Bakalauro baigiamajame darbe nagrinėjama optimalaus akcijų portfelio sudarymo problema OMXV rinkoje. Teorinėje darbo dalyje analizuojami portfelio sudarymo teoriniai ypatumai, nagrinėjamos fundamentaliosios ir techninės analizių derinimo galimybės, moderniųjų portfelio teorijų taikymo principai. Praktinėje dalyje atliekama fundamentali šalies, atskirų ekonomikos sektorių ir įmonių finansinė veiklos analizė. Siekiant nustatyti atrinktų akcijų kainų kitimo perspektyvas atliekama techninė akcijų kainų grafikų analizė. Techninės ir fundamentaliosios analizių sintezės pagalba taip pat įvertinus akcijų laukiamus pelningumus, riziką ir tarpusavio koreliacijos ryšius nutarta formuoti akcijų portfelį iš 4 įmonių akcijų. Taikant šiuolaikines portfelio teorijas rasti optimaliausi akcijų portfelių variantai trim investuotojų tipam: konservatyviam, nuosaikiam ir agresyviam. Siekiant tikslingai įvertinti taikytus metodus analizuojami portfelio rezultatai po 3 mėnesių laikotarpiu stebėjimo. / Undergraduate thesis provides the results of solving optimal stock portfolio construction problem in OMXV stock market. The theoretical part analysis theoretical portfolio formation internals, considered possibilities of fundamental and technical analysis combination, application of modern portfolio theories principles. The practical part of the thesis made fundamental analysis of country, individual sectors of the economy and financial performance analysis of companies. On purpose to identify perspectives of share prices changes in future made graphs technical analysis. In assistance of technical and fundamental analysis synthesis as well as assessment of the shares expected profitability, risk and internecine correlation agreed to develop a portfolio of 4 stocks. Application of modern portfolio theory found optimal portfolios versions for three different types of investors: conservative, moderate and aggressive. In order to specifically evaluate the used methods analyzed the results of the portfolio after a 3-month observation period.

Although a pair trading is well known among South African agricultural commodity traders, there are no comprehensive documented accounts for the selection and trading of agricultural commodity pairs in South Africa. The majority of agricultural commodity pairs traders take positions based on their personal view of price movements, without testing for a statistical relationship between the paired commodities that will guarantee that their prices will move back to a common mean. To remedy this lack of method regarding the pairs selection and pairs trading processes, a comprehensive pairs selection process was developed and is documented in this thesis. During the pairs selection process, several agricultural commodities were put through a rigorous evaluation process to test for any long-run statistical relationships between them. This was done to ensure that only pairs with stable long-run statistical relationships were included in the final pair’s portfolio that was compiled. In order to test the profitability of this pair’s portfolio, several fundamental and technical indicators were used to determine entry and exit points. Although some of these indicators did not render satisfactory results, the RSI and Bollinger bands succeeded in realising an acceptable profit. / Thesis (Ph.D. (Risk Management))--North-West University, Potchefstroom Campus, 2008.

Although a pair trading is well known among South African agricultural commodity traders, there are no comprehensive documented accounts for the selection and trading of agricultural commodity pairs in South Africa. The majority of agricultural commodity pairs traders take positions based on their personal view of price movements, without testing for a statistical relationship between the paired commodities that will guarantee that their prices will move back to a common mean. To remedy this lack of method regarding the pairs selection and pairs trading processes, a comprehensive pairs selection process was developed and is documented in this thesis. During the pairs selection process, several agricultural commodities were put through a rigorous evaluation process to test for any long-run statistical relationships between them. This was done to ensure that only pairs with stable long-run statistical relationships were included in the final pair’s portfolio that was compiled. In order to test the profitability of this pair’s portfolio, several fundamental and technical indicators were used to determine entry and exit points. Although some of these indicators did not render satisfactory results, the RSI and Bollinger bands succeeded in realising an acceptable profit. / Thesis (Ph.D. (Risk Management))--North-West University, Potchefstroom Campus, 2008.

