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Análise dinâmica de mercados financeiros
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Advisor(s)
Abstract(s)
Na sociedade actual, é cada vez mais difícil desassociar o ambiente financeiro
do ambiente social, tendo o primeiro influência directa ou indirecta em praticamente
todos os aspectos da sociedade.
A esta influência está associada a vasta quantidade de informação e serviços
financeiros que possibilitam uma melhor compreensão do ambiente socioeconómico
actual, permitindo também o estudo das evoluções e das dinâmicas dos mercados
financeiros.
Este trabalho refere-se ao estudo e comparação de algumas ferramentas
disponíveis para a análise dinâmica e tentativa de previsão de alguns índices de bolsa
escolhidos. Tais métodos a estudar são modelos clássicos como o Autoregressivo,
Média Móvel e o Modelo Misto apresentado por Box e Jenkins.
São também propostos dois métodos que tentam distanciar-se dos métodos
tradicionais por apenas considerarem para a sua previsão os momentos semelhantes
ao momento actual que se tenta prever, ao invés de considerar todo o espectro dos
dados disponíveis, tal como os métodos clássicos referidos anteriormente.
In today’s society, it’s becoming more difficult to disassociate the financial environment from the social environment, having the former direct or indirect influence in almost all aspects of society. It’s associated to this influence the vast quantity of information and financial services that allow a better understanding of today’s socioeconomic environment, also allowing the possibility to study financial market’s evolution and dynamics. This thesis refers to the study and comparison of some of the tools avaliable for a dynamic analysis and attempts to forecast some chosen stock market indexes. Such tools to be studied are classical models such as the Autoregressive, Moving Average and the Mixed Model proposed by Box & Jenkins. Two models are also proposed that try to distance themselves from the classical models by just considering for the forecast the moments that are similar to the current moment which they are trying to forecast, instead of considering the full spectrum of the available data, such as the classical models previously referered.
In today’s society, it’s becoming more difficult to disassociate the financial environment from the social environment, having the former direct or indirect influence in almost all aspects of society. It’s associated to this influence the vast quantity of information and financial services that allow a better understanding of today’s socioeconomic environment, also allowing the possibility to study financial market’s evolution and dynamics. This thesis refers to the study and comparison of some of the tools avaliable for a dynamic analysis and attempts to forecast some chosen stock market indexes. Such tools to be studied are classical models such as the Autoregressive, Moving Average and the Mixed Model proposed by Box & Jenkins. Two models are also proposed that try to distance themselves from the classical models by just considering for the forecast the moments that are similar to the current moment which they are trying to forecast, instead of considering the full spectrum of the available data, such as the classical models previously referered.
Description
Keywords
Análise dinâmica Séries temporais Média móvel Autoregressivo Dynamic analysis Time series Moving average Autoregressive
Pedagogical Context
Citation
Publisher
Instituto Politécnico do Porto. Instituto Superior de Engenharia do Porto