Forecasting Of Market
Mostrando 1-12 de 34 artigos, teses e dissertações.
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1. APPLYING SINGULAR SPECTRUM ANALYSIS AND ARIMA-GARCH FOR FORECASTING EUR/USD EXCHANGE RATE
RESUMO Objetivo: O objetivo deste artigo foi modelar a série de minuto das taxas de câmbio do par EUR/USD por meio dos métodos singular spectrum analysis (SSA) e ARIMA-GARCH, e avaliar qual gera previsões melhores para um horizonte de cinco minutos. Originalidade/valor: Apesar de o SSA se mostrar uma técnica bem-sucedida em outros ramos da ciência, s
RAM, Rev. Adm. Mackenzie. Publicado em: 12/08/2019
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2. Corwin-Schultz Bid-ask Spread Estimator in the Brazilian Stock Market
This paper tests the validity of the Corwin-Schultz bid-ask spread estimator in the Brazilian stock market. The Corwin-Schultz estimator arises as an easy way to compute asymmetric information throughout daily high and low stock prices for estimating overnight and non-negative adjusted spreads. The sample consisted of Ibovespa firms from 1986 to 2014 and was
BAR, Braz. Adm. Rev.. Publicado em: 2016-03
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3. A Methodology to forecast air transportation demand with alternative econometric models
This thesis presents a methodology using a portfolio of time-series models, from conventional ARMA to a regime-changing framework. The objective is to develop an air transportation demand modeling to inspect potential structural breaks in the Brazilian market, due to solve underlying issues of new demand creation. Out-of-sample forecasting is used to generat
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 30/05/2012
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4. Desenvolvimento de um método para levantamento de tecnologias de materiais empregados no trem de força automotivo (powertrain) a partir de patentes / Devolopment of a patent based method for surveying materials technologies used in automotive powertrain
This research approaches the study from patents of technologies for materials used in power train of motor vehicles, to provide additional information in order to support decision making in this universe, especially in the selection of materials and their processing. The powertrain is currently the most important subsystem in a car, being appointed as chief
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 27/05/2012
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5. A systematic approach to construct credit risk forecast models
Due to the recent growth in the consumer credit market and the consequent increase in default indices, companies are seeking to improve their credit analysis by incorporating objective procedures. Multivariate techniques have been used as an alternative to construct quantitative models for credit forecast. These techniques are based on consumer profile data
Pesquisa Operacional. Publicado em: 2011-04
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6. Los modelos de adopción de tecnologías de la información desde el paradigma actitudinal
The diffusion of innovations is an important topic in the literature on consumer behaviour. In marketing, two perspectives characterize most of the work on this topic: the aggregate market perspective and the individual-level perspective. The analytical and empirical models for describing and forecasting the diffusion of an innovation have addressed the mark
Cadernos EBAPE.BR. Publicado em: 2011-03
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7. Previsão de demanda de autopeças com redes neurais
This paper presents a methodology for forecasting demand parts based on Artificial Neural Networks (ANN). To validate it, we performed a comparative study on a reference work in the literature, which is based on exponential smoothing and moving average methods. The products are grouped into 10 categories according to proximity, resulting on 72 monthly observ
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 20/08/2010
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8. Funds investing in stocks in Brazil: Performance and size make a difference? / Fundos de investimento em aÃÃes no Brasil: Performance e tamanho fazem diferenÃa?
This article aims to contribute to the mainstream in Asset Pricing Theory, proposing and testing empirically, with pricing exercises and in-sample forecasting, a multifactor linear approach, such that, it is possible to account for the main empirical evidences in a promising Brazilian financial market: stock mutual funds. Following the methodology developed
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 11/06/2010
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9. Utilizando o modelo de equilíbrio com divergências de opinião para prever crashes no mercado acionário brasileiro / Utilizando o modelo de equilíbrio com divergências de opinião para prever crashes no mercado acionário brasileiro
We test, through a series of regressions using brazillian capital market data, the differences of opinion model of Hong and Stein (1999) for forecasting skewness in the distribution of market returns. According to such model, due to short-sales constraints of some investors, the prices do not reflect the exact opinion of all participants. In particular, this
Publicado em: 2010
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10. Projeção de mercado de energia elétrica da classe industrial considerando consumidores especiais
O mercado das distribuidoras de energia elétrica é composto por consumidores cativos, especiais potencialmente livres e potencialmente livres. Neste trabalho, considera-se consumidores cativos aqueles com demanda menor que 500kW, especiais potencialmente livres aqueles com demanda igual ou superior a 500kW e menor que 3MW e potencialmente livres aqueles co
Publicado em: 2010
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11. ESTIMATION OF PETROLEUM FUTURE CONTRACTS USING THE KALMAN FILTER METHOD / ESTIMATIVA DE PREÇOS DE CONTRATOS FUTUROS SOBRE PETRÓLEO UTILIZANDO O MÉTODO DO FILTRO DE KALMAN
The Future Market is becoming increasingly important in the global scenario of Corporate Finance. The main interest in this segment of finance is the need of being protected against the volatility of financial markets. Accordingly, one of the most traded commodity is oil. Because of difficulty in determine the value of future contracts on oil barrel, many mo
Publicado em: 2009
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12. Proposta de um modelo de planejamento agregado da produção numa usina de açúcar e álcool vinculado à flutuação de preços em mercados à vista e no mercado futuro. / A model of aggregate production planning in a sugar mill and alcohol linked the decisions of prices in future markets and present markets.
The objective of study this dissertation is to develop a model of aggregate production planning to support the decisions of management and board level of sugar and alcohol plants in regard to varieties of cane harvested each week, purchasing cane of nonsugar, the type of transport (own or outsourced) to use each week, the total cane processed per week for ta
Publicado em: 2009