65 resultados para Query clustering


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Trabalho apresentado no âmbito do Mestrado em Engenharia Informática, como requisito parcial para obtenção do grau de Mestre em Engenharia Informática

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Dissertação para obtenção do Grau de Mestre em Engenharia Informática

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Thesis submitted in the fulfillment of the requirements for the Degree of Master in Biomedical Engineering

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Dissertação para obtenção do Grau de Mestre em Engenharia Biomédica

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Dissertation submitted in partial fulfillment of the requirements for the Degree of Master of Science in Geospatial Technologies.

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

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Dissertação para obtenção do Grau de Mestre em Engenharia Informática

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Dissertação para obtenção do Grau de Mestre em Logica Computicional

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This study focuses on the implementation of several pair trading strategies across three emerging markets, with the objective of comparing the results obtained from the different strategies and assessing if pair trading benefits from a more volatile environment. The results show that, indeed, there are higher potential profits arising from emerging markets. However, the higher excess return will be partially offset by higher transaction costs, which will be a determinant factor to the profitability of pair trading strategies. Also, a new clustering approach based on the Principal Component Analysis was tested as an alternative to the more standard clustering by Industry Groups. The new clustering approach delivers promising results, consistently reducing volatility to a greater extent than the Industry Group approach, with no significant harm to the excess returns.

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Throughout the last years technologic improvements have enabled internet users to analyze and retrieve data regarding Internet searches. In several fields of study this data has been used. Some authors have been using search engine query data to forecast economic variables, to detect influenza areas or to demonstrate that it is possible to capture some patterns in stock markets indexes. In this paper one investment strategy is presented using Google Trends’ weekly query data from major global stock market indexes’ constituents. The results suggest that it is indeed possible to achieve higher Info Sharpe ratios, especially for the major European stock market indexes in comparison to those provided by a buy-and-hold strategy for the period considered.

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Dissertation presented at the Faculty of Science and Technology of the New University of Lisbon in fulfillment of the requirements for the Masters degree in Electrical Engineering and Computers

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Dissertation submitted in partial fulfilment of the requirements for the Degree of Master of Science in Geospatial Technologies

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Dissertation submitted in partial fulfilment of the requirements for the Degree of Master of Science in Geospatial Technologies

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Dissertação apresentada como requisito parcial para obtenção do grau de Mestre em Estatística e Gestão de Informação

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Dissertation submitted in partial fulfilment of the requirements for the Degree of Master of Science in Geospatial Technologies