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

Immunotherapy, immunochemotherapy and chemotherapy for American cutaneous leishmaniasis treatment

The first choice of treatment for American cutaneous leishmaniasis is the pentavalent antimonial drug. Although it has been shown that this treatment is mostly effective and indicated, some disadvantages should be taken into account such as side effects, long term treatment inconveniences and counter-indication for patients suffering from cardiopathy, nephropathy; yet, aging, pregnancy and other conditions. With the advent of the vaccine anti-American cutaneous leishmaniasis as a prophylactic measure, studies on therapy using the vaccine associated or not with other drugs have been performed by many investigators and it is currently among the alternative treatments and prevention measures for American cutaneous leishmaniasis. In conclusion, the association between antimony and vaccine (immunochemotherapy) showed the same cure rate when compared with the standard treatment (100%) and it was also able to reduce the salt volume in 17.9% and treatment length from 87 to 62 days, decreasing side effects.

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.

A abolição da dupla incriminação no mandado de detenção europeu

This essay presents the European Arrest Warrant and its relationship with the principle of double criminality, which was abolished in 2002 with the new Framework Decision (FD). This instrument was essential to implement the principle of mutual recognition and strengthen the police and judicial cooperation in criminal matters in the newly created space of freedom, security and justice. It was urgent to create mechanisms to combat cross-border crime, that alone States have struggled to counter. An analysis of the FD No 2002/584/JHA is made. The execution of warrants and the non-mandatory and optional grounds of refusal are studied in detail. As it is the implementation issue. The role of mutual recognition in practice is studied as well. The procedure is to introduce the principle of double criminality, to explain the concept and its abolition, warning for the consequences derived from them, related to the principle of legality and fundamental rights. The analysis of the European Arrest Warrant in practice in Portugal and in comparison with other Member States allows the measurement of the consequences from the abolition of dual criminality and the position of States on this measure. With the abolition of double criminality, the cooperation in judicial and criminal matters departs from what was intended by the European Council of Tampere. And without cooperation, fundamental rights of citizens are unprotected, so the states have to adopt measures to remedy the "failures" of the European Law.

Experimental and modeling studies on reverse electrodialysis for sustainable power generation

A potentially renewable and sustainable source of energy is the chemical energy associated with solvation of salts. Mixing of two aqueous streams with different saline concentrations is spontaneous and releases energy. The global theoretically obtainable power from salinity gradient energy due to World’s rivers discharge into the oceans has been estimated to be within the range of 1.4-2.6 TW. Reverse electrodialysis (RED) is one of the emerging, membrane-based, technologies for harvesting the salinity gradient energy. A common RED stack is composed by alternately-arranged cation- and anion-exchange membranes, stacked between two electrodes. The compartments between the membranes are alternately fed with concentrated (e.g., sea water) and dilute (e.g., river water) saline solutions. Migration of the respective counter-ions through the membranes leads to ionic current between the electrodes, where an appropriate redox pair converts the chemical salinity gradient energy into electrical energy. Given the importance of the need for new sources of energy for power generation, the present study aims at better understanding and solving current challenges, associated with the RED stack design, fluid dynamics, ionic mass transfer and long-term RED stack performance with natural saline solutions as feedwaters. Chronopotentiometry was used to determinate diffusion boundary layer (DBL) thickness from diffusion relaxation data and the flow entrance effects on mass transfer were found to avail a power generation increase in RED stacks. Increasing the linear flow velocity also leads to a decrease of DBL thickness but on the cost of a higher pressure drop. Pressure drop inside RED stacks was successfully simulated by the developed mathematical model, in which contribution of several pressure drops, that until now have not been considered, was included. The effect of each pressure drop on the RED stack performance was identified and rationalized and guidelines for planning and/or optimization of RED stacks were derived. The design of new profiled membranes, with a chevron corrugation structure, was proposed using computational fluid dynamics (CFD) modeling. The performance of the suggested corrugation geometry was compared with the already existing ones, as well as with the use of conductive and non-conductive spacers. According to the estimations, use of chevron structures grants the highest net power density values, at the best compromise between the mass transfer coefficient and the pressure drop values. Finally, long-term experiments with natural waters were performed, during which fouling was experienced. For the first time, 2D fluorescence spectroscopy was used to monitor RED stack performance, with a dedicated focus on following fouling on ion-exchange membrane surfaces. To extract relevant information from fluorescence spectra, parallel factor analysis (PARAFAC) was performed. Moreover, the information obtained was then used to predict net power density, stack electric resistance and pressure drop by multivariate statistical models based on projection to latent structures (PLS) modeling. The use in such models of 2D fluorescence data, containing hidden, but extractable by PARAFAC, information about fouling on membrane surfaces, considerably improved the models fitting to the experimental data.

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

An analog model for global macro investing

This study proposes a systematic model that is able to fit the Global Macro Investing universe. The Analog Model tests the possibility of capturing the likelihood of an optimal investment allocation based on similarity across different periods in history. Instead of observing Macroeconomic data, the model uses financial markets’ variables to classify unknown short-term regimes. This methodology is particularly relevant considering that asset classes and investment strategies react differently to specific macro environment shifts.

