Tool for discovering sequential patterns in financial markets

The goal of this thesis is the study of a tool that can help analysts in finding sequential patterns. This tool will have a focus on financial markets. A study will be made on how new and relevant knowledge can be mined from real life information, potentially giving investors, market analysts, and economists new basis to make informed decisions. The Ramex Forum algorithm will be used as a basis for the tool, due to its ability to find sequential patterns in financial data. So that it further adapts to the needs of the thesis, a study of relevant improvements to the algorithm will be made. Another important aspect of this algorithm is the way that it displays the patterns found, even with good results it is difficult to find relevant patterns among all the studied samples without a proper result visualization component. As such, different combinations of parameterizations and ways to visualize data will be evaluated and their influence in the analysis of those patterns will be discussed. In order to properly evaluate the utility of this tool, case studies will be performed as a final test. Real information will be used to produce results and those will be evaluated in regards to their accuracy, interest, and relevance.

State detection in a financial portfolio: a self-organizing maps approach for financial time series

This study analyses financial data using the result characterization of a self-organized neural network model. The goal was prototyping a tool that may help an economist or a market analyst to analyse stock market series. To reach this goal, the tool shows economic dependencies and statistics measures over stock market series. The neural network SOM (self-organizing maps) model was used to ex-tract behavioural patterns of the data analysed. Based on this model, it was de-veloped an application to analyse financial data. This application uses a portfo-lio of correlated markets or inverse-correlated markets as input. After the anal-ysis with SOM, the result is represented by micro clusters that are organized by its behaviour tendency. During the study appeared the need of a better analysis for SOM algo-rithm results. This problem was solved with a cluster solution technique, which groups the micro clusters from SOM U-Matrix analyses. The study showed that the correlation and inverse-correlation markets projects multiple clusters of data. These clusters represent multiple trend states that may be useful for technical professionals.

The impact of the European sovereign debt crisis on the recovering from the financial crisis: Equity returns of the banking sector

This paper analyses, through a dynamic panel data model, the impact of the Financial and the European Debt crisis on the equity returns of the banking system. The model is also extended to specifically investigate the impact on countries who received rescue packages. The sample under analysis considers eleven countries from January 2006 to June 2013. The main conclusion is that there was in fact a structural change in banks’ excess returns due to the outbreak of the European Debt Crisis, when stock markets were still recovering from the Financial Crisis of 2008.

Enhancement of an implemented rating model and impact on existing risk management processes: A hands-on approach from financial supplier risk management within the automotive industry

The purpose of this paper is to conduct a methodical drawback analysis of a financial supplier risk management approach which is currently implemented in the automotive industry. Based on identified methodical flaws, the risk assessment model is further developed by introducing a malus system which incorporates hidden risks into the model and by revising the derivation of the most central risk measure in the current model. Both methodical changes lead to significant enhancements in terms of risk assessment accuracy, supplier identification and workload efficiency.

Desperdício de medicamentos em ambiente hospitalar : identificação dos pontos críticos no circuito, impacto no consumo de recursos e estratégias de controlo

