Previsão do índice bovespa por meio de redes neurais artificiais: uma análise comparada aos métodos tradicionais de séries de tempo

Forecast is the basis for making strategic, tactical and operational business decisions. In financial economics, several techniques have been used to predict the behavior of assets over the past decades.Thus, there are several methods to assist in the task of time series forecasting, however, conventional modeling techniques such as statistical models and those based on theoretical mathematical models have produced unsatisfactory predictions, increasing the number of studies in more advanced methods of prediction. Among these, the Artificial Neural Networks (ANN) are a relatively new and promising method for predicting business that shows a technique that has caused much interest in the financial environment and has been used successfully in a wide variety of financial modeling systems applications, in many cases proving its superiority over the statistical models ARIMA-GARCH. In this context, this study aimed to examine whether the ANNs are a more appropriate method for predicting the behavior of Indices in Capital Markets than the traditional methods of time series analysis. For this purpose we developed an quantitative study, from financial economic indices, and developed two models of RNA-type feedfoward supervised learning, whose structures consisted of 20 data in the input layer, 90 neurons in one hidden layer and one given as the output layer (Ibovespa). These models used backpropagation, an input activation function based on the tangent sigmoid and a linear output function. Since the aim of analyzing the adherence of the Method of Artificial Neural Networks to carry out predictions of the Ibovespa, we chose to perform this analysis by comparing results between this and Time Series Predictive Model GARCH, developing a GARCH model (1.1).Once applied both methods (ANN and GARCH) we conducted the results' analysis by comparing the results of the forecast with the historical data and by studying the forecast errors by the MSE, RMSE, MAE, Standard Deviation, the Theil's U and forecasting encompassing tests. It was found that the models developed by means of ANNs had lower MSE, RMSE and MAE than the GARCH (1,1) model and Theil U test indicated that the three models have smaller errors than those of a naïve forecast. Although the ANN based on returns have lower precision indicator values than those of ANN based on prices, the forecast encompassing test rejected the hypothesis that this model is better than that, indicating that the ANN models have a similar level of accuracy . It was concluded that for the data series studied the ANN models show a more appropriate Ibovespa forecasting than the traditional models of time series, represented by the GARCH model

Avaliação da eficiência dos programas de pós-graduação acadêmicos em Administração, Contabilidade e Turismo

The Triennial Evaluation of Coordination for the Improvement of Higher Education Personnel (CAPES) is made according to several indicators, divided into several issues and items, and their weights. In these it is evident the importance of scientific periodicals. This study aims to evaluate the relative efficiency of post-graduate students in Business Administration, Accounting and tourism evaluated by CAPES in Brazil. The methodology used the data envelopment analysis - DEA (Data Envelopment Analysis). The data were obtained from the site and organized by the CAPES Qualis score. The analysis was performed by the DEA variable returns to scale, product-oriented (BCC-O), with data from the three-year periods 2004-2006 and 2007-2009. Among the main results are the average increase significantly the relative efficiency of the programs in the period 2007-2009 compared to 2004-2006 period, the highest average efficiency of programs linked to public institutions in relation to private, doctoral programs with the present average efficiency sharply higher than those only with masters, and senior programs in general were more efficient. There is also moderate and significant correlation between the efficiency scores and concepts CAPES. The Malmquist index analysis showed that more than 85% of programs had increased productivity. It is noteworthy that the main effect that influences the increase of the Malmquist index is the displacement of the border (Frontier-shift)

Análise da sobre-reação e sub-reação nos ativos de primeira e segunda linha do mercado acionário brasileiro

