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[pt] ENSAIOS SOBRE INOVAÇÕES FINANCEIRAS: FEEDBACK TRADING, TRACKING EFFICIENCY E ÍNDICE DE INOVAÇÃO / [en] ESSAYS ON FINANCIAL INNOVATIONS: FEEDBACK TRADING, TRACKING EFFICIENCY AND INNOVATION INDEXAUGUSTO FERREIRA DA COSTA NETO 19 April 2021 (has links)
[pt] Desde o trabalho seminal conduzido por Schumpeter (1934), vários pesquisadores estudaram a relação entre os gastos com Pesquisa, Desenvolvimento & Inovação (P, D e I) e o desempenho das empresas, obtendo evidências contraditórias entre setores, tamanhos das empresas, geografia e graus de desenvolvimento dos mercados. Esta tese tem como objetivo propor, por meio de três ensaios, a criação de um índice que capture um conjunto de ações de empresas listadas na Brasil, Bolsa, Balcão (B3) que investem e declaram investir em P, D e I, bem como produtos financeiros, notadamente Exchange-traded Funds (ETFs), que, atrelados a este índice, possam contribuir para aumentar o volume de negócios das referidas ações, e assim encorajar mais empresas a se envolverem em atividades de P, D e I, bem como, para as que já o fazem, se comprometerem a divulgar essas ações ao mercado. Os resultados indicam ser possível formar uma carteira de empresas que declaram investimento em P, D e I de tal sorte que o desempenho dessas supere o principal benchmark do mercado brasileiro. Para o caso de produtos atrelados a essa carteira teórica, as evidências apontam para a necessidade de se observar o comportamento dos investidores nestes ativos em mercados emergentes como o brasileiro, bem como desenvolver mecanismos que garantam a aderência do produto ao índice, minimizando erros de precificação. / [en] Since the seminal work conducted by Schumpeter (1934), several researchers have studied the relationship between Research, Development and Innovation (R, D and I) expenditures and firms performance, with mixed outputs among sectors, firms sizes, geography, and markets degrees of development. This thesis aims to propose, through three essays, the creation of an index that captures a set of shares of companies listed in Brasil, Bolsa, Balcão (B3) that invest and declare to invest in R, D and I, as well as financial products, notably Exchange-traded funds (ETFs), which, linked to this index, can contribute to increase the volume of transactions of said shares, and thus contribute to more companies engaging in R, D and I activities, as well as, for those that already do, that commit themselves to divulge these actions to the market. The results indicate that it is possible to form a portfolio of companies that declare investment in R, D and I in such a way that their performance exceeds the main benchmark of the Brazilian market. For products linked to this theoretical portfolio, the evidence points to the need to observe the behavior of investors in these assets in emerging markets such as Brazil, as well as to develop mechanisms that guarantee the adherence of the product to the index, minimizing tracking errors.
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In-Jet Tracking Efficiency Analysis for the STAR Time Projection Chamber in Polarized Proton-Proton Collisions at sqrt(s) = 200GeVHuo, Liaoyuan 2012 May 1900 (has links)
As one of the major mid-rapidity tracking devices of the STAR detector at the Relativistic Heavy-Ion Collider (RHIC), the Time Projection Chamber (TPC) plays an important role in measuring trajectory and energy of high energy charged particles in polarized proton-proton collision experiments. TPC's in-jet tracking efficiency represents the largest systematic uncertainty on jet energy scale at high transverse momentum, whose measurement contributes to the understanding of the spin structure of protons. The objective of this analysis is to get a better estimation of this systematic uncertainty, through methods of pure Monte-Carlo simulation and real- data embedding, in which simulated tracks are embedded into real-data events. Be- sides, simulated tracks are also embedded into Monte-Carlo events, to make a strict comparison for the uncertainty estimation. The result indicates that the unexplained part of the systematic uncertainty is reduced to 3.3%, from a previous quoted value of 5%. This analysis also suggests that future analysis, such as embedding jets into zero-bias real data and analysis with much higher event statistics, will benefit the understanding of the systematic uncertainty of the in-jet TPC tracking efficiency.
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