RESUMO - Numa época de constrangimento orçamental, os hospitais do SNS vêm-se na obrigação de melhorar a eficiência de utilização dos recursos disponíveis, por forma a contribuir para o seu equilíbrio financeiro. Cabe a cada prestador analisar a sua posição, avaliar as suas oportunidades e adoptar estratégias que a curto, médio ou longo prazo se traduzam numa efetiva melhoria na eficiência. A análise e o controlo do desperdício associado à prestação de cuidados de saúde apresentam-se, globalmente, como uma dessas oportunidades. Neste trabalho são exploradas oportunidades de redução de desperdício em medicamentos, numa perspectiva meramente operacional, a nível das funções desempenhadas pelos Serviços Farmacêuticos (SF). No hospital em estudo acompanhou-se as diferentes linhas de produção dos SF, nomeadamente as tarefas envolvidas no processo de Distribuição Individual Diária em Dose Unitária, na distribuição de medicamentos para o Serviço de Urgências (SU) e na preparação de citotóxicos e imunomoduladores para o Hospital de Dia de Oncologia. Durante o ano de 2013, os SF devolveram aos fornecedores 0,07% e abateram 0,05% da despesa em medicamentos. A análise dos erros de medicação registados reflete o tipo de distribuição adotado para a maioria dos serviços de internamento do hospital. As melhorias encontradas a este nível passam pelo reforço de recursos humanos a desempenhar as tarefas de dispensa de medicamentos mas também pela implementação de uma cultura de registo de erros e acidentes, baseada no sistema de informação, para que se consiga quantificar o desperdício associado e agir com vista à optimização do circuito. A relação entre o método de distribuição adotado para o SU e a utilização do medicamento neste serviço foi apenas investigada para os medicamentos de registo individual de administração. Foi determinado um índice de eficiência de utilização de 67,7%, entre o dispensado e o administrado. Às discrepâncias encontradas está associado um custo de 32 229,6 € para o ano de 2013. Constatou-se também que, a nível do consumo de citotóxicos e imunomoduladores houve, durante o mês de abril de 2013, um índice de desperdício médio de 14,7%, entre o prescrito e o consumido, que se traduziu num custo do desperdício mensal de 13 070,9 €. Com base no desperdício mensal estimou-se que o desperdício anual associado à manipulação de citotóxicos e imunomoduladores deverá corresponder a 5,5% da despesa anual do serviço com estes medicamentos. Não obstante as limitações encontradas durantes o trabalho, e parte do desperdício apurado ser inevitável, demonstrou-se que o desperdício em medicamentos pode traduzir-se numa fatia não negligenciável mas controlável da despesa do hospital em estudo. No seguimento do seu conhecimento, a sua contenção pode ter um impacto na redução de despesa a curto-médio prazo, sem a necessidade de racionamento da utilização de medicamentos e sem alterar os padrões de qualidade assistencial exigidos pela tutela e pelos doentes. Por último, são apresentadas recomendações para a redução do desperdício em medicamentos, adequadas a cada uma das dimensões analisadas.

Fiscal policy under financial stress: A threshold VAR approach

The purpose of the project is to measure the impact of fiscal policy on the Portuguese GDP and how it may vary according to the state of the financial market. A Threshold VAR model is presented in which the two regimes are found using a financial stress index that divides the economy into a situation of financial stress and financial stability.

The role of deposit insurance and bank’s asset size in the 2008 financial crisis

In this paper we analyze the role of deposit insurance in providing the market with liquidity in times of financial turmoil. To do so, we look at the variation in insured and uninsured deposits between 2005Q3 and 2011Q3, controlling for liquidity, solvency and capital adequacy indicators, and find evidence that deposit insurance does provide some confidence in keeping funds in banks in times of turmoil. Additionally we follow an event study methodology to assess the impact of deposit insurance oriented policies on bank holding companies stock market returns, and find a TBTF effect.

Mota-Engil new prospects of growth: Overcoming the financial crisis

The 2008 global financial crisis caused the collapse of business key sectors, declines in consumer wealth and a fall in economic activity resulting in a global recession. In some European countries, the 2008 crisis contributed to a sovereign-debt crisis which had a strong impact in Southern European countries. The construction sector was particularly affected, with budget cuts disturbing public investment and no financing available for private constructors. This report intends to explain how Mota-Engil, faced this situation of low growth, and which strategies were adopted by the management to overcome the difficult economic conjecture, mainly in its domestic market: Portugal. The report is organized as a case-study. The first part, the case narrative, is subdivided into 6 parts, and the second part is the teaching note. The teaching note is constituted by the four questions and their respective responses.

Donations of non-financial resources: The motivation and consequences of measuring and accounting for it

This thesis focus on the measurement and accounting of contributions received by nonprofit organizations, as they are a significant component of revenues nowadays. A survey was developed and forward to 38 different NPOs, with the goal of understanding their motivations and what advantages and disadvantages they believe would result if they start to measure and account for all kinds of contributions. They presented many advantages from this practice; however, some are not doing it due to the difficulties in valuing contributions with no market value which would require a higher workload, waste of resources and time to be taken from other important activities.

Consumer perception of CSR in Portugal: The aftermath of the financial crisis

Corporate social responsibility (CSR) literature has largely neglected consumers’ perceptions in the debate regarding the role of CSR in the aftermath of the financial crisis. In that context, this study aims to test the possibility that consumers’ perceptions of CSR level, firm reputation and brand trust, might depend on the type of industry sector of a firm, the level of fit of an initiative or both. By conducting a survey on Portuguese consumers and running a two-way analysis of variance, it suggests that solely the type of industry sector has an effect on consumer perception and that consumers are less tolerable of controversial industries.

