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.

Predictability of stock market returns: Evidence from Eurozone's banking sectors

This paper analyzes the in-, and out-of sample, predictability of the stock market returns from Eurozone’s banking sectors, arising from bank-specific ratios and macroeconomic variables, using panel estimation techniques. In order to do that, I set an unbalanced panel of 116 banks returns, from April, 1991, to March, 2013, to constitute equal-weighted country-sorted portfolios representative of the Austrian, Belgian, Finish, French, German, Greek, Irish, Italian, Portuguese and Spanish banking sectors. I find that both earnings per share (EPS) and the ratio of total loans to total assets have in-sample predictive power over the portfolios’ monthly returns whereas, regarding the cross-section of annual returns, only EPS retain significant explanatory power. Nevertheless, the sign associated with the impact of EPS is contrarian to the results of past literature. When looking at inter-yearly horizon returns, I document in-sample predictive power arising from the ratios of provisions to net interest income, and non-interest income to net income. Regarding the out-of-sample performance of the proposed models, I find that these would only beat the portfolios’ historical mean on the month following the disclosure of year-end financial statements. Still, the evidence found is not statistically significant. Finally, in a last attempt to find significant evidence of predictability of monthly and annual returns, I use Fama and French 3-Factor and Carhart models to describe the cross-section of returns. Although in-sample the factors can significantly track Eurozone’s banking sectors’ stock market returns, they do not beat the portfolios’ historical mean when forecasting returns.

One-year cardiac morphological and functional evolution following permanent pacemaker implantation in right ventricular septal position in chagasic patients

INTRODUCTION: The septal position is an alternative site for cardiac pacing (CP) that is potentially less harmful to cardiac function. METHODS: Patients with Chagas disease without heart failure submitted to permanent pacemaker (PP) implantation at the Clinics Hospital of the Triângulo Mineiro Federal University (UFTM), were selected from February 2009 to February 2010. The parameters analyzed were ventricular remodeling, the degree of electromechanical dyssynchrony (DEM), exercise time and VO2 max during exercise testing (ET) and functional class (NYHA). Echocardiography was performed 24 to 48h following implantation and after one year follow-up. The patients were submitted to ET one month postprocedure and at the end of one year. RESULTS: Thirty patients were included. Patient mean age was 59±13 years-old. Indication for PP implantation was complete atrioventricular (AV) block in 22 (73.3%) patients and 2nd degree AV block in the other eight (26.7%). All patients were in NYHA I and no changes occurred in the ET parameters. No variations were detected in echocardiographic remodeling measurements. Intraventricular dyssynchrony was observed in 46.6% of cases and interventricular dyssynchrony in 33.3% of patients after one year. CONCLUSIONS: The findings of this work suggest that there is not significant morphological and functional cardiac change following pacemaker implantation in septal position in chagasic patients with normal left ventricular function after one year follow-up. Thus, patients may remain asymptomatic, presenting maintenance of functional capacity and no left ventricular remodeling.

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.

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

Modeling and forecasting value-at-risk for the Portuguese stock market

The aim of this work project is to find a model that is able to accurately forecast the daily Value-at-Risk for PSI-20 Index, independently of the market conditions, in order to expand empirical literature for the Portuguese stock market. Hence, two subsamples, representing more and less volatile periods, were modeled through unconditional and conditional volatility models (because it is what drives returns). All models were evaluated through Kupiec’s and Christoffersen’s tests, by comparing forecasts with actual results. Using an out-of-sample of 204 observations, it was found that a GARCH(1,1) is an accurate model for our purposes.

Predicting market direction with hidden Markov models

This paper develops the model of Bicego, Grosso, and Otranto (2008) and applies Hidden Markov Models to predict market direction. The paper draws an analogy between financial markets and speech recognition, seeking inspiration from the latter to solve common issues in quantitative investing. Whereas previous works focus mostly on very complex modifications of the original hidden markov model algorithm, the current paper provides an innovative methodology by drawing inspiration from thoroughly tested, yet simple, speech recognition methodologies. By grouping returns into sequences, Hidden Markov Models can then predict market direction the same way they are used to identify phonemes in speech recognition. The model proves highly successful in identifying market direction but fails to consistently identify whether a trend is in place. All in all, the current paper seeks to bridge the gap between speech recognition and quantitative finance and, even though the model is not fully successful, several refinements are suggested and the room for improvement is significant.

The financial system in Mozambique: Opportunities, barriers and market potential

This research is empirical and exploratory intending to analyse the attractiveness of banking in Mozambique, considering its positive outlook. To identify the opportunities and barriers, the methods adopted were elite interviews with banking executives, complemented by secondary data. The opportunities for new entrants seem to include bankarization and the emergence of micro and smallmedium enterprises; other avenues seem to include investment banking, support of mega-projects (e.g. energy, infrastructures) through syndicates and cooperation with multilaterals, and the participation in developing capital markets. Conversely, the main barriers include shortage of talent, inadequate infrastructures, poverty, unsophisticated entrepreneurial culture (e.g. informal economy, inadequate financial reporting), burdensome bureaucracy (e.g. visas), foreign exchange regulation, as well as low liquidity and high funding costs for banks. The key conclusions suggest a window of opportunity for niche markets, and new products and services in retail and investment banking.