[Truncated abstract] This thesis examines and compares the performance of three classes of stock trading strategies in the Australian stock market from 1980 to 2002. ... The first segment of this thesis examines some simple technical trading rules with a twostep methodology ... Our standard test results show that technical trading rules generate excess returns higher than that of the buy-and-hold portfolio equivalent prior to 1991, but generate lower returns in the period post-1991. Bootstrap test results also show that addressing nonnormality, time-dependence and conditional heteroskedasticity in the data reverses the standard test outcome of predictability ... In addition, our sub-sample results also show technical trading rules becoming less profitable over time ... The second segment of this thesis examines trading rules based on the forecasts of four time-series models: the AR(1), AR(1)-GARCH(1,1), AR(1)-GARCH(1,1)-M and AR(1)- EGARCH(1,1) models. These time-series trading rules were examined with standard t-tests and found to be significantly less profitable compared to technical trading rules. Subsample results also show the time-series trading rules losing profitability over time, which supports the conjecture that the Australian stock market became increasingly efficient over time. The third segment of this thesis examines trading strategies based on various combinations of technical trading rules and time-series models ... Due to the weak performance of the time-series trading rules, our results show that combining technical rules with time-series models do not lead to improved forecast accuracy. Sub-sample results again show a strong decline in profitability post-1991, suggesting that technological advancements in the ASX since 1991 enhance market efficiency such that the above simple stock trading strategies are no longer profitable.

Στην παρούσα εργασία ερευνάται η κερδοφορία του τεχνικού κανόνα του κινητού μέσου όρου στο χρηματιστήριο Αθηνών. Συγκεκριμένα, χρησιμοποιούνται ημερήσια δεδομένα του δείκτη FTSE 20 για την περίοδο 2005 έως 2011.Σύμφωνα με τα κύρια αποτελέσματα της έρευνας, οι αποδόσεις αγοράς των μετοχών δεν διαφέρουν από τις αποδόσεις πώλησης των μετοχών. Συνεπώς, με την υιοθέτηση του συγκεκριμένου τεχνικού κανόνα δεν είναι εφικτή η παραγωγή υπερβάλλοντων κερδών. Ωστόσο, παρατηρείται ότι η αγορά είναι καθοδική από το 2008 και μετά, με αποτέλεσμα σε πολλές περιπτώσεις να παρουσιάζεται σημαντική διαφορά μεταξύ των διακυμάνσεων των αποδόσεων αγοράς και των αποδόσεων πώλησης των μετοχών. Όπως είναι φυσικό, κάτι τέτοιο δεν έχει καμία επίδραση στο αποτέλεσμα της μη κερδοφορίας. Επίσης, τα αποτελέσματα της έρευνας δείχνουν ότι οι πιθανότητες κέρδους μέσω της τεχνικής ανάλυσης ελαχιστοποιούνται έως και μηδενίζονται μακροπρόθεσμα. / In this work, the profitability of the moving average MA trading rule is examined in the Athens Stock Exchange. Particularly, dialy data of stock index FTSE 20 are used, over 2005-2011 periods. According to the main results, stocks' buy returns do not differ from stocks' sell returns. Consequently, generation of excess profits is not feasible with the adoption of this technical rule. It is, however, observed that the market has been in recession since 2008, so that there seems to be signigicant difference between the variance of buy returns and the variance of sell returns. It is obvious that, this has no effect on the main results. Also, results show that the probabilities of profitability using technical analysis are minimized or even become zero in the long run.

