What is the value of value-at-risk after all?: A conditional approach using quantile regressions

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

Pair trading: Clustering based on principal component analysis

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.

Fuzzy clustering não supervisionado na detecção automática de regiões de upwelling a partir de mapas de temperatura da superfície oceânica

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

A study on parallel versus sequential relational fuzzy clustering methods

Dissertação para obtenção do Grau de Mestre em Engenharia Informática

Algorithms for time series clustering applied to biomedical signals

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

Algorithms for information extraction and signal annotation on long-term biosignals using clustering techniques

Dissertação para obtenção do Grau de Mestre em Engenharia Biomédica

Clustering medical tourism in Algarve: setting the first steps for the the health authority

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

Intraday volatility

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

Testing for volatility persistence change: The effect of the credit crisis on the Portuguese banks

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 clustering approach for vehicle routing problems with hard time windows

Dissertação para obtenção do Grau de Mestre em Logica Computicional

Crashes, volatility, and the equity premium: Lessons from S&P 500 options

We use a novel pricing model to imply time series of diffusive volatility and jump intensity from S&P 500 index options. These two measures capture the ex ante risk assessed by investors. Using a simple general equilibrium model, we translate the implied measures of ex ante risk into an ex ante risk premium. The average premium that compensates the investor for the ex ante risks is 70% higher than the premium for realized volatility. The equity premium implied from option prices is shown to significantly predict subsequent stock market returns.

Segmentation of striatal brain structures from high resolution pet images

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