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

Portuguese investor profile in Poland, a managerial approach

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

Fearful asymmetry: An analysis of pre-earnings abnormal returns

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

Factor analysis in the stock market: An application to statistical arbitrage

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

Proposta de abordagem para gestão de ocorrências em Serviços de Sangue

RESUMO: A gestão de ocorrências, sendo um requisito, quer legal, ao nível da regulação, quer normativo, tal como surge na ISO 9001, é um componente crítico para garantir a melhoria contínua um Serviço de Sangue, dado ter como objetivo a satisfação contínua dos requisitos dos dadores e recetores. A gestão eficaz, mas com eficiência, depende, também da eficácia da abordagem para gestão de ocorrência, nomeadamente, através da geração de correções, ações corretivas e ações preventiva eficazes. Esta dissertação discute a relevância, propondo um modelo de abordagem de gestão da qualidade conforme com os requisitos da lei fundamental da regulação de Serviços de Sangue, DL 267/2007, e com a norma global para sistemas de gestão da qualidade, ISO 9001. Esta abordagem usada descreve as várias etapas para a gestão eficaz de ocorrências, desde o seu relato, à sua classificação, tratamento com medição e análise risco associado e verificação da eficácia das ações tomadas. A eficácia do modelo teórico proposto foi verificado através da sua passagem para algoritmo informático num software comercial. Foi evidenciado neste software o cumprimento dos requisitos da abordagem teórica, pelo que a aplicação informática está conforme com os requisitos estabelecidos num procedimento documentado. Foi evidenciado, também, a rastreabilidade dos dados ao longo e toda a metodologia. A utilização de uma ferramenta informática também acrescentou valor ao modelo teórico, dado o acesso a toda a informação ser mais célere e de fácil acesso, quando comparado com o uso em suporte de papel.---------ABSTRACT: The issues management is a law requirement intended for regulation of “Blood Banks” and a quality management global requirement from ISO 9001. It is a critical activity, intended to to ensure continuous improvement on “Blood Bank”. Its goal is the continuous satisfaction of blood donors and transfusion recipients. Effective management and efficiency also depend on the effectiveness of the management of occurrence approach, namely in successful corrections, corrective actions and preventive actions. This paper discusses the relevance and it proposes a model approach to quality management according to the requirements of the fundamental law of regulation of “Blood Bank”, DL 267/2007, and according to the global standard for quality management systems, ISO 9001. This approach describes the various steps for effective management of incidents, such as his account, its classification, measurement and treatment using risk analysis and verification of the effectiveness of actions taken. The efficiency of the proposed theoretical model was verified through its transition to a computer algorithm trading software. It was demonstrated in this software that the requirements of the theoretical approach has been fulfilled by the computer application, which complies with the requirements established in a documented procedure. It was also evident that traceability of data across the methodology. The use of a software tool also added value to the theoretical model due to the access to all information to be faster and more easily accessible, when compared to paper.

Individual and aggregate money demands

I construct a model in which money and bond holdings are consistent with individual decisions and aggregate variables such as production and interest rates. The agents are infinitely-lived, have constant-elasticity preferences, and receive a fraction of their income in money. Each agent solves a Baumol-Tobin money management problem. Markets are segmented because financial frictions make agents trade bonds for money at different times. Trading frequency, consumption, government decisions and prices are mutually consistent. An increase in inflation, for example, implies higher trading frequency, more bonds sold to account for seigniorage, and lower real balances.

While the crisis proceeds: A world redistribution of economic power?

The crisis has drawn attention to the fact that not only emerging powers but other regions of the world as well may be offering different development models and may constitute into alternative, in some dimensions more positive agents, in the conduct of the present stage of globalisation. Notwithstanding, the traditional western powers have not lost a large amount of control of the world economy. And the crisis proceeds, reallocating world power as in a Hobbesian anarchy. It is difficult to foresee smooth developments in the near future. On the contrary, multilateralism seems to be losing ground to unilateral action or bilateral arrangements. More or less disguised currency wars may lead to serious disequilibria, and turf wars may become more frequent, with motives ranging from securing captive markets to control of specific commodities and energy goods, or targeted regulatory frameworks. As economic policy becomes even more involved with defence and security affairs, the feedbacks from each side to the other seem likely to keep dissent and animosity high, rather than contributing to peaceful and constructive approaches. A more trouble-prone world may be easily expected.

Fossil fuel dependence and interfuel substitution in the electricity sector of Western European countries between 1990-2011

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

An intertemporal pricing model for CO2 allowances: The impact of the clean development mechanism

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

Exploring the predictive power of Google searches over the US stock market

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

Pricing of exchange traded funds

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

Sustainability and consumer responses: The effect of bad industry reputation and fit

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

Context-based identification of energy consumption in industrial plants

Nowadays, reducing energy consumption is one of the highest priorities and biggest challenges faced worldwide and in particular in the industrial sector. Given the increasing trend of consumption and the current economical crisis, identifying cost reductions on the most energy-intensive sectors has become one of the main concerns among companies and researchers. Particularly in industrial environments, energy consumption is affected by several factors, namely production factors(e.g. equipments), human (e.g. operators experience), environmental (e.g. temperature), among others, which influence the way of how energy is used across the plant. Therefore, several approaches for identifying consumption causes have been suggested and discussed. However, the existing methods only provide guidelines for energy consumption and have shown difficulties in explaining certain energy consumption patterns due to the lack of structure to incorporate context influence, hence are not able to track down the causes of consumption to a process level, where optimization measures can actually take place. This dissertation proposes a new approach to tackle this issue, by on-line estimation of context-based energy consumption models, which are able to map operating context to consumption patterns. Context identification is performed by regression tree algorithms. Energy consumption estimation is achieved by means of a multi-model architecture using multiple RLS algorithms, locally estimated for each operating context. Lastly, the proposed approach is applied to a real cement plant grinding circuit. Experimental results prove the viability of the overall system, regarding both automatic context identification and energy consumption estimation.

Earnings overseas and cash holdings

I investigate the impact of foreign pre-tax income on the total amount of cash held by companies and on the amount of cash that is held in companies’ foreign subsidiaries. I also investigate the impact of the existence and amount of cash held on companies’ foreign subsidiaries in the composition of cash holdings in terms of risk and liquidity. Using a sample of 100 largest U.S. non-financial and non-utilities companies I find that companies with higher earnings overseas present higher cash reserves and invest a higher fraction of their cash in risky assets. My evidence suggests that companies have a different optimization strategy for cash overseas, in which precautionary motives are not the main driver for holding cash.

Evidence of market anomalies in the Eurozone: A practical implementation

A Work Project, presented as part of the requirements for the Award of a Master’s Double Degree in Finance and Financial Economics from NOVA – School of Business and Economics and Maastricht University