O presente trabalho buscou verificar aspectos relacionados ao (re)aproveitamento e agregação de valor, analisando a viabilidade técnica e de investimento em processos de coloração artificial do “basalto carijó” (riodacito) utilizando efluentes dos processos de tingimento inorgânico vermelho de ágata. Para isto foram inicialmente buscadas e descritas informações acerca das cadeias produtivas da ágata e do basalto e processos de beneficiamento destas, bem como de processos de impregnação industrialmente utilizados. A partir das informações obtidas foi iniciado o ciclo de ensaios e análises, dividido em três fases. Todos os ensaios realizados tiveram como objetivo, além do tingimento da rocha, o desenvolvimento de processos ambientalmente sustentáveis. Na primeira fase, dada a falta de informações sobre processos de impregnação em rochas ou materiais idênticos, foram utilizados processos de simples imersão, sob vácuo e/ou pressão. O primeiro ensaio foi estabelecido aleatoriamente e os subsequentes programados a partir da análise visual dos resultados obtidos nos anteriores. Na segunda fase, considerando a baixa influência verificada pelas cargas de pressão e vácuo utilizadas anteriormente, optou-se pela utilização de aquecimento de 90ºC durante os ensaios – processo baseado nos utilizados para o tingimento da ágata – tendo, diferentemente da primeira fase, todos os ensaios seus parâmetros de execução previamente estabelecidos. Nestes, foram obtidos resultados mais ágeis e melhores no que tange a alteração de cor. Após a realização dos processos de tingimento, as amostras foram serradas, para a verificação da possível impregnação do efluente, e, posteriormente, uma das metades de cada amostra levada à queima em forno sob temperatura de 200ºC durante 8 horas – processo também baseado nos utilizados para o tingimento da ágata. Na terceira fase, buscando a minimização da possibilidade de volatilização do efluente e da impregnação deste na rocha – não verificada nas amostras serradas na segunda fase de ensaios – foi reduzida para 40ºC a temperatura de aquecimento utilizada durante os processos e aumentados os tempos de exposição das amostras ao pigmentante. Também nesta fase foram utilizados efluentes provenientes de lotes com diferentes concentrações de Fe para a verificação da influência desta nos resultados. Ao final, também foram serradas e queimadas as amostras. Os resultados obtidos em cada ensaio foram digitalmente registrados para análise quantitativa utilizando padrão H (matiz), S (saturação) e B (brilho). Tecnicamente, após a análise quantitativa, foram verificados melhores resultados nos processos desenvolvidos na fasedois (sob 90ºC) sendo, a partir destes desenvolvida análise de investimento para ambas as indústrias envolvidas – ágata e basalto. Bons resultados foram obtidos na análise de investimento para a indústria de beneficiamento de ágata a partir dos valores de mercado utilizados como parâmetros. Já para a indústria de beneficiamento do basalto o impacto do custo de contratação dos serviços de tingimento junto à indústria da ágata determinou a inviabilidade de investimento no processo. / This study aimed to verify aspects concerning to (re)use and appreciation, analyzing the technical and the investment feasibility in artificial processes to dye "Basalto Carijó" (rhyodacite) using effluent from dyeing processes of inorganic red agate. Initially are described and sought information about supply chains and beneficiation processes of production chains agate and basalt, as well as impregnation processes industrially used. From the information obtained was started the three stages of experimentation and analysis. All trials were designed, to beyond the dyeing of the rocks, to advance in environmentally sustainable processes. In the first stage, given the lack of information about impregnation process on rocks or identical materials, simple immersion processes were used under vacuum and / or pressure. The first trial was randomly established and the subsequent programmes was starting from the visual analysis of the results obtained in the precedents. In the second stage, considering the low influence verified by loads of pressure and vacuum used previously, we opted for the use of heating of 90 ° C during the trials - based process used in for dyeing agate - having, unlike the first phase, all trials was previously established. Better, with respect to color change, and more agile results were obtained in these experiments. After completion of the dyeing process, the samples were sawn, to check the possible impregnation of the effluent, and subsequently one half of each sample was burned oven at a temperature of 200 ° C for 8 hours - process also based in used to dyeing agate. In the third phase, seeking to minimize the possibility of volatilization of the wastewater and soak this in the rock - not observed in samples sawn in the second phase of trials - was reduced to 40 ° C heating temperature used during the procedure and was increased the time of exposure the samples to the colorant. Also at this stage effluents from batches with different concentrations of Fe to verify the influence of the results were used. At the end, were also burnt the halves of the sawn samples. The results obtained in each experiment were digitally recorded for quantitative analysis using H (hue), S (saturation) and B (brightness) standard colours. Technically, after the quantitative analysis, the best results on the processes developed in phase two (under 90) being developed from these investment analysis for both industries involved have been checked. Good results were obtained in the analysis of investment industry for beneficiation agate from the market values used as parameters. As for the processing industry Basalt the impact of the cost of hiring the services of dyeing with the agate industry determined the impracticability of investment in the process.