The Behavioral Finance develop as it is perceived anomalies in these markets efficient. This fields of study can be grouped into three major groups: heuristic bias, tying the shape and inefficient markets. The present study focuses on issues concerning the heuristics of representativeness and anchoring. This study aimed to identify the then under-reaction and over-reaction, as well as the existence of symmetry in the active first and second line of the Brazilian stock market. For this, it will be use the Fuzzy Logic and the indicators that classify groups studied from the Discriminant Analysis. The highest present, indicator in the period studied, was the Liabilities / Equity, demonstrating the importance of the moment to discriminate the assets to be considered "winners" and "losers." Note that in the MLCX biases over-reaction is concentrated in the period of financial crisis, and in the remaining periods of statistically significant biases, are obtained by sub-reactions. The latter would be in times of moderate levels of uncertainty. In the Small Caps the behavioral responses in 2005 and 2007 occur in reverse to those observed in the Mid-Large Cap. Now in times of crisis would have a marked conservatism while near the end of trading on the Bovespa speaker, accompanied by an increase of negotiations, there is an overreaction by investors. The other heuristics in SMLL occurred at the end of the period studied, this being a under-reaction and the other a over-reaction and the second occurring in a period of financial-economic more positive than the first. As regards the under / over-reactivity in both types, there is detected a predominance of either, which probably be different in the context in MLCX without crisis. For the period in which such phenomena occur in a statistically significant to note that, in most cases, such phenomena occur during the periods for MLCX while in SMLL not only biases are less present as there is no concentration of these at any time . Given the above, it is believed that while detecting the presence of bias behavior at certain times, these do not tend to appear to a specific type or heuristics and while there were some indications of a seasonal pattern in Mid- Large Caps, the same behavior does not seem to be repeated in Small Caps. The tests would then suggest that momentary failures in the Efficient Market Hypothesis when tested in semistrong form as stated by Behavioral Finance. This result confirms the theory by stating that not only rationality, but also human irrationality, is limited because it would act rationally in many circumstances

Utilização de um ambiente virtual de aprendizagem: um estudo na perspectiva da prática docente

Advances related to information technology are visible and inherent to the management of contemporary organizations, regardless of industrial action. Synchronized with this dynamic, educational institutions are incorporating technological tools that assist its management and academic support to teachers in teaching and interaction with the students. Given that technological innovations are not always taken homogeneously and with the same degree of coverage, remain current and relevant studies on how these technologies are being used in academia. The objective of this research is to identify the usage profile of the functionality of a virtual learning environment related to teaching (undergraduate or postgraduate), demographic variables (age and gender) and institutional (time of admission and academic center of origin.) The methodology applied to the study is descriptive and quantitative. The research is characterized as census, covering all 2152 teachers of undergraduate and graduate students of the Federal University of Rio Grande do Norte, Brazil, who accessed the virtual classes of the Integrated Management of Academic Activities. The study findings revealed that there is a statistically significant difference regarding the use of these tools to teachers who work with undergraduate (49.3%) compared to graduate (6.6%). Regarding gender, women (40.1%) use the system more than men (38.5%). It was also observed that the younger teachers, aged 37 years, are the most active users (42.5%) of the Virtual Class with respect to their elders. For teachers with up to three years time of admission to the UFRN, the pattern of use is more advanced than those with more seniority, as well as the faculty of the Center for Science and Technology are the least likely to use the tools available in relation to other academic centers. It is hoped that with this study managers can direct actions to improve and expand the use of this environment by teachers

Análise experimental do efeito da diversificação em carteiras de ações: a relação entre risco e quantidade de ativos sob a ótica da estratégia ingênua

The objective is to analyze the relationship between risk and number of stocks of a portfolio for an individual investor when stocks are chosen by "naive strategy". For this, we carried out an experiment in which individuals select actions to reproduce this relationship. 126 participants were informed that the risk of first choice would be an asset average of all standard deviations of the portfolios consist of a single asset, and the same procedure should be used for portfolios composed of two, three and so on, up to 30 actions . They selected the assets they want in their portfolios without the support of a financial analysis. For comparison we also tested a hypothetical simulation of 126 investors who selected shares the same universe, through a random number generator. Thus, each real participant is compensated for random hypothetical investor facing the same opportunity. Patterns were observed in the portfolios of individual participants, characterizing the curves for the components of the samples. Because these groupings are somewhat arbitrary, it was used a more objective measure of behavior: a simple linear regression for each participant, in order to predict the variance of the portfolio depending on the number of assets. In addition, we conducted a pooled regression on all observations by analyzing cross-section. The result of pattern occurs on average but not for most individuals, many of which effectively "de-diversify" when adding seemingly random bonds. Furthermore, the results are slightly worse using a random number generator. This finding challenges the belief that only a small number of titles is necessary for diversification and shows that there is only applicable to a large sample. The implications are important since many individual investors holding few stocks in their portfolios

