Predicting market movement with Artificial Neural Networks

This paper presents an application of an Artificial Neural Network (ANN) to the prediction of stock market direction in the US. Using a multilayer perceptron neural network and a backpropagation algorithm for the training process, the model aims at learning the hidden patterns in the daily movement of the S&P500 to correctly identify if the market will be in a Trend Following or Mean Reversion behavior. The ANN is able to produce a successful investment strategy which outperforms the buy and hold strategy, but presents instability in its overall results which compromises its practical application in real life investment decisions.

Leverage instability and persistence: Evidence from the United States and Europe

We find that leverage behavior both in level and time-series variation is very similar between the United States and Europe throughout the 1990-2013 period. Leverage regimes are simultaneously unstable and persistent for both regions. We define instability as the extent to which firms largely deviate from their long-term leverage mean, while persistence as the extent to which today’s leverage influences its future levels. We then show that this simultaneous evidence imply a mean-reversion behavior of leverage and discuss some of its implications for future research on this field.

Valuing an offshore exploration project through real options analysis

This thesis applied real options analysis to the valuation of an offshore oil exploration project, taking into consideration the several options typically faced by the management team of these projects. The real options process is developed under technical and price uncertainties, where it is considered that the mean reversion stochastic process is more adequate to describe the movement of oil price throught time. The valuation is realized to two case scenarios, being the first a simplified approach to develop the intuition of the used concepts, and the later a more complete cases that is resolved using both the binomial and trinomial processes to describe oil price movement. Real options methodology demonstrated to be capable of assessing and valuing the projects options, and of overcoming common capital budgeting methodologies flexibility limitation. The added value of the application of real options is evident, but so is the method's increased complexity, which adversely influence its widespread implementation.

Topicalização e objeto nulo em português L2

Dissertação apresentada para cumprimento dos requisitos necessários à obtenção do grau de Mestre em Ciências da Linguagem- Psicolinguística

Training and discovering corpus-based data driven exercices in english teaching (L2/FL) to native speakers of portuguese (L1)

Project submitted as part requirement for the degree of Masters in English teaching,

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

Dissertação para obtenção do Grau de Mestre em Engenharia Biomédica

Evolution of reputation in networks: A mean field game approach

This work models the competitive behaviour of individuals who maximize their own utility managing their network of connections with other individuals. Utility is taken as a synonym of reputation in this model. Each agent has to decide between two variables: the quality of connections and the number of connections. Hence, the reputation of an individual is a function of the number and the quality of connections within the network. On the other hand, individuals incur in a cost when they improve their network of contacts. The initial value of the quality and number of connections of each individual is distributed according to an initial (given) distribution. The competition occurs over continuous time and among a continuum of agents. A mean field game approach is adopted to solve the model, leading to an optimal trajectory for the number and quality of connections for each individual.

Peer interaction and learning opportunities in cohesive and less cohesive L2 classrooms

The present study investigates peer to peer oral interaction in two task based language teaching classrooms, one of which was a self-declared cohesive group, and the other a self- declared less cohesive group, both at B1 level. It studies how learners talk cohesion into being and considers how this talk leads to learning opportunities in these groups. The study was classroom-based and was carried out over the period of an academic year. Research was conducted in the classrooms and the tasks were part of regular class work. The research was framed within a sociocognitive perspective of second language learning and data came from a number of sources, namely questionnaires, interviews and audio recorded talk of dyads, triads and groups of four students completing a total of eight oral tasks. These audio recordings were transcribed and analysed qualitatively for interactions which encouraged a positive social dimension and behaviours which led to learning opportunities, using conversation analysis. In addition, recordings were analysed quantitatively for learning opportunities and quantity and quality of language produced. Results show that learners in both classes exhibited multiple behaviours in interaction which could promote a positive social dimension, although behaviours which could discourage positive affect amongst group members were also found. Analysis of interactions also revealed the many ways in which learners in both the cohesive and less cohesive class created learning opportunities. Further qualitative analysis of these interactions showed that a number of factors including how learners approach a task, the decisions they make at zones of interactional transition and the affective relationship between participants influence the amount of learning opportunities created, as well as the quality and quantity of language produced. The main conclusion of the study is that it is not the cohesive nature of the group as a whole but the nature of the relationship between the individual members of the small group completing the task which influences the effectiveness of oral interaction for learning.This study contributes to our understanding of the way in which learners individualise the learning space and highlights the situated nature of language learning. It shows how individuals interact with each other and the task, and how talk in interaction changes moment-by-moment as learners react to the ‘here and now’ of the classroom environment.