The main objective of this diploma work is the application of various methods and indicators for fundamental and technical analysis on the data of H + S bussi, Ltd. company in the years 2006 - 2010 and based on the results obtained to evaluate the financial situation of the company. The first part of this work provides information problems of fundamental and technical analysis. The second part focuses on the characteristics of the enterprise itself and the methods of evaluation of financial health.

Made available in DSpace on 2016-08-17T18:39:41Z (GMT). No. of bitstreams: 1 3991.pdf: 4301734 bytes, checksum: 1db3b3aefa59d45b4e86cc57db11b57f (MD5) Previous issue date: 2011-09-13 / Financiadora de Estudos e Projetos / Açaí is the fruit of a palm tree found throughout the North of Brazil that has been gaining attention due to its high energetic potential, applications in pharmaceuticals, dentistry, medicine and food industries. So, consumers from all over Brazil and also from other countries are looking for the product, encouraging the extraction and the increase in planted area causing inflating the price. Being a market with strong growth can be invaluable for the agribusiness, producers and middlemen predict the price of fruit. Given this context, the objective of this study is to analyze and predict the price of açaí fruit sold at the Açaí Fair in Belém (Pará), through the following methodologies: time series, specifically ARIMA and SARIMA models and technical analysis using tracking trends and chart Candlestick. The series analysis showed that there is a growing trend of prices and annual seasonality. The results showed about forecast presented Root Mean Squared Error and Mean Absolute Percentage Error low. As for price trends, can be observed that the use of moving averages and MACD with the suggested parameters were the methods that best indicated the beginning of the season and offseason and were able to track the price change, being considered for use as an effective tool of aid in decision making. But the use of exponential moving averages and the intersection of three moving averages, and/or the method of Didi Index, showed that the tool can track the price change, but does not anticipate the entry of season or offseason, being ineffective for use in decision making. So, we conclude that the use of only method to predict the price can be ineffective to assist in decision making, and therefore requires the use a set of methods. / O açaí é o fruto de uma palmeira encontrada em toda a região Norte do Brasil que vem ganhando destaque devido ao seu alto potencial energético, aplicações na indústria farmacêutica, odontologia, medicina e indústrias alimentícias. Assim, consumidores de todo o Brasil e também de outros países procuram pelo produto, estimulando o extrativismo e o aumento da área plantada causando o inflacionamento do preço. Por ser um mercado com forte crescimento, pode ser de grande valia para agroindústrias do ramo, produtores e atravessadores prever o preço do fruto. Diante deste contexto, o objetivo deste trabalho é analisar e prever o preço do fruto de açaí comercializado na Feira do Açaí em Belém (Pará), por meio das seguintes metodologias: séries temporais, especificamente os modelos ARIMA e SARIMA e, análise técnica, utilizando rastreadores de tendências e gráfico de Candlestick. A análise da série mostrou que existe uma tendência crescente dos preços e sazonalidade anual. Os resultados obtidos pelas previsões apresentaram Raiz do Erro Quadrático Médio (REQM) e Erro Percentual Absoluto Médio (EPAM) baixos. Quanto à tendência dos preços, pode-se observar que a utilização das médias móveis e do MACD com os parâmetros sugeridos foram os métodos que melhor indicaram o inicio da safra e entressafra e conseguiram rastrear a variação do preço, sendo considerados eficazes para utilização como ferramenta de auxilio em tomadas de decisão. Já a utilização das médias móveis exponenciais e o cruzamento de três médias móveis, e/ou método de agulhada do DIDI, mostraram que a ferramenta pode rastrear a variação do preço, porém não antecipa a entrada de safra ou entressafra, sendo pouco eficaz para utilização em tomadas de decisão. Dessa forma, conclui-se que a utilização de um único método exclusivo para prever o preço pode ser pouco eficaz para auxiliar na tomada de decisão, sendo então necessária a utilização de um conjunto de métodos.

