Power law analysis of financial index dynamics

Power law PL and fractional calculus are two faces of phenomena with long memory behavior. This paper applies PL description to analyze different periods of the business cycle. With such purpose the evolution of ten important stock market indices DAX, Dow Jones, NASDAQ, Nikkei, NYSE, S&P500, SSEC, HSI, TWII, and BSE over time is studied. An evolutionary algorithm is used for the fitting of the PL parameters. It is observed that the PL curve fitting constitutes a good tool for revealing the signal main characteristics leading to the emergence of the global financial dynamic evolution.

Fusão de hospitais em centros hospitalares : impacto no seu desempenho operacional e financeiro

Mestrado em Contabilidade e Análise Financeira

Relativistic time effects in financial dynamics

Financial time series have a complex dynamic nature. Many techniques were adopted having in mind standard paradigms of time flow. This paper explores an alternative route involving relativistic effects. It is observed that the measuring perspective influences the results and that we can have different time textures.

Complex dynamics of financial indices

This paper presents a novel method for the analysis of nonlinear financial and economic systems. The modeling approach integrates the classical concepts of state space representation and time series regression. The analytical and numerical scheme leads to a parameter space representation that constitutes a valid alternative to represent the dynamical behavior. The results reveal that business cycles can be clearly revealed, while the noise effects common in financial indices can elegantly be filtered out of the results.

Analysis of financial indices by means of the windowed Fourier transform

The goal of this study is to analyze the dynamical properties of financial data series from nineteen worldwide stock market indices (SMI) during the period 1995–2009. SMI reveal a complex behavior that can be explored since it is available a considerable volume of data. In this paper is applied the window Fourier transform and methods of fractional calculus. The results reveal classification patterns typical of fractional order systems.

O controlo interno nos serviços e fundos autónomos

Mestrado em Auditoria

A divulgação do risco nas demonstrações financeiras : uma análise ao anexo das sociedades não financeiras portuguesas

Mestrado em Auditoria

Gestão estratégica das organizações : sua aplicabilidade numa instituição financeira : o caso "Grupo Banco Espírito Santo"

Mestrado em Contabilidade e Gestão das Instituições Financeiras

Aplicação da lei de Benford e a importância do controlo interno

Mestrado em Contabilidade

Fractional dynamics in financial indexes

The goal of this study is the analysis of the dynamical properties of financial data series from 32 worldwide stock market indices during the period 2000–2009 at a daily time horizon. Stock market indices are examples of complex interacting systems for which a huge amount of data exists. The methods and algorithms that have been explored for the description of physical phenomena become an effective background in the analysis of economical data. In this perspective are applied the classical concepts of signal analysis, Fourier transform and methods of fractional calculus. The results reveal classification patterns typical of fractional dynamical systems.

Analysis of financial data series using fractional Fourier transform and multidimensional scaling

The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indexes during the period 2000–2009. We analyze, under a regional criterium, ten main indexes at a daily time horizon. The methods and algorithms that have been explored for the description of dynamical phenomena become an effective background in the analysis of economical data. We start by applying the classical concepts of signal analysis, fractional Fourier transform, and methods of fractional calculus. In a second phase we adopt the multidimensional scaling approach. Stock market indexes are examples of complex interacting systems for which a huge amount of data exists. Therefore, these indexes, viewed from a different perspectives, lead to new classification patterns.

Road lane detection for autonomous robot guidance

Computational Vision stands as the most comprehensive way of knowing the surrounding environment. Accordingly to that, this study aims to present a method to obtain from a common webcam, environment information to guide a mobile differential robot through a path similar to a roadway.

Internal structure of the nanogratings generated inside bulk fused sílica by ultrafast laser direct writing

The aim of the present work was to characterize the internal structure of nanogratings generated inside bulk fused silica by ultrafast laser processing and to study the influence of diluted hydrofluoric acid etching on their structure. The nanogratings were inscribed at a depth of 100 mu m within fused silica wafers by a direct writing method, using 1030 nm radiation wavelength and the following processing parameters: E = 5 mu J, tau = 560 fs, f = 10 kHz, and v = 100 mu m/s. The results achieved show that the laser-affected regions are elongated ellipsoids with a typical major diameter of about 30 mu m and a minor diameter of about 6 mu m. The nanogratings within these regions are composed of alternating nanoplanes of damaged and undamaged material, with an average periodicity of 351 +/- 21 nm. The damaged nanoplanes contain nanopores randomly dispersed in a material containing a large density of defects. These nanopores present a roughly bimodal size distribution with average dimensions for each class of pores 65 +/- 20 x 16 +/- 8 x 69 +/- 16 nm(3) and 367 +/- 239 x 16 +/- 8 x 360 +/- 194 nm(3), respectively. The number and size of the nanopores increases drastically when an hydrofluoric acid treatment is performed, leading to the coalescence of these voids into large planar discontinuities parallel to the nanoplanes. The preferential etching of the damaged material by the hydrofluoric acid solution, which is responsible for the pores growth and coalescence, confirms its high defect density. (C) 2014 AIP Publishing LLC.

Internal consistency of the self-reporting questionnaire-20 in occupational groups

ABSTRACT OBJECTIVE To assess the internal consistency of the measurements of the Self-Reporting Questionnaire (SRQ-20) in different occupational groups. METHODS A validation study was conducted with data from four surveys with groups of workers, using similar methods. A total of 9,959 workers were studied. In all surveys, the common mental disorders were assessed via SRQ-20. The internal consistency considered the items belonging to dimensions extracted by tetrachoric factor analysis for each study. Item homogeneity assessment compared estimates of Cronbach’s alpha (KD-20), the alpha applied to a tetrachoric correlation matrix and stratified Cronbach’s alpha. RESULTS The SRQ-20 dimensions showed adequate values, considering the reference parameters. The internal consistency of the instrument items, assessed by stratified Cronbach’s alpha, was high (> 0.80) in the four studies. CONCLUSIONS The SRQ-20 showed good internal consistency in the professional categories evaluated. However, there is still a need for studies using alternative methods and additional information able to refine the accuracy of latent variable measurement instruments, as in the case of common mental disorders.

Persistence characteristics in financial prices: evidence from the portuguese stock market returns

The objective of this article is to provide additional knowledge to the discussion of long-term memory, leaning over the behavior of the main Portuguese stock index. The first four moments are calculated using time windows of increasing size and sliding time windows of fixed size equal to 50 days and suggest that daily returns are non-ergodic and non-stationary. Seeming that the series is best described by a fractional Brownian motion approach, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA). The findings indicate evidence of long term memory in the form of persistence. This evidence of fractal structure suggests that the market is subject to greater predictability and contradicts the efficient market hypothesis in its weak form. This raises issues regarding theoretical modeling of asset pricing. In addition, we carried out a more localized (in time) study to identify the evolution of the degree of long-term dependency over time using windows 200-days and 400-days. The results show a switching feature in the index, from persistent to anti-persistent, quite evident from 2010.