CDIO and the European Project Semester: a match for capstone projects?

The CDIO Initiative is an open innovative educational framework for engineering graduation degrees set in the context of Conceiving – Designing – Implementing – Operating real-world systems and products, which is embraced by a network of worldwide universities, the CDIO collaborators. A CDIO compliant engineering degree programme typically includes a capstone module on the final semester. Its purpose is to expose students to problems of a greater dimension and complexity than those faced throughout the degree programme as well as to put them in contact with the so-called real world, in opposition to the academic world. However, even in the CDIO context, there are barriers that separate engineering capstone students from the real world context of an engineering professional: (i) limited interaction with experts from diverse scientific areas; (ii) reduced cultural and scientific diversity within the teams; and (iii) lack of a project supportive framework to foster the complementary technical and non-technical skills required in an engineering professional. To address these shortcomings, we propose the adoption of the European Project Semester (EPS) framework, a one semester student centred international capstone programme offered by a group of European engineering schools (the EPS Providers) as part of their student exchange programme portfolio. The EPS package is organised around a central module – the EPS project – and a set of complementary supportive modules. Project proposals refer to open multidisciplinary real world problems and supervision becomes coaching. The students are organised in teams, grouping individuals from diverse academic backgrounds and nationalities, and each team is fully responsible for conducting its project. EPS complies with the CDIO directives on Design-Implement experiences and provides an integrated framework for undertaking capstone projects, which is focussed on multicultural and multidisciplinary teamwork, problem-solving, communication, creativity, leadership, entrepreneurship, ethical reasoning and global contextual analysis. As a result, we recommend the adoption of the EPS within CDIO capstone modules for the benefit of engineering students.

European Union emissions trading scheme impact on the Spanish electricity price during phase II and phase III implementation

The European Union Emissions Trading Scheme (EU ETS) is a cornerstone of the European Union's policy to combat climate change and its key tool for reducing industrial greenhouse gas emissions cost-effectively. The purpose of the present work is to evaluate the influence of CO2 opportunity cost on the Spanish wholesale electricity price. Our sample includes all Phase II of the EU ETS and the first year of Phase III implementation, from January 2008 to December 2013. A vector error correction model (VECM) is applied to estimate not only long-run equilibrium relations, but also short-run interactions between the electricity price and the fuel (natural gas and coal) and carbon prices. The four commodities prices are modeled as joint endogenous variables with air temperature and renewable energy as exogenous variables. We found a long-run relationship (cointegration) between electricity price, carbon price, and fuel prices. By estimating the dynamic pass-through of carbon price into electricity price for different periods of our sample, it is possible to observe the weakening of the link between carbon and electricity prices as a result from the collapse on CO2 prices, therefore compromising the efficacy of the system to reach proposed environmental goals. This conclusion is in line with the need to shape new policies within the framework of the EU ETS that prevent excessive low prices for carbon over extended periods of time.

A aplicação de redes neuronais na deteção da influência do High Frequency Trading na negociação de ações (caso português)

Dissertação apresentada como requisito parcial para obtenção do grau de Mestre em Estatística e Gestão da Informação

Do Brazilian scientific journals promote the adherence of Chagas disease researchers to internacional ethical principals?

The ethical aspects of the Brazilian publications about human Chagas disease (CD) developed between 1996 and 2010 and the policy adopted by Brazilian medical journals were analyzed. Articles were selected on the SciELO Brazil data basis, and the evaluation of ethical aspects was based on the normative contents about ethics in research involving human experimentation according to the Brazilian resolution of the National Health Council no. 196/1996. The editorial policies of the section "Instructions to authors" were analyzed. In the period of 1996-2012, 58.9% of articles involving human Chagas disease did not refer to the fulfillment of the ethical aspects concerning research with human beings. In 80% of the journals, the requirements and confirmation of the information about ethical aspects in the studies of human CD were not observed. Although a failure in this type of service is still observed, awareness has been raised in federal agencies, educational institutions/research and publishing groups to standardize the procedures and ethical requirements for the Brazilian journals, reinforcing the fulfillment of the ethical parameters, according to the resolution of NHC no. 196/1996.

