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.

A importância da gestão baseada na criação de valor para o acionista (Value-Based Management): o caso do Grupo Galp Energia

A avaliação de empresas sempre constituiu um tema de elevada reflexão, sendo que vários especialistas tentam encontrar os modelos que melhor se adaptam a situações específicas e para as quais precisam de determinar um valor. No contexto empresarial português começa a ganhar significância a prática da gestão orientada para a criação de valor (Value-Based Management). O conceito de Value-Based Management assistiu a um particular desenvolvimento nos últimos 20 anos como resultado da globalização e desregulamentação dos mercados financeiros, dos avanços nas tecnologias de informação e do aumento da importância dos investidores institucionais. Vários analistas apresentaram evidência de que as empresas que adotam sistemas VBM melhoram o seu desempenho económico em relação a outras de dimensão semelhante no mesmo setor. É neste contexto que o EVA (Economic Value Added) se apresenta como uma métrica de desempenho privilegiada nos processos de controlo das decisões estratégicas tomadas. No presente trabalho pretendemos abordar o conceito da gestão baseada na criação de valor e a sua importância para o acionista, o que implica rever outros modelos de avaliação tradicionais baseados no valor contabilístico. Como métrica de avaliação do desempenho passado da empresa ao nível da criação de valor vamos dar particular importância ao estudo do EVA, fazendo referência à possível correlação entre esta métrica e o MVA (Market Value Added). O objetivo principal é analisar empiricamente a relação do EVA como medida de desempenho associada à criação de valor para os acionistas com a performance da empresa. Com efeito, vamos efetuar um estudo de caso, que vai incidir sobre um grupo empresarial português, referência no seu setor de atividade, o Grupo Galp Energia, cotado na Euronext Lisbon. Pensamos que a crescente prática da gestão baseada na criação de valor nas empresas cotadas em Portugal e a necessidade de aferir os resultados desta, tornam esta investigação pertinente, para além do facto de serem poucos os estudos empíricos à questão da criação de valor e a sua correlação com o valor acrescentado de mercado e com o valor de mercado dos capitais próprios das empresas cotadas em Portugal.

Risk management of new product development process

Dissertation submitted to Faculdade de Ciências e Tecnologia of Universidade Nova de Lisboa for the achievement of Integrated Master´s degree in Industrial Management Engineering

Long-term dependence in financial prices: evidence from the Belgian stock market returns

This article aims to contribute to the discussion of long-term dependence, focusing on the behavior of the main Belgian stock index. Non-parametric analyzes of the general characteristics of temporal frequency show that daily returns are non-ergodic and non-stationary. Therefore, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA), under the fractional Brownian motion approach, and we found slight evidence of long-term dependence. These results refute the random walk hypothesis with i.i.d. increments, which is the basis of the EMH in its weak form, and call into question some theoretical modeling of asset pricing. Other more localized complementary study, to identify the evolution of the degree of dependence over time windows, showed that the index has become less persistent from 2010. This may mean a maturing market by the extension of the effects of current financial crisis.

Web GIS to support irrigation management: a prototype for SAGRA network, Alentejo Portugal

Dissertation submitted in partial fulfilment of the requirements for the Degree of Master of Science in Geospatial Technologies

Estratégia de internacionalização da Grande Porto: seleção, modos de entrada e marketing-mix na abordagem dos mercados internacionais

Dissertação apresentada ao Instituto Politécnico do Porto para obtenção do Grau de Mestre em Gestão das Organizações, Ramo de Gestão de Empresas Orientada pelo Professor Doutor José Freitas Santos

Integration of e-portfolios in learning management systems

The LMS plays a decisive role in most eLearning environments. Although they integrate many useful tools for managing eLearning activities, they must also be effectively integrated with other specialized systems typically found in an educational environment such as Repositories of Learning Objects or ePortfolio Systems. Both types of systems evolved separately but in recent years the trend is to combine them, allowing the LMS to benefit from using the ePortfolio assessment features. This paper details the most common strategies for integrating an ePortfolio system into an LMS: the data, the API and the tool integration strategies. It presents a comparative study of strategies based on the technical skills, degree of coupling, security features, batch integration, development effort, status and standardization. This study is validated through the integration of two of the most representative systems on each category - respectively Mahara and Moodle.

Integrated ecological-economic modelling and assessment aproach for coastal ecosystem management

Thesis submitted to the Faculty of Sciences and Technology, New University of Lisbon, for the degree of Doctor of Philosophy in Environmental Sciences

Space-time monitoring of prescribed burnt soils performance – an effective tool for forest management

Among the most important measures to prevent wild forest fires is the use of prescribed and controlled burning actions in order to reduce the availability of fuel mass. However, the impact of these activities on soil physical and chemical properties varies according to the type of both soil and vegetation and is not fully understood. Therefore, soil monitoring campaigns are often used to measure these impacts. In this paper we have successfully used three statistical data treatments - the Kolmogorov-Smirnov test followed by the ANOVA and the Kruskall-Wallis tests – to investigate the variability among the soil pH, soil moisture, soil organic matter and soil iron variables for different monitoring times and sampling procedures.

Long-term memory in financial prices: evidence from the Dutch stock market returns

Prepared for presentation at the Portuguese Finance Network International Conference 2014, Vilamoura, Portugal, June 18-20

Learning management systems in higher education

The use of Laptops and the Internet has produced the technological conditions for instructors and students can take advantage from the diversity of online information, communication, collaboration and sharing with others. The integration of Internet services in the teaching practices can be responsible for thematic, social and digital improvement for the agents involved. There are many benefits when we use a Learning Management Systems (LMS) such as Moodle, to support the lectures in higher education. We also will consider its implications for student support and online interaction, leading educational agents to a collaborating of different learning environments, where they can combine face-to-face instruction with computer-mediated instruction, blended-learning, and increases the possibilities for better quality and quantity of human communication in a learning background. In general components of learning management systems contain synchronous and asynchronous communication tools, management features, and assessment utilities. These assessment utilities allow lecturers to systematize basic assessment tasks. Assessments can be straightaway delivered to the student, and upon conclusion, immediately returned with grades and detailed feedback. Therefore learning management systems can also be used for assessment purposes in Higher Education.

Enterprise information portals: potential for evaluating research for knowledge management and human capital assets using social network analysis

Paper presented at the ECKM 2010 – 11th European Conference on Knowledge Management, 2-3 September, 2010, Famalicão, Portugal. URL: http://www.academic-conferences.org/eckm/eckm2010/eckm10-home.htm