Análise de volatilidade, integração de preços e previsibilidade para o mercado brasileiro de camarão

The present paper has the purpose of investigate the dynamics of the volatility structure in the shrimp prices in the Brazilian fish market. Therefore, a description of the initial aspects of the shrimp price series was made. From this information, statistics tests were made and selected univariate models to be price predictors. Then, it was verified the existence of relationship of long-term equilibrium between the Brazilian and American imported shrimp and if, confirmed the relationship, whether or not there is a causal link between these assets, considering that the two countries had presented trade relations over the years. It is presented as an exploratory research of applied nature with quantitative approach. The database was collected through direct contact with the Companhia de Entrepostos e Armazéns Gerais de São Paulo (CEAGESP) and on the official website of American import, National Marine Fisheries Service - National Oceanic and Atmospheric Administration (NMFS- NOAA). The results showed that the great variability in the active price is directly related with the gain and loss of the market agents. The price series presents a strong seasonal and biannual effect. The average structure of price of shrimp in the last 12 years was R$ 11.58 and external factors besides the production and marketing (U.S. antidumping, floods and pathologies) strongly affected the prices. Among the tested models for predicting prices of shrimp, four were selected, which through the prediction methodologies of one step forward of horizon 12, proved to be statistically more robust. It was found that there is weak evidence of long-term equilibrium between the Brazilian and American shrimp, where equivalently, was not found a causal link between them. We concluded that the dynamic pricing of commodity shrimp is strongly influenced by external productive factors and that these phenomena cause seasonal effects in the prices. There is no relationship of long-term stability between the Brazilian and American shrimp prices, but it is known that Brazil imports USA production inputs, which somehow shows some dependence productive. To the market agents, the risk of interferences of the external prices cointegrated to Brazilian is practically inexistent. Through statistical modeling is possible to minimize the risk and uncertainty embedded in the fish market, thus, the sales and marketing strategies for the Brazilian shrimp can be consolidated and widespread

Avaliação de projetos sociais: análise da metodologia utilizada pela Petrobrás

On the aggravation of social problems and the shortage of resources, the improvement of evaluation methods and control of its application, requiring more efficiency, efficacy, effectiveness and participation in its management, has been growing. As a result, emerges the importance of studying and developing such methodologies. The overall goal of this dissertation is to know what are the difficults to incorporate the point of view of executers and beneficiaries in evaluation process. To do so, has been done a research characterized as qualitative, with a field strategy using the case study of two social projects called Petrobras Child Program, situated in the metropolitan region of Natal, and Content Analysis technique for analyze the data. The conclusions of this work can assist in improving the process of projects evaluation financed by Petrobras, contributing with its social role, besides the possibility of encouraging a greater participation of other society actors, such as beneficiaries, in the evaluation process

