Using artificial neural networks to generate trading signals for crude oil, copper and gold futures

In this thesis, a feed-forward, back-propagating Artificial Neural Network using the gradient descent algorithm is developed to forecast the directional movement of daily returns for WTI, gold and copper futures. Out-of-sample back-test results vary, with some predictive abilities for copper futures but none for either WTI or gold. The best statistically significant hit rate achieved was 57% for copper with an absolute return Sharpe Ratio of 1.25 and a benchmarked Information Ratio of 2.11.

Impact of Black-Scholes assumptions on Delta Hedging

In this work we are going to evaluate the different assumptions used in the Black- Scholes-Merton pricing model, namely log-normality of returns, continuous interest rates, inexistence of dividends and transaction costs, and the consequences of using them to hedge different options in real markets, where they often fail to verify. We are going to conduct a series of tests in simulated underlying price series, where alternatively each assumption will be violated and every option delta hedging profit and loss analysed. Ultimately we will monitor how the aggressiveness of an option payoff causes its hedging to be more vulnerable to profit and loss variations, caused by the referred assumptions.

Carry and trend-following strategies

Recent research has shown that carry and trend strategies when combined lead to significant risk-adjusted returns that can be very attractive to investors, at a low cost with small and positive skewness. This study proposes to combine both carry and trend-following, considering a data set of ten years (09/2005-09/2015), within a portfolio composed by three major asset classes: currencies, commodities and equity indices. Following a futures-based methodology, the obtained results show that, indeed, the strategy results inevitably in higher returns and greater sharpe ratios for every asset class in study. This outcome results from the fact that trend proved to provide a significant hedge to the downside risk that carry is exposed to.

Sintomatologia musculoesquelética auto-referida por enfermeiros em meio hospitalar

RESUMO - As lesões musculoesqueléticas ligadas ao trabalho (LMELT) são frequentes em contexto hospitalar e particularmente entre os enfermeiros (Estryn-Béhar, 1991; NIOSH, 1997). Em meio ocupacional o diagnóstico destas patologias é, com frequência, realizado com recurso a questionários de sintomas. A aplicação de questionários de auto-referência de sintomas de LMELT tem permitido recolher informação sobre a prevalência europeia destas lesões, registando-se valores que oscilam entre os 17 e os 44% (Buckle, 1999) e entre nós, designadamente numa indústria de componentes automóveis, os valores apresentam dimensão semelhante ou superior (Serranheira et al., 2003). O presente estudo pretendeu identificar a sintomatologia musculoesquelética auto-referida pelos enfermeiros em meio hospitalar, procurando relações com a actividade de enfermagem. Utilizou-se um instrumento de recolha de informação construído a partir de uma adaptação do questionário nórdico musculoesquelético (QNM) (Kuorinka et al., 1987) que se aplicou a 899 enfermeiros de diferentes serviços em cinco hospitais da região do grande Porto, no ano de 2004 (responderam 507 enfermeiros). Os resultados evidenciam uma prevalência elevada de sintomas musculoesqueléticos em diferentes zonas anatómicas nos últimos 12 meses (84%), particularmente atingindo a região lombar (65%), cervical (55%), dorsal (37%), ombros (34%) e punhos/mãos (30%). Não se encontram associações significativas entre algumas actividades que os enfermeiros realizam e a presença de níveis de desconforto, incómodo ou dor com origem no sistema musculoesquelético, eventualmente devido ao elevado número de subactividades desempenhadas pelos enfermeiros. Apesar disso, existem algumas relações: (1) com a tipologia de actividades realizadas (por exemplo levantamento e transporte de cargas) nos diferentes serviços (destaca-se a Medicina e a Neonatologia), (2) com o aumento do número de horas de trabalho semanais. Desse modo, observa-se que a prevalência de sintomas de LMELT neste grupo profissional é elevada o que pode condicionar a actividade dos enfermeiros e, por consequência, o bem-estar dos utentes. Sugere-se que a actividade de enfermagem e a organização do trabalho deste grupo profissional sejam objecto de uma análise mais detalhada no sentido da identificação dos elementos determinantes da sintomatologia musculoesquelética e sua consequente prevenção.

