiro. / The importance of considering the volumes to analyze stock prices movements can be considered as a well-accepted practice in the financial area. However, when we look at the scientific production in this field, we still cannot find a unified model that includes volume and price variations for stock prices assessment purposes. In this paper we present a computer model that could fulfill this gap, proposing a new index to evaluate stock prices based on their historical prices and volumes traded. The aim of the model is to estimate the current proportions of the total volume of shares available in the market from a stock distributed according with their respective prices traded in the past. In order to do so, we made use of dynamic financial modeling and applied it to real financial data from the Sao Paulo Stock Exchange (Bovespa) and also to simulated data which was generated trough an order book model. The value of our index varies based on the difference between the current proportion of shares traded in the past for a price above the current price of the stock and its respective counterpart, which would be the proportion of shares traded in the past for a price below the current price of the stock. Besides the model can be considered mathematically very simple, it was able to improve significantly the financial performance of agents operating with real market data and with simulated data, which contributes to demonstrate its rationale and its applicability. Based on the results obtained, and also on the very intuitive logic of our model, we believe that the index proposed here can be very useful to help investors on the activity of determining ideal price ranges for buying and selling stocks in the financial market.
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新的加權平均損失管制圖 / A new weighted average loss control chart歐家玲, Ou, Chia Ling Unknown Date (has links)
近幾年來,有一些研究提出了只用單一一個管制圖即可同時偵測平均數和變異數。根據此目的,我們提出了加權平均損失管制圖,此管制圖是利用加權平均損失所建立的,在一個製成的目標值和平均數不一定相等時,它可同時監控一個製成的平均數和變異數。此加權平均損失統計量是應用一個加權因子,去調整製程平均和目標值的平方差和變異數的損失比重,所以此管制圖的效能比未經由加權因子調整過的管制圖還好。我們不只建立了固定管制參數(FP)加權平均損失管制圖,也建立了適應性加權平均損失管制圖,包括變動抽樣間隔(VSI)、變動樣本數與抽樣間隔(VSI)、變動管制參數(VP);我們利用平均連串長度(ARL)來衡量固定管制參數管制圖的偵測績效,利用馬可夫鏈的方法計算偵測出異常訊息所需的平均時間(ATS)來衡量適應性管制圖的績效,並且做比較,我們發現適應性管制圖比固定管制參數管制圖的效能還要好。我們也利用最佳化技術建立最加適應性管制圖,當製成失控時,此最佳化管制圖能使ATS1最小。此外,當平均數和變異數的偏移幅度很小時,我們利用指數加權移動平均法(EWMA)建立EWMA加權平均損失管制圖,使其有較好的偵測力。這些我們所提出的管制圖,是只根據單一一個統計量所建立的,和X bar-S管制圖相比,有較好的效能,且和使用兩個管制圖同時偵測平均數和變異數相比,比較輕易理解且容易執行。 / In recent years, a few researchers had proposed different types of single charts that jointly monitor the process mean and the variation. In this project, we use the weighted average loss (WL) to construct WL control charts for monitoring the process mean and variance simultaneously while the target value may be different from the in-control mean. This statistic WL applied a weighted factor to adjust the weights of the loss due to the square of the deviation of the process mean from the target and the variance change. So the WL charts are more effective than unadjusted loss function charts. We not only construct the fixed parameters (FP) WL chart but also the adaptive WL charts which included variable sampling interval (VSI) WL chart, variable sample size and sampling interval (VSSI) WL chart and variable parameters (VP) WL chart. We calculate the average run length (ARL) for FP WL chart and using Markov chain approach to calculate the average time to signal (ATS) for adaptive WL charts to measure the performance and compare each other. From the comparison, we find the adaptive WL charts are more effective than the FP WL chart. We also proposed the optimal adaptive WL charts using an optimization technique to minimize ATS1 (ARL1) when the process was out-of-control. In addition, in order to detect the small shifts of the process mean and variance effectively, we construct the WL charts using the EWMA scheme. The proposed charts are based on only one statistic and are more effective than the X bar-S chart. And the WL charts are easy to understand and apply than using two charts for detecting the mean and variance shifts simultaneously.
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Medžiagų ir produkcijos apskaita ir auditas / Accounting and Audit of Materials and ProductionStrazdienė, Daiva 26 May 2005 (has links)
Research object: stocks. Research subject: accounting and audit. Research aim: to investigate the main problems of stocks accounting and audit and to give suggestions that can help to improve stocks accounting and audit. Objectives: 1)To analyze the peculiarities of stocks and production accounting and audit; 2)To carry out an empirical research of stocks and production accounting and audit; 3)To define and analyze the main problems of stocks and production accounting and audit; 4)To formulate conclusions and suggestions in order to develop the field of stocks accounting and audit; Research methods: logical analysis, synthesis, comparison, questionnaire survey and description. In the process of investigation there were analyzed theory and practice of stocks accounting and audit, investigated the main problems of stocks accounting and audit and also given suggestions that can help to solve investigated problems.
