Is stock market volatility persistent? A fractionally integrated approach

This paper seeks to study the persistence in the G7’s stock market volatility, which is carried out using the GARCH, IGARCH and FIGARCH models. The data set consists of the daily returns of the S&P/TSX 60, CAC 40, DAX 30, MIB 30, NIKKEI 225, FTSE 100 and S&P 500 indexes over the period 1999-2009. The results evidences long memory in volatility, which is more pronounced in Germany, Italy and France. On the other hand, Japan appears as the country where this phenomenon is less obvious; nevertheless, the persistence prevails but with minor intensity.

Open and closed positions and stock index futures volatility

In this paper we analyze the relationship between volatility in index futures markets and the number of open and closed positions. We observe that, although in general both positions are positively correlated with contemporaneous volatility, in the case of S&P 500, only the number of open positions has influence over the volatility. Additionally, we observe a stronger positive relationship on days characterized by extreme movements of these contracting movements dominating the market. Finally, our findings suggest that day-traders are not associated to an increment of volatility, whereas uninformed traders, both opening and closing their positions, have to do with it.

What drives corporate default risk premia? Evidence from the CDS market

This paper studies the evolution of the default risk premia for European firms during the years surrounding the recent credit crisis. We employ the information embedded in Credit Default Swaps (CDS) and Moody’s KMV EDF default probabilities to analyze the common factors driving this risk premia. The risk premium is characterized in several directions: Firstly, we perform a panel data analysis to capture the relationship between CDS spreads and actual default probabilities. Secondly, we employ the intensity framework of Jarrow et al. (2005) in order to measure the theoretical effect of risk premium on expected bond returns. Thirdly, we carry out a dynamic panel data to identify the macroeconomic sources of risk premium. Finally, a vector autoregressive model analyzes which proportion of the co-movement is attributable to financial or macro variables. Our estimations report coefficients for risk premium substantially higher than previously referred for US firms and a time varying behavior. A dominant factor explains around 60% of the common movements in risk premia. Additionally, empirical evidence suggests a public-to-private risk transfer between the sovereign CDS spreads and corporate risk premia.

Evidence of portuguese stock market abnormal returns

According to the stock market efficiency theory, it is not possible to consistently beat the market. However, technical analysis is more and more spread as an efficient way to achieve abnormal returns. In fact there is evidence that momentum investing strategies provide abnormal returns in different stock markets, Jegadeesh, N. and Titman, S. (1993), George, T. and Hwang, C. (2004) and Du, D. (2009). In this work we study if like other markets, the Portuguese stock market also allows to obtain abnormal returns, using a strategy that consists in picking stocks according to their past performance. Our work confirms the results of Soares, J. and Serra, A. (2005) and Pereira, P. (2009), showing that an investor can get abnormal returns investing in momentum portfolios. The Portuguese stock market evidences momentum returns in short term, exhibiting reversal in long term.

Industry concentration and market volatility

In this paper our aim is to gain a better understanding of the relationship between market volatility and industrial structure. As conflicting results have been documented regarding the relationship between market industry concentration and market volatility, this study investigates this relationship in the time series. We have found that this relationship is only significant and positive for Spain. Our results suggest that we cannot generalize across different countries that market industrial structure (concentration) is a significant factor in explaining market volatility.

The role of an illiquidity factor in the Portuguese stock market

This study examines the role of illiquidity (proxied by the proportion of zero returns) as an additional risk factor in asset pricing. We use Portuguese monthly data, covering the period between January 1988 and December 2008. We compute an illiquidity factor using the Fama and French [Fama, E. F., and K. R. French (1993), "Common risk factors in the returns on stocks and bonds", Journal of Financial Economics, Vol. 33, Nº. 1, pp. 3-56] procedure and analyze the performance of CAPM, Fama-French three-factor model and illiquidity-augmented versions of these models in explaining both the time-series and the cross-section of returns. Our results reveal that the effect of characteristic liquidity is subsumed by the models considered, but the risk of illiquidity is not priced in the Portuguese stock market.

A risk-averse optimization model for trading wind energy in a market environment under uncertainty

In this paper, a stochastic programming approach is proposed for trading wind energy in a market environment under uncertainty. Uncertainty in the energy market prices is the main cause of high volatility of profits achieved by power producers. The volatile and intermittent nature of wind energy represents another source of uncertainty. Hence, each uncertain parameter is modeled by scenarios, where each scenario represents a plausible realization of the uncertain parameters with an associated occurrence probability. Also, an appropriate risk measurement is considered. The proposed approach is applied on a realistic case study, based on a wind farm in Portugal. Finally, conclusions are duly drawn. (C) 2011 Elsevier Ltd. All rights reserved.