Processo de formulação estratégica sob a perspectiva dos decisores da CAERN

Os estudos sobre estratégia têm se difundido há muitos anos e seu processo de formulação também está inserido no cotidiano dos gestores. O objetivo do presente trabalho é constatar se há relação entre o pensamento, formulação e mudança estratégica e o nível acadêmico, hierárquico e tempo no cargo dos decisores da CAERN. A abordagem teórica é realizada com os seguintes pontos: estratégia, Decisão e liderança organizacional e o processo de formação da estratégia (Pensamento estratégico; Formulação da estratégia; Mudança estratégica). O estudo é de caráter exploratório descritivo. Para a tabulação e análise dos dados, utilizou-se um programa estatístico em que foi adotada a técnica de análise fatorial, e verificou-se a confiabilidade da escala de Likert utilizada no questionário através do teste Alfa de Cronbach e análise de Spearman a fim de constatar a correlação das variáveis e proporcionar uma abordagem quantitativa à pesquisa. Todos os respondentes da pesquisa são tomadores de decisão cujos níveis hierárquicos que obtiveram representatividade na amostra foram coordenadores, gerentes e chefes de seção. A partir das análises dos resultados do estudo, constatou-se que, das hipóteses levantadas, apenas uma se mostrou coerente com a realidade dos profissionais responsáveis pela estratégia organizacional da empresa: Há correlação entre a formulação estratégica e o nível acadêmico dos decisores (no constructo de formulação deliberada). Notouse também que o nível de formação acadêmica (nível superior) é importante e influencia diretamente no processo da formulação estratégica. Conclui-se que na organização em estudo o conhecimento dos gestores interfere na formulação estratégica

Tangibilidade, classe de ativos e estrutura de capital das empresas listadas na BM&FBOVESPA

This study aims to investigate the influence of the asset class and the breakdown of tangibility as determinant factors of the capital structure of companies listed on the BM & FBOVESPA in the period of 2008-2012. Two current assets classes were composed and once they were grouped by liquidity, they were also analyzed by the financial institutions for credit granting: current resources (Cash, Bank and Financial Applications) and operations with duplicates (Stocks and Receivables). The breakdown of the tangible assets was made based on its main components provided as warrantees for loans like Machinery & Equipment and Land & Buildings. For an analysis extension, three metrics for leverage (accounting, financial and market) were applied and the sample was divided into economic sectors, adopted by BM&FBOVESPA. The data model in dynamic panel estimated by a systemic GMM of two levels was used in this study due its strength to problems of endogenous relationship as well as the omitted variables bias. The found results suggest that current resources are determinants of the capital structure possibly because they re characterized as proxies for financial solvency, being its relationship with debt positive. The sectorial analysis confirmed the results for current resources. The tangibility of assets has inverse proportional relationship with the leverage. As it is disintegrated in its main components, the significant and negative influence of machinery & equipment was more marked in the Industrial Goods sector. This result shows that, on average, the most specific assets from operating activities of a company compete for a less use of third party resources. As complementary results, it was observed that the leverage has persistence, which is linked with the static trade-off theory. Specifically for financial leverage, it was observed that the persistence is relevant when it is controlled for the lagged current assets classes variables. The proxy variable for growth opportunities, measured by the Market -to -Book, has the sign of its contradictory coefficient. The company size has a positive relationship with debt, in favor of static trade-off theory. Profitability is the most consistent variable in all the performed estimations, showing strong negative and significant relationship with leverage, as the pecking order theory predicts

Povoações, freguesias e vilas na Paraíba Colonial: Pombal e Sousa, 1697-1800

The towns presently named Pombal and Sousa, located in the hinterland of the State of Paraíba, Brazil, still keep vestiges of the colonization process they went through along the 18th and 19th centuries, when they both emerged as settlement nuclei in the extreme West of the then captaincy of Paraíba and attained the status of freguesia and vila in a later period. This research aims to comprehend the process of urban formation and development of the colonial urban nuclei of Pombal and Sousa as they became povoados (hamlets), freguesias (parishes) and vilas (small urban communities with a local government), according to territorial expansion policies implemented by the Portuguese government from 1697 to 1800. The choice of the two urban settlements for this survey lies in the fact that they were part of the great conquest and colonization program undertaken by the Portuguese Crown. Another aspect that was considered was the fact that those towns are the oldest urban nuclei of Paraíba s hinterland. They came into being as early as in the times of the colony, thus producing a favorable environment to the study of the changes that occurred in the captaincy s hinterland scenery resulting from the process of formation and development of the colonial urban space. Three fundamental categories of analysis were defined since they have a direct bearing upon the urban configuration of the two colonization nuclei: povoado, freguesia and vila. The three of them are related to civil and ecclesiastic jurisdictions. Field, documentation and bibliography surveys were undertaken in order to develop the study. They allowed for the finding of vestiges of the old, colonial urban structures and for the development of theoretical analysis based on present-day studies of issues relating to the colonial urban history. The study purposes were, therefore, to try to understand how the old urban nuclei of Pombal and Sousa fit in the territorial expansion policies undertaken by the Portuguese government; to relate the process of urban formation and development of such nuclei with the categories of analysis povoação-freguesia-vila by discussing the relations and influences they exert over one another and their territory, as well as to unveil, as much as possible, the configuration the urban spaces that were shaped along the 18th century

