Mem��ria de longo prazo nos retornos acionistas dos ��ndices de refer��ncia da euronext, implica����es para a hip��tese de mercados eficientes e contributo fractal para aperfei��oamento do capital asset pricing model

N��o existe uma defini����o ��nica de processo de mem��ria de longo prazo. Esse processo �� geralmente definido como uma s��rie que possui um correlograma decaindo lentamente ou um espectro infinito de frequ��ncia zero. Tamb��m se refere que uma s��rie com tal propriedade �� caracterizada pela depend��ncia a longo prazo e por n��o peri��dicos ciclos longos, ou que essa caracter��stica descreve a estrutura de correla����o de uma s��rie de longos desfasamentos ou que �� convencionalmente expressa em termos do decl��nio da lei-pot��ncia da fun����o auto-covari��ncia. O interesse crescente da investiga����o internacional no aprofundamento do tema �� justificado pela procura de um melhor entendimento da natureza din��mica das s��ries temporais dos pre��os dos ativos financeiros. Em primeiro lugar, a falta de consist��ncia entre os resultados reclama novos estudos e a utiliza����o de v��rias metodologias complementares. Em segundo lugar, a confirma����o de processos de mem��ria longa tem implica����es relevantes ao n��vel da (1) modela����o te��rica e econom��trica (i.e., dos modelos martingale de pre��os e das regras t��cnicas de negocia����o), (2) dos testes estat��sticos aos modelos de equil��brio e avalia����o, (3) das decis��es ��timas de consumo / poupan��a e de portef��lio e (4) da medi����o de efici��ncia e racionalidade. Em terceiro lugar, ainda permanecem quest��es cient��ficas emp��ricas sobre a identifica����o do modelo geral te��rico de mercado mais adequado para modelar a difus��o das s��ries. Em quarto lugar, aos reguladores e gestores de risco importa saber se existem mercados persistentes e, por isso, ineficientes, que, portanto, possam produzir retornos anormais. O objetivo do trabalho de investiga����o da disserta����o �� duplo. Por um lado, pretende proporcionar conhecimento adicional para o debate da mem��ria de longo prazo, debru��ando-se sobre o comportamento das s��ries di��rias de retornos dos principais ��ndices acionistas da EURONEXT. Por outro lado, pretende contribuir para o aperfei��oamento do capital asset pricing model CAPM, considerando uma medida de risco alternativa capaz de ultrapassar os constrangimentos da hip��tese de mercado eficiente EMH na presen��a de s��ries financeiras com processos sem incrementos independentes e identicamente distribu��dos (i.i.d.). O estudo emp��rico indica a possibilidade de utiliza����o alternativa das obriga����es do tesouro (OT���s) com maturidade de longo prazo no c��lculo dos retornos do mercado, dado que o seu comportamento nos mercados de d��vida soberana reflete a confian��a dos investidores nas condi����es financeiras dos Estados e mede a forma como avaliam as respetiva economias com base no desempenho da generalidade dos seus ativos. Embora o modelo de difus��o de pre��os definido pelo movimento Browniano geom��trico gBm alegue proporcionar um bom ajustamento das s��ries temporais financeiras, os seus pressupostos de normalidade, estacionariedade e independ��ncia das inova����es residuais s��o adulterados pelos dados emp��ricos analisados. Por isso, na procura de evid��ncias sobre a propriedade de mem��ria longa nos mercados recorre-se �� rescaled-range analysis R/S e �� detrended fluctuation analysis DFA, sob abordagem do movimento Browniano fracion��rio fBm, para estimar o expoente Hurst H em rela����o ��s s��ries de dados completas e para calcular o expoente Hurst ���local��� H t em janelas m��veis. Complementarmente, s��o realizados testes estat��sticos de hip��teses atrav��s do rescaled-range tests R/S , do modified rescaled-range test M - R/S e do fractional differencing test GPH. Em termos de uma conclus��o ��nica a partir de todos os m��todos sobre a natureza da depend��ncia para o mercado acionista em geral, os resultados emp��ricos s��o inconclusivos. Isso quer dizer que o grau de mem��ria de longo prazo e, assim, qualquer classifica����o, depende de cada mercado particular. No entanto, os resultados gerais maioritariamente positivos suportam a presen��a de mem��ria longa, sob a forma de persist��ncia, nos retornos acionistas da B��lgica, Holanda e Portugal. Isto sugere que estes mercados est��o mais sujeitos a maior previsibilidade (���efeito Jos�����), mas tamb��m a tend��ncias que podem ser inesperadamente interrompidas por descontinuidades (���efeito No�����), e, por isso, tendem a ser mais arriscados para negociar. Apesar da evid��ncia de din��mica fractal ter suporte estat��stico fraco, em sintonia com a maior parte dos estudos internacionais, refuta a hip��tese de passeio aleat��rio com incrementos i.i.d., que �� a base da EMH na sua forma fraca. Atendendo a isso, prop��em-se contributos para aperfei��oamento do CAPM, atrav��s da proposta de uma nova fractal capital market line FCML e de uma nova fractal security market line FSML. A nova proposta sugere que o elemento de risco (para o mercado e para um ativo) seja dado pelo expoente H de Hurst para desfasamentos de longo prazo dos retornos acionistas. O expoente H mede o grau de mem��ria de longo prazo nos ��ndices acionistas, quer quando as s��ries de retornos seguem um processo i.i.d. n��o correlacionado, descrito pelo gBm(em que H = 0,5 , confirmando- se a EMH e adequando-se o CAPM), quer quando seguem um processo com depend��ncia estat��stica, descrito pelo fBm(em que H �� diferente de 0,5, rejeitando-se a EMH e desadequando-se o CAPM). A vantagem da FCML e da FSML �� que a medida de mem��ria de longo prazo, definida por H, �� a refer��ncia adequada para traduzir o risco em modelos que possam ser aplicados a s��ries de dados que sigam processos i.i.d. e processos com depend��ncia n��o linear. Ent��o, estas formula����es contemplam a EMH como um caso particular poss��vel.

