Predicting market direction with hidden Markov models

This paper develops the model of Bicego, Grosso, and Otranto (2008) and applies Hidden Markov Models to predict market direction. The paper draws an analogy between financial markets and speech recognition, seeking inspiration from the latter to solve common issues in quantitative investing. Whereas previous works focus mostly on very complex modifications of the original hidden markov model algorithm, the current paper provides an innovative methodology by drawing inspiration from thoroughly tested, yet simple, speech recognition methodologies. By grouping returns into sequences, Hidden Markov Models can then predict market direction the same way they are used to identify phonemes in speech recognition. The model proves highly successful in identifying market direction but fails to consistently identify whether a trend is in place. All in all, the current paper seeks to bridge the gap between speech recognition and quantitative finance and, even though the model is not fully successful, several refinements are suggested and the room for improvement is significant.

Algorithms and methodologies for decision support in energy efficiency on buildings

Dissertação apresentada na faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para a obtenção do grau de Mestre em Engenharia Electrotécnica e de Computadores

Human activity recognition for an intelligent knee orthosis

Dissertação para obtenção do Grau de Mestre em Engenharia Biomédica

Human activity recognition with accelerometry: novel time and frequency features

Human Activity Recognition systems require objective and reliable methods that can be used in the daily routine and must offer consistent results according with the performed activities. These systems are under development and offer objective and personalized support for several applications such as the healthcare area. This thesis aims to create a framework for human activities recognition based on accelerometry signals. Some new features and techniques inspired in the audio recognition methodology are introduced in this work, namely Log Scale Power Bandwidth and the Markov Models application. The Forward Feature Selection was adopted as the feature selection algorithm in order to improve the clustering performances and limit the computational demands. This method selects the most suitable set of features for activities recognition in accelerometry from a 423th dimensional feature vector. Several Machine Learning algorithms were applied to the used accelerometry databases – FCHA and PAMAP databases - and these showed promising results in activities recognition. The developed algorithm set constitutes a mighty contribution for the development of reliable evaluation methods of movement disorders for diagnosis and treatment applications.

Diversity in Teams: Source of Conflict or Source of Creativity? Investigating Hidden Mental Models

The workforce in organizations today is becoming increasingly diverse. Consequently the role of diversity management is heavily discussed with respect to the question how diversity influences the productivity of a group. Empirical studies show that on one hand there is a potential for increasing productivity but on the other hand it might be as well that conflicts arise due to the heterogeneity of the group. Usually according empirical studies are based on interviews, questionnaires and/or observations. These methods imply that answers are highly selective and filtered. In order to make the invisible visible, to have access to mental models of team members the paper will present an empirical study on the self-understanding of groups based on an innovative research method, called “mind-scripting”.

Comments on ‘‘Modeling fractional stochastic systems as non-random fractional dynamics driven Brownian motions

Applied Mathematical Modelling, Vol.33

Modelos de previsão de deterioração de pontes existentes: processos de Markov

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do grau de Mestre em Engenharia Civil

Comparison of different techniques for mouse transgenesis

RESUMO: O uso de ratinhos transgénicos em neurociências aumentou consideravelmente nos últimos anos devido ao crescente interesse em compreender o cérebro e a necessidade de solucionar situações clínicas do foro neurológico e psiquiátrico. Para esse efeito, diferentes métodos de produção de animais transgénicos têm sido testados. O objectivo desta tese foi comparar métodos de integração aleatória de um transgene no genoma de ratinhos em termos de eficiência, estabilidade da integração do transgene, número de animais e de horas de trabalho necessárias para cada método. Assim, foi comparado o método mais utilizado - microinjecção pronuclear (PNMI) - com duas outras técnicas cujo desempenho foi considerado promissor – a transferência génica através dos testículos por electroporação e transfecção por lentivírus in vivo. As três técnicas foram realizadas usando um gene repórter sob o controlo de um promotor constitutivo, e depois reproduzidas usando um gene de interesse de modo a permitir obtenção de um animal capaz de ser usado em experimentação laboratorial. O transgene de interesse utilizado codifica uma proteína de fusão correspondendo a uma variante da rodopsina (channelrhodopsin) fundida à proteína enhanced yellow fluorescente protein ((EYFP) resultando num produto designado ChR2-EYFP. Este animal transgénico apresentaria expressão deste canal iónico apenas em células dopaminergicas, o que, com manipulação optogenética, tornaria possivel a activação especifica deste grupo de neurónios e, simultaneamente, a observação do impacto desta manipulação no comportamento num animal em livre movimento. Estas ferramentas são importantes na investigação básica em neurociências pois ajudam a esclarecer o papel de grupos específicos de neurónios e compreender doenças como a doença de Parkinson ou a esquizofrenia onde a função de certos tipos de neurónios de encontra alterada. Quando comparados os três métodos realizados verifica-se que usando um gene repórter PMNI resulta em 31,3% de, a de animais transgénicos obtidos, a electroporação de testículos em 0% e a injecção de lentivírus em 0%. Quando usado o gene de interesse, os resultados obtidos são, respectivamente, 18,8%, 63,9% e 0%.--------------ABSTRACT: The use of transgenic mice is increasing in all fields of research, particularly in neuroscience, due to the widespread need of animal models to solve neurological and psychiatric medical conditions. Different methodologies have been tested in the last decades in order to produce such transgenic animals. The ultimate goal of this thesis is to compare different methods of random integration of a transgene in the genome of mice in terms of efficiency, stability of the transgene integration, number of animals required and the labour intensity of each technique. We compared the most used method – pronuclear microinjection (PNMI) – with two other promising techniques – Testis Mediated Gene Transfer (TMGT) by electroporation and in vivo lentiviral transfection. The three techniques were performed using a reporter gene – green fluorescent protein (GFP), whose transcription was driven by the constitutive cytomegalovirus (CMV) promoter. These three techniques were later reproduced using the tyrosine hydroxylase promoter (TH) and the neuronal manipulator, channelrhodopsin-2 fused to the enhanced yellow fluorescent reporter protein (ChR2-EYFP). The transgenic animal we sough to produce would express the light driven channel only in dopaminergic cells, making possible to specifically activate this group of neurons, while simultaneously observe the behaviour in a freely moving animal. This is a very important tool in basic neuroscience research since it helps to clarify the role of specific groups of neurons, map circuits in the brain, and consequently understand neurological diseases such as Parkinson’s disease or schizophrenia, where the function of certain types of neurons is affected. When comparing the three methods, it was verified that using a reporter gene PNMI resulted in 31.3% of transgenic mice obtained, testis electroporation in 0% and lentiviral injection in 0%. When using the gene of interest, the results obtained were, respectively, 18.8%, 63.9% and 0%.

The hidden value behind capital structure decisions

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Do hospitals react to random demand pressure by early discharges?

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics

Hospital costs and random demand

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics

THE U.S. and European M&A cycles: A Markov switching and state space approach

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

A random access MAC protocol for MPR satellite networks

Dissertação apresentada para obtenção do Grau de Mestre em Engenharia Electrotécnica e de Computadores, pela Universidade Nova de Lisboa, Faculdade de Ciências e Tecnologia

Influence of abiotic stress factors on VOCs emission from Portuguese rice paddy fields: relation with increased climate change

Dissertação para obtenção do Grau de Mestre em Engenharia do Ambiente Perfil de Gestão de Sistemas Ambientais

Credit cycle identification: A Markov-switching application

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics