Enhancing and implementing a pairs trading strategy

This paper designs a pairs trading model with the intent to identify existing profitable market opportunities to invest, i.e. traditionally strong correlated stocks that have diverged from its historical norm. It comprises a broad literature review on this strategy whose relevant findings (strategy improvements) are contemplated in the model. The authors combine the statistical results of the model with a backtesting analysis in order to provide guidance on the best investment opportunities.

Online consumer behavior: The tablet shopper – A new kind of customer?

Tablet computers are on the rise and are increasingly superseding stationary computers in terms of modern online shopping. This paper therefore aims on understanding how tablet and website characteristics might impact online consumer behavior. The collected data resulted from focus groups and in-depth interviews conducted with a technology affine audience. It has shown that tablets indeed may have shifted shopping behavior from utilitarian towards rather recreational attributes. Discussions also revealed high customer expectations towards visited shopping websites and prevailing deficits. Thus, harnessing the concept of experiential flow is crucial. Compelling experiences are required to increase the duration of stay and consequently the likelihood of increased purchases.

Recreação e Socialização – Um estudo de comunidades de jogadores online

O tema das comunidades virtuais apenas começou a ser considerado seriamente pela antropologia há relativamente pouco tempo, mas está já a revelar-se uma área tão complexa e interessante como as já anteriormente estudadas no decurso do desenvolvimento desta ciência. Através das novas tecnologias tem-se assistido cada vez mais à proliferação de uma nova forma de socialização que transcende as distâncias físicas e combina elementos de auto-expressão e projecção de imagem. Dentro deste vasto mundo de interacções virtuais, esta dissertação pretende abordar um de muitos contextos específicos – o de um dos maiores jogos online da actualidade, já com uma longa história, e mostrar como é ao mesmo tempo um instrumento de diversão e um meio de actividade social, no qual se cruzam uma variedade de indivíduos como parte de diferentes comunidades. Mas mais que isso, é também um meio complexo e multifacetado, com normas próprias e com uma base de apoio bastante envolvida. Vários milhões de jogadores participam neste meio, alguns encontrando-se fortemente investidos neste (por vezes em detrimento de outros interesses) e uma porção significativa segue o seu desenvolvimento com interesse e participa em eventos dentro e fora do jogo. Esta dissertação pretende explorar este meio, as suas particularidades e os seus participantes através da análise de material existente sobre o tema e da observação em primeira mão das interacções enquanto decorrem.

Market risk charge of the trading book: a comparison of the Basel II and Basel III

This paper aims to investigate if the market capital charge of the trading book increased in Basel III compared to Basel II. I showed that the capital charge rises by 232% and 182% under the standardized and internal model, respectively. The varying liquidity horizons, the calibration to a stress period, the introduction of credit spread risk, the restrictions on correlations across risk categories and the incremental default charge boost Basel III requirements. Nevertheless, the impact of Expected shortfall at 97.5% is low and long term shocks decrease the charge. The standardized approach presents advantages and disadvantages relative to internal models.

Credit default swap (CDS) prediction model & trading strategy

This project focuses on the study of different explanatory models for the behavior of CDS security, such as Fixed-Effect Model, GLS Random-Effect Model, Pooled OLS and Quantile Regression Model. After determining the best fitness model, trading strategies with long and short positions in CDS have been developed. Due to some specifications of CDS, I conclude that the quantile regression is the most efficient model to estimate the data. The P&L and Sharpe Ratio of the strategy are analyzed using a backtesting analogy, where I conclude that, mainly for non-financial companies, the model allows traders to take advantage of and profit from arbitrages.

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.

Trading the differences in expectations between the CDS and bond markets

This paper uses the framework developed by Vrugt (2010) to extract the recovery rate and term-structure of risk-neutral default probabilities implied in the cross-section of Portuguese sovereign bonds outstanding between March and August 2011. During this period the expectations on the recovery rate remain firmly anchored around 50 percent while the instantaneous default probability increases steadily from 6 to above 30 percent. These parameters are then used to calculate the fair-value of a 5-year and 10- year CDS contract. A credit-risk-neutral strategy is developed from the difference between the market price of a CDS of the same tenors and the fair-value calculated, yielding a sharpe ratio of 3.2

Jogo 3D online para reabilitação de pacientes afásicos

Esta plataforma foi projetada como auxílio complementar ao processo de reabilitação de doentes afásicos lusófonos. Uma gama de exercícios são disponibilizados de forma a induzir diferentes estímulos (compreensão escrita e auditiva e expressão escrita) sendo a grande maioria destes realizados dentro de um ambiente virtual em três dimensões onde o utilizador (dependendo da tarefa) pode interagir com objetos presentes dentro de uma casa. A principal particularidade desta plataforma reside no facto desta estar alojada online, dispensando instalações e permitindo um acompanhamento mais próximo por parte do terapeuta da fala do progresso feito pelo paciente. A ferramenta desenvolvida está disponível para visualização e teste no endereço www.weblisling.net.