Submitted by MAURÍLIO DE OLIVEIRA SILVÉRIO null (mauriliooliveira12@yahoo.com.br) on 2016-10-26T06:16:35Z No. of bitstreams: 1 Dissertação Maurílio.pdf: 1305705 bytes, checksum: 50103e97b5ef9d230d5fadd13c42ae9d (MD5) / Rejected by Juliano Benedito Ferreira (julianoferreira@reitoria.unesp.br), reason: Solicitamos que realize uma nova submissão seguindo a orientação abaixo: O arquivo submetido está sem a ficha catalográfica. A versão submetida por você é considerada a versão final da dissertação/tese, portanto não poderá ocorrer qualquer alteração em seu conteúdo após a aprovação. Corrija esta informação e realize uma nova submissão com o arquivo correto. Agradecemos a compreensão. on 2016-11-01T14:53:02Z (GMT) / Submitted by MAURÍLIO DE OLIVEIRA SILVÉRIO null (mauriliooliveira12@yahoo.com.br) on 2016-11-04T15:12:31Z No. of bitstreams: 1 Dissertação Maurílio.pdf: 1307999 bytes, checksum: 0c0da6a2ec3f3d93a2fb350becf7b6f5 (MD5) / Approved for entry into archive by Juliano Benedito Ferreira (julianoferreira@reitoria.unesp.br) on 2016-11-07T16:22:12Z (GMT) No. of bitstreams: 1 silveiro_mo_me_guara.pdf: 1307999 bytes, checksum: 0c0da6a2ec3f3d93a2fb350becf7b6f5 (MD5) / Made available in DSpace on 2016-11-07T16:22:12Z (GMT). No. of bitstreams: 1 silveiro_mo_me_guara.pdf: 1307999 bytes, checksum: 0c0da6a2ec3f3d93a2fb350becf7b6f5 (MD5) Previous issue date: 2016-09-02 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) / O presente estudo refere-se à análise técnica e econômica da reforma a vapor do glicerol, gerado como subproduto no processo de produção de biodiesel, para a produção de hidrogênio como alternativa de combustível renovável para os diversos problemas energéticos que o mundo vem enfrentando. A análise técnica da reforma a vapor de glicerol para a produção de hidrogênio consiste em estudos físico-químicos do processo, com informações sobre a temperatura, os valores para pressão de vapor da reforma, o grau de avanço da reação, o volume de reagentes utilizados (glicerol e água) e os produtos obtidos nas reações (de hidrogênio e dióxido de carbono). A análise econômica tem o objetivo de determinar o custo de produção de hidrogênio em função do capital investido, da operação e da manutenção do reformador. Estes estudos indicam que a reforma a vapor de glicerol é tecnicamente viável para a produção de hidrogênio como alternativa de combustível renovável. A importância desse processo de reforma a vapor também é enfatizada por ser uma utilização alternativa para o glicerol gerado como um subproduto da produção de biodiesel. / Faced with serious energy production problems, the world is becoming more concerned with researching and implementing energy renewable sources. Biodiesel is an example, but the biodiesel production process generates glycerol as a byproduct, this residue can become an obstacle for biodiesel production. However, the steam reforming of glycerol could be used to produce hydrogen. In this work, the technical and economic analysis of this process is made. The technical analysis consists in physical and chemical studies. These analyses provided information as temperature, pressure ranges for steam reforming, the volume of reactants used (in this case, glycerol and water) and the products obtained in the reactions (hydrogen and carbon dioxide), and the advancement degree of the reforming reaction.. The economic analysis was performed in order to determine the cost of hydrogen production as a function of the capital invested, operation and maintenance of the reformer. These studies indicates that the glycerol steam reforming is technically feasible to produce hydrogen as an alternative renewable fuel. The importance of this process is emphasized because it is an alternative use of glycerol generated as a byproduct of biodiesel production.