Muitas histórias, uma imagem: a percepção sócio-ambiental de alunos residentes da Escola Agrícola de Jundiaí

Tendo como base os conceitos de espaço, lugar, ambiente e imagem, sob as vertentes da Arquitetura e Urbanismo, Geografia e Psicologia Ambiental, esta pesquisa teve como objetivo averiguar a percepção de estudantes da Escola Agrícola de Jundiaí (EAJ UFRN) a fim de identificar aspectos das interrelações pessoa-ambiente que diferenciam tal escola de outras instituições. A coleta de dados utilizou multimétodos e investigou um grupo de alunos residentes na Escola que cursavam o ensino médio e técnico em agropecuária em 2006, analisando seus discursos, comportamentos e atitudes de modo a identificar os principais elementos da imagem sócio-ambiental da EAJ. Os resultados apontaram locais, práticas sociais e símbolos representativos da instituição, indicando espaços (construídos e naturais) adequados/inadequados às necessidades/expectativas dos estudantes incluindo a ampliação da interdisciplinaridade no conjunto de suas atividades. Além disso, a fim de incrementar a análise sócio-ambiental em instituições que promovem experiências exitosas, recomenda-se que os aspectos cotidiano e tempo sejam mais profundamente investigados em estudos futuros na área

Modos projetuais de simulação: uso de ferramentas de simulação térmica no processo projetual de arquitetura

This thesis aims to describe and demonstrate the developed concept to facilitate the use of thermal simulation tools during the building design process. Despite the impact of architectural elements on the performance of buildings, some influential decisions are frequently based solely on qualitative information. Even though such design support is adequate for most decisions, the designer will eventually have doubts concerning the performance of some design decisions. These situations will require some kind of additional knowledge to be properly approached. The concept of designerly ways of simulating focuses on the formulation and solution of design dilemmas, which are doubts about the design that cannot be fully understood nor solved without using quantitative information. The concept intends to combine the power of analysis from computer simulation tools with the capacity of synthesis from architects. Three types of simulation tools are considered: solar analysis, thermal/energy simulation and CFD. Design dilemmas are formulated and framed according to the architect s reflection process about performance aspects. Throughout the thesis, the problem is investigated in three fields: professional, technical and theoretical fields. This approach on distinct parts of the problem aimed to i) characterize different professional categories with regards to their design practice and use of tools, ii) investigate preceding researchers on the use of simulation tools and iii) draw analogies between the proposed concept, and some concepts developed or described in previous works about design theory. The proposed concept was tested in eight design dilemmas extracted from three case studies in the Netherlands. The three investigated processes are houses designed by Dutch architectural firms. Relevant information and criteria from each case study were obtained through interviews and conversations with the involved architects. The practical application, despite its success in the research context, allowed the identification of some applicability limitations of the concept, concerning the architects need to have technical knowledge and the actual evolution stage of simulation tools

"O que é que há? O que é que está se passando" nessas cabeças? : um estudo sobre a concepção de projetos recentes da arquitetura residencial unifamiliar em Natal

