Stock Market Forecasting
Mostrando 1-10 de 10 artigos, teses e dissertações.
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1. 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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2. 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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3. 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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4. Candlesticks : um estudo sobre a sua aplicação no mercado de ações brasileiro
Historicamente, diversas abordagens vêm sendo desenvolvidas para a compreensão do comportamento do mercado de capitais, especialmente na tentativa de prever a trajetória futura de seus papéis. O Gráfico de Velas Japonesas (Candlesticks), desenvolvida no século 18, é uma delas. Um estudo sobre a efetividade dessa técnica para o mercado de capitais nor
Publicado em: 2010
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5. 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
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6. MEAN AND REALIZED VOLATILITY SMOOTH TRANSITION MODELS APPLIED TO RETURN FORECASTING AND AUTOMATIC TRADING / MODELOS DE TRANSIÇÃO SUAVE PARA MÉDIA E VOLATILIDADE REALIZADA APLICADOS À PREVISÃO DE RETORNOS E NEGOCIAÇÃO AUTOMÁTICA
The main goal of this dissertation is to compare the performance of linear and nonlinear models to forecast 23 assets of the American Stocks Market. The Heteroscedastic STAR-Tree Model is proposed using the STAR- Tree (Smooth Transition AutoRegression Tree) methodology applied to heteroscedastic time series. As assets returns and realized volatility intraday
Publicado em: 2008
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7. PREVISÃO DE ESTOQUE DE PEÇAS ELETRÔNICAS SOBRESSALENTES / STOCK FORECASTING FOR ELETRONICS SPARE PARTS
There is a consensus that time series model is not appropriate in forecasting replacement parts. However most of market used forecasting tools are time series models. This work presents Poisson distribution as an alternative to forecast replacement parts on electronic equipments. From basic stock management notions, using time series and trust concepts of re
Publicado em: 2007
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8. O uso de redes neurais artificiais na previsÃo de tendÃncias no mercado de aÃÃes
Stock markets are considered a high return investment option, dominated by uncertainty and volatility. The forecast of the movement of that market is a difficult task, because is influenced by many economical, political and even psychological factors. The traditional statistical methods and the known analysis (technical and fundamental) are not capable to id
Publicado em: 2006
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9. THE NON PERSISTENCE AND VARIABILITY OF GROWTH RATES OF COMPANIES LISTED AT BOVESPA IN THE PERIOD OF 1994-2002 / A NÃO-PERSISTÊNCIA E A VARIABILIDADE DAS TAXAS DE CRESCIMENTO DE EMPRESAS DE CAPITAL ABERTO LISTADAS NA BOVESPA NO PERÍODO 1994-2002
The recent economy internationalization, the market integration process and the perspective of obtaining differentiated conditions through scale led to production restructuring and fomented a higher economic concentration by means of continuous mergers and acquisitions of companies. This scenario inserts the study of the variability and persistence of growth
Publicado em: 2004
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10. ESTUDO COMPARATIVO DA CAPACIDADE PREDITIVA DE MODELOS DE ESTIMAÇÃO DE VOLATILIDADE / A COMPARATIVE STUDY OF THE FORECAST CAPABILITY OF VOLATILITY MODELS
The risk concept is defined as the distribution of the unexpected results from variations in the values of the variables that describe the market. However, the variable risk is not observable and its measurement depends on which model is used in its evaluation. Thus, the application of different models could result in significant different risk forecasts.The
Publicado em: 2001