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

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

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.

Fate map of zebrafish left-right organizer

The organizer is a ciliated signalling transient organ, responsible for the patterning of embryo tissues during embryonic development. In higher vertebrates, such as mouse and chick, this organizer (the node and the Hensen’s node, respectively) performs dorsalventral and anteriorposterior axis definition, as well as left-right patterning of the internal organs. In lower vertebrates, such as frog and zebrafish, there is a separate specialized organ for left-right purposes called the Gastrocoel Roof Plate (GRP) and Kupffer’s Vesicle (KV), respectively. It is known that mouse and chick organizer cells give rise to structures like floor plate, notochord, hypochord and somites. Frog GRP originates all these but floor plate. In zebrafish, at 13-14 somite stage (ss) the KV finished its left-right patterning but what happens to this organizer’ cells is still poorly studied. This research attempts to understand the fate and behaviour of the KV cells. We followed the fate of KV cells by live imaging and by tight time-courses with fixed larvae. We assessed in detail their proliferative and death profile, as well as cilia length progression from 9-10 ss until 29-30 ss. We conclude that the KV cells mostly follow the evolutionarily conserved fates described for other organizers. These cells mainly incorporate the notochord and hypochord; few cells incorporate the floor plate and the somites. As a novelty, it is also hypothesized that the hypural cell fate may be among the KV cell fates.

Design and implementation of an assurance map at Sonae retail business

The present Working Project aims at studying the topic of assurance mapping in a specific organizational context of a Portuguese retail company. For this purpose, an assurance map framework was designed to support the decision making process of stakeholders, through the delivery of comfort concerning risks, operations and control. In the end, the framework was successfully implemented for the process sourcing of goods in two business units of the company. Although, further implementation of the framework proved not to be feasible during the project’s timespan, it is expected to occur in the near future.