Persistence characteristics in financial prices: evidence from the portuguese stock market returns

The objective of this article is to provide additional knowledge to the discussion of long-term memory, leaning over the behavior of the main Portuguese stock index. The first four moments are calculated using time windows of increasing size and sliding time windows of fixed size equal to 50 days and suggest that daily returns are non-ergodic and non-stationary. Seeming that the series is best described by a fractional Brownian motion approach, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA). The findings indicate evidence of long term memory in the form of persistence. This evidence of fractal structure suggests that the market is subject to greater predictability and contradicts the efficient market hypothesis in its weak form. This raises issues regarding theoretical modeling of asset pricing. In addition, we carried out a more localized (in time) study to identify the evolution of the degree of long-term dependency over time using windows 200-days and 400-days. The results show a switching feature in the index, from persistent to anti-persistent, quite evident from 2010.

Long-term dependence in financial prices: evidence from the Belgian stock market returns

This article aims to contribute to the discussion of long-term dependence, focusing on the behavior of the main Belgian stock index. Non-parametric analyzes of the general characteristics of temporal frequency show that daily returns are non-ergodic and non-stationary. Therefore, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA), under the fractional Brownian motion approach, and we found slight evidence of long-term dependence. These results refute the random walk hypothesis with i.i.d. increments, which is the basis of the EMH in its weak form, and call into question some theoretical modeling of asset pricing. Other more localized complementary study, to identify the evolution of the degree of dependence over time windows, showed that the index has become less persistent from 2010. This may mean a maturing market by the extension of the effects of current financial crisis.

Long-term memory in financial prices: evidence from the Dutch stock market returns

Prepared for presentation at the Portuguese Finance Network International Conference 2014, Vilamoura, Portugal, June 18-20

A real time pricing approach to deal with excessive wind power situations

The introduction of wind power generation in several countries around the world, including in European countries, where energy policy directives have encouraged the use of renewables, led to several changes in market and power systems operation. The intensive integration of these sources has led to situations in which the demand is lower than the available renewable resources. In these situations a part of the available generation is wasted if not used for storage or to supply additional demand. This paper proposes a real time demand response methodology based on changing the electricity price for the consumers expecting an increase in the demand in the periods in which that demand is lower than the available renewable generation. The consumers response to the changes in electricity price is characterized by their price elasticity of demand considered distinct for each consumer type. The proposed methodology is applied to the Portuguese power system, in the context of the Iberian electricity market (MIBEL). The renewable-based producers are considered as special producers, with special tariffs, and so it is important to use the energy available as it will be paid anyway. In this context, consumers are entities actively participating in the operation of the market.

Virtual power players dealing with excessive wind power situations using real time pricing

The increasing importance given by environmental policies to the dissemination and use of wind power has led to its fast and large integration in power systems. In most cases, this integration has been done in an intensive way, causing several impacts and challenges in current and future power systems operation and planning. One of these challenges is dealing with the system conditions in which the available wind power is higher than the system demand. This is one of the possible applications of demand response, which is a very promising resource in the context of competitive environments that integrates even more amounts of distributed energy resources, as well as new players. The methodology proposed aims the maximization of the social welfare in a smart grid operated by a virtual power player that manages the available energy resources. When facing excessive wind power generation availability, real time pricing is applied in order to induce the increase of consumption so that wind curtailment is minimized. The proposed method is especially useful when actual and day-ahead wind forecast differ significantly. The proposed method has been computationally implemented in GAMS optimization tool and its application is illustrated in this paper using a real 937-bus distribution network with 20310 consumers and 548 distributed generators, some of them with must take contracts.

Demand response in electrical energy supply: an optimal real time pricing approach

In competitive electricity markets with deep concerns for the efficiency level, demand response programs gain considerable significance. As demand response levels have decreased after the introduction of competition in the power industry, new approaches are required to take full advantage of demand response opportunities. This paper presents DemSi, a demand response simulator that allows studying demand response actions and schemes in distribution networks. It undertakes the technical validation of the solution using realistic network simulation based on PSCAD. The use of DemSi by a retailer in a situation of energy shortage, is presented. Load reduction is obtained using a consumer based price elasticity approach supported by real time pricing. Non-linear programming is used to maximize the retailer���s profit, determining the optimal solution for each envisaged load reduction. The solution determines the price variations considering two different approaches, price variations determined for each individual consumer or for each consumer type, allowing to prove that the approach used does not significantly influence the retailer���s profit. The paper presents a case study in a 33 bus distribution network with 5 distinct consumer types. The obtained results and conclusions show the adequacy of the used methodology and its importance for supporting retailers��� decision making.

Pricing no mercado financeiro

Dada a import��ncia da vari��vel pre��o no desenvolvimento dos neg��cios nas economias monetarizadas e a sua relev��ncia no mercado financeiro apresentamos, recorrendo-nos das an��lises de alguns autores, alguns conceitos sobre a mesma e continuamos o trabalho relacionando-a com diversos aspectos da gest��o, nomeadamente o planeamento, a rela����o entre a forma����o do pre��o e a estrutura de custos, a import��ncia da an��lise da sensibilidade do mercado �� pol��tica de pricing e o impacto desta vari��vel na competitividade. O artigo desenvolve-se depois na perspectiva da rela����o entre o pricing e a gest��o na ��ptica do marketing, apontando algumas estrat��gias de pol��tica de pre��o, e a rela����o desta com a segmenta����o e o ciclo de vida do produto. Dado que a literatura espec��fica sobre pricing no mercado financeiro n��o �� extensa conclu��mos com algumas considera����es pr��prias sobre o tema.

The economics of language or how can language be an asset? General reflections on the European case and brief focus on the case of portuguese

In this paper, we will focus on the importance of languages as an asset to people and companies in knowledge-based society, giving special attention to the case of portuguese, not forgetting the role of Higher Education Institutions in preparing students to be part of the new creative multilingual and sucsessful class.

Contextual Intelligent Load Management Considering Real-Time Pricing in a Smart Grid Environment

The use of demand response programs enables the adequate use of resources of small and medium players, bringing high benefits to the smart grid, and increasing its efficiency. One of the difficulties to proceed with this paradigm is the lack of intelligence in the management of small and medium size players. In order to make demand response programs a feasible solution, it is essential that small and medium players have an efficient energy management and a fair optimization mechanism to decrease the consumption without heavy loss of comfort, making it acceptable for the users. This paper addresses the application of real-time pricing in a house that uses an intelligent optimization module involving artificial neural networks.

Real Time Pricing Approaches to Deal With Unexpected Wind Power Variations

The use of renewables have been increased I several countries around the world, namely in Europe. The wind power is generally the larger renewable resource with very specific characteristics in what concerns its variability and the inherent impacts in the power systems and electricity markets operation. This paper focuses on the Portuguese context of renewables use, including wind power. The work here presented includes the use of a real time pricing methodology developed by the authors aiming the reduction of electricity consumption in the moments of unexpected low wind power. A more specific example of application of real time pricing is demonstrated for the minimization of the operation costs in a distribution network. When facing lower wind power generation than expected from day ahead forecast, demand response is used in order to minimize the impacts of such wind availability change. In this way, consumers actively participate in regulation up and spinning reserve ancillary services through demand response programs.