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Invariant tests in an instrumental variables model with unknown data generating processCastro, Gustavo Rabello de 28 April 2015 (has links)
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Previous issue date: 2015-04-28 / In this work we focus on tests for the parameter of an endogenous variable in a weakly identi ed instrumental variable regressionmodel. We propose a new unbiasedness restriction for weighted average power (WAP) tests introduced by Moreira and Moreira (2013). This new boundary condition is motivated by the score e ciency under strong identi cation. It allows reducing computational costs of WAP tests by replacing the strongly unbiased condition. This latter restriction imposes, under the null hypothesis, the test to be uncorrelated to a given statistic with dimension given by the number of instruments. The new proposed boundary condition only imposes the test to be uncorrelated to a linear combination of the statistic. WAP tests under both restrictions to perform similarly numerically. We apply the di erent tests discussed to an empirical example. Using data from Yogo (2004), we assess the e ect of weak instruments on the estimation of the elasticity of inter-temporal substitution of a CCAPM model. / Este trabalho trata de testes para o parâmetro de uma variável endógena em modelos de regressão com variáveis instrumentais fracas. Propomos uma nova restrição para o viés dos testes weighted average power (WAP), desenvolvidos em Moreira e Moreira (16, 2013). A motivação para essa nova restrição se baseia na eficiência do teste score sob a hipótese de identificação forte. Essa hipótese permite reduzir o custo computacional dos testes WAP, substituindo a restrição de strongly unbiased. Esta ultima demanda que, sob a hipótese nula, o teste seja ortogonal a uma dada estatística com sua dimensão dada pelo número de instrumentos. A restrição aqui proposta exige somente que o teste seja não correlacionado com uma combinação linear dessa estatística. Nas simulações, ambos os testes apresentam um desempenho numericamente similar. Aplicamos ainda os testes discutidos neste trabalho na estimação da elasticidade de substituição intertemporal de um modelo CCAPM.
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Využitelnost moderních metod hodnocení finanční situace podniku (ukazatele EVA, MVA a průměrné náklady kapitálu) / Utility of modern methods of assessing the financial situation of an enterprise (EVA, MVA and average cost of capital)KOŘÁNKOVÁ, Romana January 2018 (has links)
This thesis deals with evaluation of the utility of modern methods of evaluation of the financial situation of the company and their comparison with older, classic indicators. The theoretical part deals with the financial analysis of the company and the classical indicators and with the modern indicator Economic value added. This paper describes the concept of the EVA indicator and the transformation of the accounting data leading to the economic data and the items entering the calculation of the EVA are defined in detail. The practical part contains calculations of classical indicators based on the accounting data of company Kern-Liebers in years 2012-2016. The main part of this thesis deals with transformation of accounting data of the company for subsequent calculation of the EVA indicator. In addition, the EVA indicator is decomposed, the company is compared with sectoral values by using the INFA system and in the last step the results of the classical indicators with the modern EVA indicator are compared and the conclusions are interpreted.
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Stanovení hodnoty podniku / Business ValuationHromek, Jan January 2017 (has links)
This diploma thesis deals with assesing the value of a specific company and with theoretical aspects of such valuation. A construction company called MORAVOSTAV Brno, a. s. stavební společnost was chosen for the assessment. Based on the theoretical findings a strategic and financial analysis was conducted and the value of the company was established by valuation methods of discounted cash flow and economic value added.
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Stanovení hodnoty podniku / Business ValuationSynková, Tereza January 2017 (has links)
This diploma thesis is aimed to a value assessment of the Kovo HB, s.r.o. company. Firstly, the strategic and financial analyses were processed, which results are resumed in SWOT analysis. Subsequently, the financial plan was arranged and the value assessment itself was appointed by using selected revenue methods. The final value of the company was appointed to the 31st December 2015 by the methods of discounted cash flow and Economic Value Added.
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Stanovení hodnoty podniku / Business ValuationDorčincová, Šárka January 2017 (has links)
This diploma thesis is focused on determining the value of Choceňská mlékárna, Ltd., to the date of 31 December 2015, using the yield method. The first part of the thesis presents the basic theoretical framework relating the business valuation. The second part is the development a strategic and financial analysis. Based on these analyzes and value generators, the valuation of the company is performed. The resulting value of the company is determined using the discounted cash flow method.
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Stanovení hodnoty podniku výnosovou metodou / Valuation of a Firm by Using Income Capitalization ApproachOulehla, Patrik January 2017 (has links)
This master thesis deals with the estimation of the value of enterprise Prefa Brno a.s. via income based methods. Specifically via methods DCF and EVA in variant entity. The theoretical part is mainly focused on theoretical foundations and procedures used for valuation of company The practical part uses theoretical patterns and is targeted on the analysed enterprise. It consists of strategic analysis, financial analysis, SWOT analysis and also procedure of valuation of the firm by using income based method.
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Stanovení hodnoty podniku výnosovou metodou / Business Valuation by Using Income Capitalization ApproachProcházka, Jan January 2017 (has links)
This master thesis deals with evaluation of the company TSS, spol. s r.o. (Ltd.) Třebechovice pod Orebem using earning based methods. The theoretical part contains theoretical foundations and procedures used for company evaluation. The practical part consists of strategic analysis, financial analysis, SWOT analysis, financial plan construction and final calculation of company value via DCF entity and EVA methods. The result of the thesis is the ekvity value of TSS company.
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