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 spin-off of Sonae Capital

The purpose of this project is to study the spin-off of Sonae Capital, which took place in January 2008. Taking the form of a case study, this project is divided between the case narrative and a teaching note. I study the background and motivation of the transaction, along with its outcome. With the available information at the time of the case, I value Sonae Capital at the date of the spin-off and describe a possible trading strategy involving both the spun-off and the demerged companies. Finally, I conclude that the transaction was more beneficial for the parent company, Sonae SGPS, and that it did not follow the typical outperformance pattern observed in other spin-offs.

Tracking error of exchange-traded funds: Evidence from the UK

This paper is mainly concerned with the tracking accuracy of Exchange Traded Funds (ETFs) listed on the London Stock Exchange (LSE) but also evaluates their performance and pricing efficiency. The findings show that ETFs offer virtually the same return but exhibit higher volatility than their benchmark. It seems that the pricing efficiency, which should come from the creation and redemption process, does not fully hold as equity ETFs show consistent price premiums. The tracking error of the funds is generally small and is decreasing over time. The risk of the ETF, daily price volatility and the total expense ratio explain a large part of the tracking error. Trading volume, fund size, bid-ask spread and average price premium or discount did not have an impact on the tracking error. Finally, it is concluded that market volatility and the tracking error are positively correlated.

Cross sectional default probabilities in european corporate bonds

This study attempts to identify basis-trading opportunities in the European banking sector by comparing two different measures for the market’s assessment of risk: market-observed CDS spreads and model-implied Z-spreads. Using a sample of 10 banks, over a period of 3 years following the European banking crisis, it can be concluded that there were arbitrage opportunities in the sector, as evidenced by the derived negative bases.

Estudo dos efeitos do abuso de produtos de branqueamento no esmalte dentário

A estética dentária tem recebido bastante enfoque nos últimos anos, particularmente devido à importância a que a população atribui à aparência estética do sorriso. É, assim, desejado um sorriso o mais branco possível e que de preferência seja fácil de obter, eficaz, rápido, económico e que seja o menos invasivo possível. Com vista a satisfazer esta necessidade, surgiu no mercado uma grande diversidade de produtos Over the Counter (OTC). Os produtos OTC podem ser facilmente adquiridos por qualquer pessoa a um baixo custo. Contudo, a maioria destes produtos têm concentrações do agente ativo bastante superiores aos níveis considerados seguros pela Comissão Europeia (CE). Muitos autores têm demostrado preocupação em relação à segurança e consequentes efeitos no esmalte dentário devido ao possível uso abusivo destes produtos. Mais precisamente, a obsessão por dentes brancos pode constituir uma patologia, na qual os produtos de branqueamento dentário são constantemente aplicados pelo paciente, sem qualquer supervisão médica. Nos casos mais graves pode causar lesões na cavidade oral, induzindo efeitos adversos severos tais como sensibilidade dentária, redução da microdureza e aumento da rugosidade do dente. O objetivo deste estudo in vitro é avaliar se o grau de mineralização e o teor elementar do esmalte dentário são alterados aquando o branqueamento dentário com dois produtos de branqueamento OTC diferentes, excedendo as recomendações indicadas pelos fabricantes. De forma a realizar este estudo, foram usados dezassete dentes. Foram realizados dois protocolos: no primeiro protocolo foram aplicados dois produtos diferentes (Teeth Whitening Home Kit e White! – Bingo-UK) por um período de 39 dias. Para cada produto foram selecionadas seis espécimes aleatoriamente, tendo as condições experimentais sido idênticas. No segundo protocolo, cinco espécimes foram tratadas com o produto (WHITE! -Bingo-UK) por um período de 5 dias. Ambos produtos foram adquiridos em sites online. Entre cada aplicação todos os espécimes foram conservados em saliva humana. O conteúdo elementar de cada espécime, antes e após o branqueamento foi obtido com recurso à espetroscopia por fluorescência de raios X dispersiva em energia (EDXRF) e a banda do fosfato (PO43-) foi avaliada com espetroscopia Raman. Em relação ao primeiro protocolo, 7 dias após o branqueamento a desmineralização estudada foi significativa (p <0,01), sendo que após os 39 dias de tratamento o aumento do grau de desmineralização (GD) parece ser permanente. As amostras no segundo protocolo demostraram resultados semelhantes relativamente ao GD, mas em diferentes momentos.

Future lending income and security value

I test the Duffie, Gârleanu, and Pedersen hypothesis that security prices incorporate expected future securities lending income. To determine whether institutional investors anticipate gains from future lending of securities, I examine their trading behavior around loan-fee increases. The evidence suggests that institutions buy shares in response to an increase in lending fees, and that this could explain the premium associated with high- lending-fee stocks. Expected future lending income affects stock prices, although the effect seems to be attenuated by the negative information that arises from short selling.

Drilling deeper: Understanding trade in Angola

The present study analyzes Angola’s trading partners from 2005 to 2015 in order to understand the main drivers of Exports and Imports growth. Departing from a gravity model, foreign GDP growth and real exchange rate fluctuations were interpreted as demand and supply disturbances on Exports. While nominal and real exports both increase with demand expansions, they react differently to supply shocks. Imports are growing at the same rate as Angola’s economy while exchange rate fluctuations capture the wealth effect of Oil price in the economy.