Incentive-based demand response programs designed by asset-light retailers for day-ahead market

Following the deregulation experience of retail electricity markets in most countries, the majority of the new entrants of the liberalized retail market were pure REP (retail electricity providers). These entities were subject to financial risks because of the unexpected price variations, price spikes, volatile loads and the potential for market power exertion by GENCO (generation companies). A REP can manage the market risks by employing the DR (demand response) programs and using its' generation and storage assets at the distribution network to serve the customers. The proposed model suggests how a REP with light physical assets, such as DG (distributed generation) units and ESS (energy storage systems), can survive in a competitive retail market. The paper discusses the effective risk management strategies for the REPs to deal with the uncertainties of the DAM (day-ahead market) and how to hedge the financial losses in the market. A two-stage stochastic programming problem is formulated. It aims to establish the financial incentive-based DR programs and the optimal dispatch of the DG units and ESSs. The uncertainty of the forecasted day-ahead load demand and electricity price is also taken into account with a scenario-based approach. The principal advantage of this model for REPs is reducing the risk of financial losses in DAMs, and the main benefit for the whole system is market power mitigation by virtually increasing the price elasticity of demand and reducing the peak demand.

Real-Time Simulation of Real-Time Pricing Demand Response to Meet Wind Variations

Recent changes of paradigm in power systems opened the opportunity to the active participation of new players. The small and medium players gain new opportunities while participating in demand response programs. This paper explores the optimal resources scheduling in two distinct levels. First, the network operator facing large wind power variations makes use of real time pricing to induce consumers to meet wind power variations. Then, at the consumer level, each load is managed according to the consumer preferences. The two-level resources schedule has been implemented in a real-time simulation platform, which uses hardware for consumer��� loads control. The illustrative example includes a situation of large lack of wind power and focuses on a consumer with 18 loads.

Gest��o nos Servi��os com Sistemas de Monitoriza����o e Implementa����o do Smart Pricing

A presente disserta����o foi elaborada no ��mbito do Mestrado em Engenharia Electrot��cnica (MEE) no Instituto Superior de Engenharia do Porto (ISEP), em regime empresarial, na empresa PH Energia Lda. Tem-se verificado que, ao longo dos ��ltimos anos, os mercados est��o cada vez mais competitivos, tornando-se quase imperativo que as empresas apostem numa boa otimiza����o dos processos produtivos. Produzir cada vez mais, mais rapidamente e com menos recursos dispon��veis, ou seja, de forma eficiente, s��o os desafios de todas as empresas que pretendem permanecer no mercado. Neste contexto surge o tema de tese, ���Gest��o nos Servi��os com Sistemas de Monitoriza����o e Implementa����o do Smart Pricing���, cujo objetivo tem como base principal a otimiza����o das plataformas da PH Energia numa cultura de melhoria cont��nua e orienta����o para o cliente e promover aplica����o da tarifa indexada e Smart Pricing em empresas de maneira a que exista uma maior poupan��a. Ao longo desta disserta����o, foram desenvolvidos c��lculos associados �� monitoriza����o e gest��o nos servi��os, bem como demonstrada a viabilidade dos mesmos na aplica����o de tarifasindexadas e Smart Pricing no setor empresarial e, para finalizar, a compensa����o que �� poss��vel obter ao deslocar o diagrama de cargas, mantendo sempre o mesmo consumo. Na elabora����o deste trabalho fez-se o cruzamento de duas plataformas inform��ticas designadas GesEnergy e Kisense, com ajuda da empresa VPS que tem como parceria a empresa Energia Simples. Em rela����o ao plano indexado, foram realizados dois estudos de dois balc��es do Banco Popular de Portugal de forma a explicitar quando e como deve ser aplicada a tarifa indexada, gest��o da procura, bem como deve ser desloca����o do consumo, de forma a abranger as horas mais vantajosas em que o pre��o de energia el��trica �� mais baixo.

Manual de procedimentos: gest��o do imobilizado

Trabalho de Projecto para a obten����o do Grau de Mestre em Contabilidade e Finan��as Orientador: Mestre Armindo Lic��nio da Silva Macedo