O presente trabalho buscou verificar aspectos relacionados ao (re)aproveitamento e agregação de valor, analisando a viabilidade técnica e de investimento em processos de coloração artificial do “basalto carijó” (riodacito) utilizando efluentes dos processos de tingimento inorgânico vermelho de ágata. Para isto foram inicialmente buscadas e descritas informações acerca das cadeias produtivas da ágata e do basalto e processos de beneficiamento destas, bem como de processos de impregnação industrialmente utilizados. A partir das informações obtidas foi iniciado o ciclo de ensaios e análises, dividido em três fases. Todos os ensaios realizados tiveram como objetivo, além do tingimento da rocha, o desenvolvimento de processos ambientalmente sustentáveis. Na primeira fase, dada a falta de informações sobre processos de impregnação em rochas ou materiais idênticos, foram utilizados processos de simples imersão, sob vácuo e/ou pressão. O primeiro ensaio foi estabelecido aleatoriamente e os subsequentes programados a partir da análise visual dos resultados obtidos nos anteriores. Na segunda fase, considerando a baixa influência verificada pelas cargas de pressão e vácuo utilizadas anteriormente, optou-se pela utilização de aquecimento de 90ºC durante os ensaios – processo baseado nos utilizados para o tingimento da ágata – tendo, diferentemente da primeira fase, todos os ensaios seus parâmetros de execução previamente estabelecidos. Nestes, foram obtidos resultados mais ágeis e melhores no que tange a alteração de cor. Após a realização dos processos de tingimento, as amostras foram serradas, para a verificação da possível impregnação do efluente, e, posteriormente, uma das metades de cada amostra levada à queima em forno sob temperatura de 200ºC durante 8 horas – processo também baseado nos utilizados para o tingimento da ágata. Na terceira fase, buscando a minimização da possibilidade de volatilização do efluente e da impregnação deste na rocha – não verificada nas amostras serradas na segunda fase de ensaios – foi reduzida para 40ºC a temperatura de aquecimento utilizada durante os processos e aumentados os tempos de exposição das amostras ao pigmentante. Também nesta fase foram utilizados efluentes provenientes de lotes com diferentes concentrações de Fe para a verificação da influência desta nos resultados. Ao final, também foram serradas e queimadas as amostras. Os resultados obtidos em cada ensaio foram digitalmente registrados para análise quantitativa utilizando padrão H (matiz), S (saturação) e B (brilho). Tecnicamente, após a análise quantitativa, foram verificados melhores resultados nos processos desenvolvidos na fasedois (sob 90ºC) sendo, a partir destes desenvolvida análise de investimento para ambas as indústrias envolvidas – ágata e basalto. Bons resultados foram obtidos na análise de investimento para a indústria de beneficiamento de ágata a partir dos valores de mercado utilizados como parâmetros. Já para a indústria de beneficiamento do basalto o impacto do custo de contratação dos serviços de tingimento junto à indústria da ágata determinou a inviabilidade de investimento no processo. / This study aimed to verify aspects concerning to (re)use and appreciation, analyzing the technical and the investment feasibility in artificial processes to dye "Basalto Carijó" (rhyodacite) using effluent from dyeing processes of inorganic red agate. Initially are described and sought information about supply chains and beneficiation processes of production chains agate and basalt, as well as impregnation processes industrially used. From the information obtained was started the three stages of experimentation and analysis. All trials were designed, to beyond the dyeing of the rocks, to advance in environmentally sustainable processes. In the first stage, given the lack of information about impregnation process on rocks or identical materials, simple immersion processes were used under vacuum and / or pressure. The first trial was randomly established and the subsequent programmes was starting from the visual analysis of the results obtained in the precedents. In the second stage, considering the low influence verified by loads of pressure and vacuum used previously, we opted for the use of heating of 90 ° C during the trials - based process used in for dyeing agate - having, unlike the first phase, all trials was previously established. Better, with respect to color change, and more agile results were obtained in these experiments. After completion of the dyeing process, the samples were sawn, to check the possible impregnation of the effluent, and subsequently one half of each sample was burned oven at a temperature of 200 ° C for 8 hours - process also based in used to dyeing agate. In the third phase, seeking to minimize the possibility of volatilization of the wastewater and soak this in the rock - not observed in samples sawn in the second phase of trials - was reduced to 40 ° C heating temperature used during the procedure and was increased the time of exposure the samples to the colorant. Also at this stage effluents from batches with different concentrations of Fe to verify the influence of the results were used. At the end, were also burnt the halves of the sawn samples. The results obtained in each experiment were digitally recorded for quantitative analysis using H (hue), S (saturation) and B (brightness) standard colours. Technically, after the quantitative analysis, the best results on the processes developed in phase two (under 90) being developed from these investment analysis for both industries involved have been checked. Good results were obtained in the analysis of investment industry for beneficiation agate from the market values used as parameters. As for the processing industry Basalt the impact of the cost of hiring the services of dyeing with the agate industry determined the impracticability of investment in the process.