Impact of corporate social responsibility in the European pharmaceutical market

The objective of this master thesis is to evaluate the impact of CSR measures in the financial performance of the European pharmaceutical industry. By definition, CSR measures is quantified as corporate social disclosure considering the published CSR keywords on the annual reports of the selected companies, over four fiscal years (2010-2013). The financial performance of the companies were measured as return on assets (ROA) and Tobin’s Q. In order to defend the hypothesis developed, a multivariate regression is performed. The results obtained show no significant impact on the financial performance of a company nor in the short-time, nor in the long-time. Moreover, by comparison with other studies, it was possible to conclude that the financial performance is differently affected when considering different industries.

Market value of corruption

This paper studies the impact of the Brazilian anticorruption legislation, PL 6826/2010, on stock returns. I show that, around the law approval date, the greater the link between the corporate and political worlds, the worse is the companies’ performance. Companies awarded with public contracts in 2012 suffer more with the new legislation approval. Firms with above median contract values have 2.9% lower returns than its peers. The negative effect is more pronounced for bigger and more complex entities, associated with higher levels of Corporate Responsibility and Governance and not subject to the US FCPA.

Evolution of Teeth and Quadrate in Non-avian Theropoda (Dinosauria: Saurischia), with the Description of Torvosaurus Remains from Portugal

Theropods form a highly successful and morphologically diversified group of dinosaurs that gave rise to birds. They include most, if not all, carnivorous dinosaurs, yet many theropod clades were secondarily adapted to piscivory, omnivory and herbivory, and theropods show a large array of skull and dentition morphologies. This work aims to investigate aspects of the evolution of theropod dinosaurs by analyzing in detail both the anatomy and ontogeny of teeth and quadrates in non-avian theropods, and by studying embryonic and adult material of a new species of theropod. A standardized list of terms and notations for each anatomical entity of the tooth, quadrate, and maxilla is here proposed with the goal of facilitating descriptions of these important cranial and dental elements. The distribution of thirty dental characters among 113 theropod taxa is investigated, and a list of diagnostic dental characters is proposed. As an example, four isolated theropod teeth from the Lourinhã Formation (Kimmeridgian‒Tithonian) of Portugal are described and identified based on a cladistic analysis performed on a data matrix of 141 dentition-based characters coded in 60 taxa. Two shed teeth are referred to an abelisaurid, providing the first record of Abelisauridae in the Jurassic of Laurasia and the one of the oldest records of this clade in the world, suggesting a possible radiation of Abelisauridae in Europe well before the Upper Cretaceous. The consensus tree resulting from this phylogenetic analysis, the most extensive on theropod teeth, indicates that theropod teeth provide reliable data for identification at approximately family level, and this method will help identifying theropod teeth with more confidence. A detailed description of the dentition of Megalosauridae is also provided, and a discriminant analysis performed on a dataset of numerical data collected on the teeth of 62 theropod taxa reveals that megalosaurid teeth are hardly distinguishable from other theropod clades with ziphodont dentition. This study highlights the importance of detailing anatomical descriptions and providing additional morphometric data on teeth with the purpose of helping to identify isolated theropod teeth. In order to evaluate the phylogenetic potential and investigate the evolutionary transformations of the quadrate, a phylogenetic morphometric analysis as well as a cladistic analysis using 98 discrete quadrate related characters were conducted. The quadrate morphology by its own provides a wealth of data with strong phylogenetic signal, and the phylogenetic morphometric analysis reveals two main morphotypes of the mandibular articulation of the quadrate linked to function. As an example, six isolated quadrates from the Kem Kem beds (Cenomanian) of Morocco are determined to be from juvenile and adult individuals of Spinosaurinae based on phylogenetic, morphometric, and phylogenetic morphometric analyses. Morphofunctional analysis of the spinosaurid mandibular articulation has shown that the posterior parts of the two mandibular rami displaced laterally when the jaw was depressed due to a mediolaterally oriented intercondylar sulcus of the quadrate. Such lateral movement of the mandibular ramus was possible due to a movable mandibular symphysis in spinosaurids, allowing the pharynx to be widened. A new species of theropod from the Lourinhã Formation of Portugal, Torvosaurus gurneyi, is erected based on a right maxilla and an incomplete caudal centrum. This taxon supports the mechanism of vicariance that occurred in the Iberian Meseta during the Late Jurassic when the proto-Atlantic was already well formed. A theropod clutch containing several crushed eggs and embryonic material is also assigned to this new species of Torvosaurus. Investigation on the maxilla ontogeny in basal tetanurans reveals that crown denticles, elongation of the anterior ramus, and fusion of interdental plates appear at a posthatchling stage. On the other hand, maxillary pneumaticity is already present at an embryonic stage in non-avian theropods.

An internationalisation research project into the German market for the Portuguese canned seafood company COFACO.

This project is aimed to analyse the German market of canned fish, in order to find out if there is potential of entering the market for the Portuguese canned seafood company named COFACO. The purpose of this foreign market research, carried out for COFACO, is to highlight the main key aspects of the current German seafood market, founded out through a deep analysis. Moreover, the work project is also aimed to give the company suggestions regarding the Brand, the Product and the Distribution strategy to implement in order to succeed, once considered the opportunity to enter the market.

A business model for an entertainment solution to the in-vehicle infotainment industry

The evolution of mobile technologies that make its presence something ubiquitous and the idea of internet connectivity in every device, often called as the Internet of Things, are pushing a disruption in other industry: the in-vehicle infotainment (IVI). Many companies are trying to enter this new industry that comprises information (weather, news, location services) and entertainment solutions in just one. For that purpose, company X developed a new entertainment solution and intends to bring it to market. This Work Project focuses on creating a business model and an entry mode for the company.