L étude se fonde sur la recherche du processus inhérent à la conception du projet par le biais de l approche architecturologique proposée par Philippe Boudon et al (2000) ; un modèle théorique qui sert de fondement à la construction d une connaissance de l architecture au moyen d une étude de la nature des opérations mentales de chaque architecte lorsqu il organise son travail de conception. La modélisation de l architecturologie concentre son étude sur le travail qui a lieu avant même la confection matérielle du projet (représentation graphique finale). De cette façon, douze projets furent analysés d architecture résidencielle unifamiliale; conçus récemment par six architectes « potiguares » pour Natal et sa région périphérique. Les résultats mettent en évidence un ensemble de modèles substrats (comme point de départ) et téléologiques (comme point d arrivée) adoptés par les auteurs au cours de la conception de leurs projets. Ces modèles, de façon générale, sont liés aux pertinences socio-culturelles (conventions, formes traditionnelles ou coutumes) du contexte pour lesquels ils sont conçus (lotissements privés de co-propriété des classes moyennes et moyennes-supérieures) et en même temps, ils sont le fruit de croyances, d idéologies et d expériences antérieures propres à l espace de la conception de chaque architecte

Análise bioclimática do bairro do Renascença II São Luis-MA: realidade e perspectiva do conforto térmico em espaços externos

The present research concerns about outdoor s thermal comfort conditions in hot-humid climate cities, understanding that life quality is a result of the urban object s type built for the human being in an environment with specific climate and morphological characteristics. It is presented as object of study the correlation between the neighborhood Renascença II s microclimate in São Luis /MA-Brazil, hot-humid climate city, and its urban morphological changes. As well as the thermal comfort s satisfaction level of its outdoor users. The research has as general goal to diagnosis the way these transformations caused by the urbanization influence the Renascença II s microclimate, identifying critical spots of the studied area, in order to contribute with land use recommendations based on bioclimatic architecture concepts and supply bases to urban design decisions adequate to the São Luis climate. It is presented as theoretical bases the urban climate, its concepts and elements. After that, the thermal comfort conditioners and its prediction models of thermal comfort sensation in outdoor are presented. The predictive models are presented along with bioclimatic assessment methods. Finally the use of bioclimatic assessment as an effective tool to identify places that need changes or preservation in order to seek environment quality. The applied methodology was based on the studies of Katzschner (1997), complemented by Oliveira s (1988) and Bustos Romero s (2001) studies that suggest an analysis and evaluation of maps of topography, buildings floors, land use, green areas and land covering, in order to overlap their characteristics and identify climate variable s measurements points; then a quantitative analysis of the climate variables (air temperature and humidity, wind speed and direction) of the chosen points takes place. It was perceived that Renaissance II has no permanence areas as squares or parks, its outdoor has little vegetation and presets high land impermeability and built density levels. The majority of the people interviewed said that was comfortable in a range of air temperature between 27,28ºC and 30,71ºC. The elaboration of a neighborhood master plan is important, which defines strategies for improvement of the life quality of its inhabitants

Yes, nós temos arquitetura moderna! Reconstituição e análise da arquitetura residencial moderna em Natal das décadas de 50 e 60

Brazilian architecture was recognized because of the consecration of the icons of the Carioca and Paulista schools which are represented nationally and internationally by names like Niemeyer, Lucio Costa and Vilanova Artigas, among others. Because of this, classic studies dedicated to the Brazilian case look to present the Southeastern region with the title of father of modern Brazil, at the cost of subjugating various other modern movements and peripheral sayings, whether their values are known or forgotten. On the other hand, there has been an effort, in the sense of registering and analyzing these regional productions of modern Brazilian architecture, an assignment that DOCOMOMO Brasil participates firmly through initiatives like the creation of a Library to aid in the documentation and registration of modernity in Brazil. Inside this context of insertions of the National-Modern scheme, this work has as its objective to present modern potiguar (northern Brazil) architecture through its contemporary residential examples, investigating specifically its constructive, formal aspects, that together that together demonstrate one more architectural emphasis of modern Brazilian architecture: the potiguar. This way, by contributing to the work of the register and the documentation of the Modern Movement and attributing to the modern architecture of Natal it s real worth, we can say: Yes, we have modern architecture