“The impact of online ratings on video game sales”

Online third-party reviews have been grown over the last decade and they now play an important role as a tool for helping customers evaluate products and services that in many cases offer more than tangible features. This study intends to quantify the impact online ratings have over video game sales by conducting a linear regression analysis on 300 titles for the previous console generation (PlayStation® 3 and Xbox® 360) using a data from the video game industry to understand the existing influence on this particular market. The findings showed that these variables have a weak linear relationship thus suggesting that quality of a title explains little the commercial success of a video game and instead this should cover a wider range of factors. Afterwards, we compare results to previous ones and discuss the managerial implications for upcoming gaming generations.

The impact of online promotional efforts on customer acquisitiom and retention at continente.pt

Continente Online (COL) is the market leader of online grocery retailing in Portugal. Aiming at sustaining this position, it has been focusing its promotional efforts in acquiring and retaining customers. This report intakes an extensive study on the impact of COL’s exclusive promotional efforts (free delivery offers and ten percent discounts on loyalty card) on customer acquisition and retention, as well as, a cost analysis on these offers. Two econometric models were developed and the results were interesting. It was concluded that free delivery offers have a significant impact both in terms of customer acquisition and retention, having also a lower cost in comparison with ten percent on loyalty card discounts.

Consumer behavior: Online grocery shopping in Portugal

Living in the digital era, activities that have for centuries acted one way, have now changed and entered the online world, and online grocery shopping is one of them. It is a worldwide phenomenon and is already a significant part of people’s lifestyle in several countries however, in Portugal, it is still in expansion and improvement. Based on the Theory of Planned Behavior, this study allowed to estimate how the perceived risk and shopping orientation counterbalances the convenience offered to consumers. Furthermore, it validated how usability and access to focused promotions can help speed up this adaptation in Portugal

Weight concerns scale applied to college students : Comparison between pencil-and-paper and online formats

Online data collection is becoming increasingly common and has some advantages compared to traditional paper-and-pencil formats, such as reducing loss of data, increasing participants' privacy, and decreasing the effect of social desirability. However, the validity and reliability of this administration format must be established before results can be considered acceptable. The aim of this study was to evaluate the validity, reliability, and equivalence of paper-and-pencil and online versions of the Weight Concerns Scale (WCS) when applied to Brazilian university students. A crossover design was used, and the Portuguese version of the WCS (in both paper-and-pencil and online formats) was completed by 100 college students. The results indicated adequate fit in both formats. The simultaneous fit of data for both groups was excellent, with strong invariance between models. Adequate convergent validity, internal consistency, and mean score equivalence of the WCS in both formats were observed. Thus, the WCS presented adequate reliability and validity in both administration formats, with equivalence/stability between answers.

Estudo descritivo e exploratório sobre o consumo de pornografia online numa amostra feminina portuguesa

Dissertação de Mestrado apresentada ao ISPA - Instituto Universitário

O jornalismo online da TVI24 e a sua relação com as fontes

Elaborado no âmbito do mestrado em Jornalismo da Faculdade de Ciências Sociais e Humanas – Universidade Nova de Lisboa, o presente relatório, intitulado “O Jornalismo Online da TVI24 e a sua relação com as fontes”, resulta dos conhecimentos que apreendi na componente não-lectiva e da experiência prática de três meses no site da TVI24, entre Setembro e Dezembro de 2014. Proponho reflectir sobre o jornalismo online, as suas potencialidades e, em particular, sobre a relação dos jornalistas com as fontes, a partir da respectiva revisão de literatura e de uma análise da cobertura dos acontecimentos relacionados com o vírus Ébola e a bactéria Legionella no que respeita às fontes utilizadas e ao aproveitamento das ferramentas digitais. Através da análise dos dados recolhidos, concluo que o jornalismo online é ainda marcado pelo sedentarismo, pelo contacto indirecto com as fontes e pelo pouco aproveitamento das ferramentas digitais.