Mobi_System: A Personal Travel Assistance for Electrical Vehicles in Smart Cities

In this work it is proposed the design of a mobile system to assist car drivers in a smart city environment oriented to the upcoming reality of Electric Vehicles (EV). Taking into account the new reality of smart cites, EV introduction, Smart Grids (SG), Electrical Markets (EM), with deregulation of electricity production and use, drivers will need more information for decision and mobility purposes. A mobile application to recommend useful related information will help drivers to deal with this new reality, giving guidance towards traffic, batteries charging process, and city mobility infrastructures (e. g. public transportation information, parking places availability and car & bike sharing systems). Since this is an upcoming reality with possible process changes, development must be based on agile process approaches (Web services).

Buying behavior and competition in the software market

In the actual world, the impact of the software buying decisions has a rising relevance in social and economic terms. This research tries to explain it focusing on the organizations buying decisions of Operating Systems and Office Suites for personal computers and the impact on the competition between incumbent and alternative players in the market in these software categories, although the research hypotheses and conclusions may extend to other software categories and platforms. We concluded that in this market beside brand image, product features or price, other factors could have influence in the buying choices. Network effect, switching costs, local network effect, lock-in or consumer heterogeneity all have influence in the buying decision, protecting the incumbent and making it difficult for the competitive alternatives, based mainly on product features and price, to gain market share to the incumbent. This happens in a stronger way in the Operating Systems category.

Influencing factors on the buying behavior in the software market

The case of desktop Operating System and Office Suite choices considering Proprietary and Open Source Software alternatives.

Planeamento de curto prazo de sistemas de energia solar usando técnicas de otimização robusta

Dissertação para obtenção do grau de Mestre em Engenharia Electrotécnica

Estratégias de investimento em mercados liberalizados de energia elétrica

Dissertação para obtenção do grau de Mestre em Engenharia Electrotécnica Ramo Energia

Análise do produtor-consumidor enquanto interveniente da rede elétrica inteligente

Dissertação para obtenção do grau de Mestre em Engenharia Electrotécnica Ramo de Energia

Short-term Value for the Water Stored in Headsensitivity Power System Reservoirs

As it is well known, competitive electricity markets require new computing tools for generation companies to enhance the management of its resources. The economic value of the water stored in a power system reservoir is crucial information for enhancing the management of the reservoirs. This paper proposes a practical deterministic approach for computing the short-term economic value of the water stored in a power system reservoir, emphasizing the need to considerer water stored as a scarce resource with a short-term economic value. The paper addresses a problem concerning reservoirs with small storage capacities, i.e., the reservoirs considered as head-sensitivity. More precisely, the respective hydro plant is head-dependent and a pure linear approach is unable to capture such consideration. The paper presents a case study supported by the proposed practical deterministic approach and applied on a real multi-reservoir power system with three cascaded reservoirs, considering as input data forecasts for the electric energy price and for the natural inflow into the reservoirs over the schedule time horizon. The paper presents various water schedules due to different final stored water volume conditions on the reservoirs. Also, it presents the respective economic value of the water for the reservoirs at different stored water volume conditions.

Renewable energy in Islands: an integrated proposal for electricity generation and transports

The purpose of this article is to analyse and evaluate the economical, energetic and environmental impacts of the increasing penetration of renewable energies and electrical vehicles in isolated systems, such as Terceira Island in Azores and Madeira Island. Given the fact that the islands are extremely dependent on the importation of fossil fuels - not only for the production of energy, but also for the transportation’s sector – it’s intended to analyse how it is possible to reduce that dependency and determine the resultant reduction of pollutant gas emissions. Different settings have been analysed - with and without the penetration of EVs. The Terceira Island is an interesting case study, where EVs charging during off-peak hours could allow an increase in geothermal power, limited by the valley of power demand. The percentage of renewable energy in the electric power mix could reach the 74% in 2030 while at the same time, it is possible to reduce the emissions of pollutant gases in 45% and the purchase of fossil fuels in 44%. In Madeira, apart from wind, solar and small hydro power, there are not so many endogenous resources and the Island’s emission factor cannot be so reduced as in Terceira. Although, it is possible to reduce fossil fuels imports and emissions in 1.8% in 2030 when compared with a BAU scenario with a 14% of the LD fleet composed by EVs.