Consulting to social entrepreneurship initiatives - using business skills to help solve social problems: The RUG initiative

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

The ethical dilemma of expatriates in emerging economies: A liminal perspective

Adjustment to emerging economies is benefited if Western expatriates recognise they are experiencing a liminal situation, which can lead to the instrumental utilisation of coping strategies as equivalent to rites of passage between distinct ethical frameworks. Given the characteristics ascribed to rites, the ethical dilemma resulting from the simultaneous demand to abide by local rules and to respect Western ethical principles is more easily solved. Consequently, effective and sustainable adjustment is favoured. Implications for organisations and individuals are discussed.

Corporate social responsibility levels and firm performance: Evidence from countries in crisis

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

The impact of high involvement human resources practices on resistance to change: The mediator effect of commitment to change and the influence of ethical leadership

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

Enhancing and implementing a pairs trading strategy

This paper designs a pairs trading model with the intent to identify existing profitable market opportunities to invest, i.e. traditionally strong correlated stocks that have diverged from its historical norm. It comprises a broad literature review on this strategy whose relevant findings (strategy improvements) are contemplated in the model. The authors combine the statistical results of the model with a backtesting analysis in order to provide guidance on the best investment opportunities.

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.

Credit default swap (CDS) prediction model & trading strategy

This project focuses on the study of different explanatory models for the behavior of CDS security, such as Fixed-Effect Model, GLS Random-Effect Model, Pooled OLS and Quantile Regression Model. After determining the best fitness model, trading strategies with long and short positions in CDS have been developed. Due to some specifications of CDS, I conclude that the quantile regression is the most efficient model to estimate the data. The P&L and Sharpe Ratio of the strategy are analyzed using a backtesting analogy, where I conclude that, mainly for non-financial companies, the model allows traders to take advantage of and profit from arbitrages.

Pair trading: Clustering based on principal component analysis

This study focuses on the implementation of several pair trading strategies across three emerging markets, with the objective of comparing the results obtained from the different strategies and assessing if pair trading benefits from a more volatile environment. The results show that, indeed, there are higher potential profits arising from emerging markets. However, the higher excess return will be partially offset by higher transaction costs, which will be a determinant factor to the profitability of pair trading strategies. Also, a new clustering approach based on the Principal Component Analysis was tested as an alternative to the more standard clustering by Industry Groups. The new clustering approach delivers promising results, consistently reducing volatility to a greater extent than the Industry Group approach, with no significant harm to the excess returns.

Trading the differences in expectations between the CDS and bond markets

This paper uses the framework developed by Vrugt (2010) to extract the recovery rate and term-structure of risk-neutral default probabilities implied in the cross-section of Portuguese sovereign bonds outstanding between March and August 2011. During this period the expectations on the recovery rate remain firmly anchored around 50 percent while the instantaneous default probability increases steadily from 6 to above 30 percent. These parameters are then used to calculate the fair-value of a 5-year and 10- year CDS contract. A credit-risk-neutral strategy is developed from the difference between the market price of a CDS of the same tenors and the fair-value calculated, yielding a sharpe ratio of 3.2

(Un)ethical leadership, organizational identification and sensemaking: the BES case and its impact on employees

This paper provides an ongoing analysis to one of the biggest ethical and financial scandals in Portugal – Banco Espírito Santo (BES). BES was considered one of the three best banks but it went bankrupted and its employees were transferred to a new entity – Novo Banco. This study was conducted in order to provide an understanding of the employees’ side, which has been forgotten so far. An ethical scandal (sensebreaking) creates ambiguity and uncertainty which triggers new sensemaking processes in order to understand and derive meaning from the new reality. The methodology followed was semi-structured interviews to employees both from the branches and the central services. We found evidence that in organizations with strong identification, unethical behavior has a significant impact on followers’ – the new process of sensemaking is particularly important in this situation because employees suffer more from the disruption of their reality.