O processo de dádiva de sangue do dador de primeira vez no Hospital do Espírito Santo - Évora, EPE : satisfação e retorno para a dádiva seguinte

RESUMO - Introdução: Com este trabalho, pretendeu-se averiguar em que medida a satisfação no processo de dádiva de sangue afeta o regresso dos dadores que doam pela primeira vez na vida, ou que se apresentaram pela primeira vez no Serviço de sangue do HESE. Material e métodos: Estudo observacional transversal descritivo. Dos dadores com uma única inscrição no período de 2011 a 2012 inclusive, (531+541 dadores) foram retirados os que entretanto completaram 66 anos (idade limite para a dádiva); os que não tinham contacto telefónico válido; e os que tinham morada fora do Distrito de Évora. Os dadores restantes (327 + 330 dadores), foram então inquiridos através de um questionário efetuado telefonicamente para determinar as causas de não regresso. Resultados: Obtiveram-se 360 respostas válidas ao questionário, correspondentes a 50% da amostra com um IC de 95%. Apesar de estar amplamente demonstrado que a satisfação na dádiva contribui decisivamente para o retorno à dádiva seguinte, apenas 12% da amostra referiu não regressar por algum motivo de insatisfação decorrente do processo de dádiva. Evidentemente, o mérito destes resultados é devido à equipa do Serviço de Imunohemoterapia do HESE. Porém uma outra realidade fica aqui patente, os dadores de primeira vez estão a decrescer há vários anos, e destes, os que regressam são cada vez menos. A manter-se esta tendência, a taxa de renovação da bolsa de dadores poderá tornar-se insuficiente para a manutenção da atual bolsa de dadores. Se o HESE conseguisse recuperar para a dádiva metade da amostra de dadores de primeira vez que não regressam, a sua autonomia em termos de consumo de sangue sairia reforçada, com o incremento de proveitos financeiros consequente. Conclusão: Este trabalho concretiza os objetivos a que se propôs, nomeadamente o de produzir conhecimento útil e de suporte à decisão no âmbito da administração hospitalar. O HESE tem agora ao seu dispor, a caraterização dos dadores de primeira vez e a descrição de como se está a processar a renovação da sua bolsa de dadores.

Systemic risk for financial institutions in UK

Marginal Expected Shortfall (MES) is an approach used to measure the systemic risk financial institutions face. It estimates how significantly systemic events (poor market performance, out of 1.6 times Standard Deviation borders) are expected to affect market capitalization of a particular firm. The concept was developed in the late 2000s and is widely used for cross-country comparisons of financial firms. For the purposes of generalization of this technique it is often used with market data containing non-domestic currencies for some financial firms. That may lead to results having currency noise in them as it is shown for 77 UK financial firms in our analysis between 2001 and 2014.

The financial system in Mozambique: Opportunities, barriers and market potential

This research is empirical and exploratory intending to analyse the attractiveness of banking in Mozambique, considering its positive outlook. To identify the opportunities and barriers, the methods adopted were elite interviews with banking executives, complemented by secondary data. The opportunities for new entrants seem to include bankarization and the emergence of micro and smallmedium enterprises; other avenues seem to include investment banking, support of mega-projects (e.g. energy, infrastructures) through syndicates and cooperation with multilaterals, and the participation in developing capital markets. Conversely, the main barriers include shortage of talent, inadequate infrastructures, poverty, unsophisticated entrepreneurial culture (e.g. informal economy, inadequate financial reporting), burdensome bureaucracy (e.g. visas), foreign exchange regulation, as well as low liquidity and high funding costs for banks. The key conclusions suggest a window of opportunity for niche markets, and new products and services in retail and investment banking.

Banking crises: The impact of financial liberalization

This paper intends to study whether financial liberalization tends to increase the likelihood of systemic banking crises. I used a sample of 79 countries with data spanning from 1973 to 2005 to run a panel probit model. I found that, if anything, financial liberalization as measured across seven different dimensions tends to decrease the probability of occurrence of a systemic banking crisis. I went further and did several robustness tests – used a conditional probit model, tested for different durations of liberalization impact and reduced the sample by considering only the first crisis event for each country. Main results still verified, proving the results’ robustness.

Financial depth, stock markets and economic growth in the EU-15 countries

The aim of this paper is to assess the impact of financial depth on economic growth in the EU-15 countries from 1970 until 2012, using the two-step System GMM estimator. Even though it might be expected a positive impact, the results show it is negative and sometimes even negative and statistically significant. Among the reasons presented for this, the existence of banking crises seems to better explain these results. In tranquil periods, financial deepening appears to have a positive impact, whereas in banking crises it is persistently negative and statistically significant. Also, after an assessment of the impact of stock markets on economic growth, it appears that more developed countries in the EU-15 have an economy more reliant on this segment of the financial system rather than in bank intermediation.