Terminologia em uso na Direcção Nacional de Desenvolvimento Tecnológico e Inovação: a variação nos termos complexos

Inserido no âmbito do Projecto “Terminologia da Administração Pública – TERMAP”, o presente trabalho constitui uma análise descritiva de elementos discursivos que nos permitem dar conta da terminologia produzida na Direcção Nacional de Desenvolvimento Tecnológico e Inovação, do Ministério da Ciência e Tecnologia. Temos como objectivo a organização da terminologia da área, tendo em vista a fixação dos termos, permitindo assim uma melhor comunicação e transferência de conhecimento, quer a nível intra-institucional quer a nível interinstitucional, bem como a nível externo. Neste trabalho, partimos de uma abordagem semasiológica, e procuramos sempre ter em foco as especificidades discursivas, não pondo de parte, quando necessário, uma perspectiva mais onomasiológica. A abordagem proposta desenvolve-se em torno de cinco capítulos: a) o primeiro traz em revisão aspectos da organização e funcionamento da Administração Pública Central em Angola, na qual se insere o domínio de análise; b) o segundo consiste na análise dos aspectos relativos à constituição do corpus textual; c) os pressupostos teóricos apresentados no terceiro capítulo dizem respeito à formação dos termos complexos e aos fenómenos de variação em terminologia; d) no quarto capítulo, a análise volta ao corpus textual, mais propriamente ao seu tratamento. Neste capítulo apresentam-se os processos relativos à extracção e selecção dos candidatos a termos, e o levantamento dos casos de variação; e) o quinto capítulo é reservado à apresentação e análise dos dados. Fazemos uma proposta de um modelo de base de dados terminológica multilingue. Esta proposta surge na sequência da necessidade de fixar os termos, com vista à transferência de conhecimento.

Crowdfunding

Crowdfunding, as we know it today, is a very recent activity that was born almost accidentally in the end of the 90’s decade. Due to the advent of the internet and the social networks, entrepreneurs are now able to promote their projects to a very large community. Whether it is composed by family, friends, acquaintances or simply people that are interested in the same topic or share the passion, the community is able to fund new ventures by individually investing modest amounts of money. In return, the entrepreneur can offer symbolic rewards, shares or other financial returns. New crowdfunding platforms are born almost every day all over the world, offering a new way of raising capital for their projects or a new way to invest their money in innovative ventures. Although crowdfunding is still finding its place in the financial services, successful cases such as Kickstarter demonstrate the power of the crowd in boosting creativity and productivity, financing thousands of projects by raising millions of dollars from thousands of investors. Due to regulatory restrictions, the most prominent model for now is reward-based crowdfunding, where the investors are prized with symbolic returns or privileged access to the products or services offered by the entrepreneurs. Other models such as peer-to-peer lending are also surging, allowing borrowers access to capital at a lower cost compared to so-called traditional financial institutions, and offering lenders a higher rate of return. But when it comes to offering shares to investors, i.e. using equity-based crowdfunding, entrepreneurs face regulatory obstacles in almost every country, where legislation was passed decades ago with the objective of promoting financially-capable ventures and protecting investors. Access to capital has become more difficult after the global economic recession of 2008, and for most countries it will not get easier in the near future, leaving start-ups and small enterprises with few options to start or expand their operations. In this study we attempt to answer the following research questions: how has equity-based crowdfunding evolved since its creation? Where and how has equity-based crowdfunding been implemented so far? What are the constraints and opportunities for implementing equity-crowdfunding in the world, and more particularly in Portugal? Finally, we will discuss the risks of crowdfunding and reflect on the future of this industry.

Anatomy of the portuguese stock market risk and return in the 1977-2012 period

This paper analyses the Portuguese stock market since it reopened in 1977, with a special focus on the evolution of the statistic and stochastic characteristics of the market return throughout this 36 year period. The market return for the period of time between 1977 and 2012 (September 28th) is estimated and then compared with the return that would have been achieved with Government bonds and treasury bills, which allows us to confirm that the hierarchy of return / risk across the different financial instruments is verified. The market risk premium for this 36 year period is also estimated and a comparison with other markets is performed, suggesting that the Portuguese market’s risk has not been compensated by an adequate return. The study also examines the evolution of the Portuguese market’s volatility in the 1977-2012 period and compares it with other markets, showing the existence of extremely high peaks during the first 11 years, but indicating a downwards trend throughout the whole period under analysis. Finally, the correlation between market returns for Portugal and for other countries and the degree of integration are estimated and their evolution throughout time is assessed, leading to the conclusion that the performance of the Portuguese stock market has become increasingly correlated with major European markets – correlation with some markets close to 0.70 from 2000 onwards-, but that country-specific risk factors are still relevant.

Harvest control rule vs optimal harvesting of an age-structured population: The case of the Ibero-Atlantic Sardine Fishery

Research Masters

How could marketing automation impact the business performance of Comexposium?

Comexposium continues to exhibit strong growth through global acquisition of key events. However, the company identified the need to increase the renewal rate of its exhibitors. In order to do so, Comexposium determined marketing automation software could have enormous value. However, the company currently does not have the appropriate data to determine to specific returns the software could provide. Thus, this report focused on assessing the impact of marketing automation on the business performance of a B2B enterprise and the best methods to implement and measure it. The main findings were that the software could be of immense value to Comexposium, if the company is ready to invest in internal resources and take the time to adapt to the changes the tool will incur.