Results 171 to 180 of about 2,960 (201)

Mean Reversion of the Ibovespa Price-Earnings Ratios

Latin American Business Review, 2020
This paper presents a method for constructing price-earnings ratios (P/Es) for the Brazilian stock market.
Daniel Penido de Lima Amorim, Marcos Antonio de Camargos, Aureliano Angel Bressan   +2 more
exaly   +2 more sources

Long-Term Correlations and Cross-Correlations in IBovespa and Constituent Companies

Physica A: Statistical Mechanics and Its Applications, 2018
Abstract We study auto-correlations and cross-correlations of IBovespa index and its constituent companies. We use Detrended Fluctuation Analysis (DFA) to quantify auto-correlations and Detrended Cross-Correlation Analysis (DCCA) to quantify cross-correlations in absolute returns of daily closing prices of IBovespa and the individual companies.
Borko Stošić, Jader S Jale, Leonardo H S Fernandes   +2 more
exaly   +2 more sources

Extração da Volatilidade do Ibovespa [PDF]

, 2001
This paper estimates the conditional volatility of the main Brazilian stock market index (Ibovespa), using traditional models of the GARCH family and models of stochastic volatility (SV). Most model selection and performance criteria suggest that both aproaches capture well Ibovespa's volatility, with a slight advantage of the EGARCH(1,1) model ...
Souza-Sobrinho, Nelson
core   +3 more sources

MULTIFRACTAL DETRENDED FLUCTUATIONS ANALYSIS FOR IBOVESPA ASSETS

Fractals, 2021
The Efficient Market Hypothesis (EMH) can be considered the central pillar of support of the Modern Economic-Financial Theory. However, in the last few years, the EMH has been strongly contraried due to empirical evidence related to long-memory, fractal dimension and fat-tailed that were critical factors in formulating a theory opposed to EMH called ...
FERNANDO HENRIQUE ANTUNES DE ARAUJO, LEONARDO HENRIQUE SILVA FERNANDES   +1 more
openaire   +1 more source

Avaliação de Calls Realizada por Analistas de Mercado Supera o Ibovespa em Períodos de Volatilidade? / Calls Evaluation By Market Analysts Overcome The IBOVESPA in Periods Of Volatility? [PDF]

Brazilian Journal of Development, 2020
As sugestões dos analistas passa por inúmeras questões sobre risco e retorno, e benefícios da diversificação de carteiras. O objetivo é verificar se as recomendações dos analistas de mercado referente a compra de ativos, Carteira Valor, tem maior ...
George André Willrich Sales
exaly   +2 more sources

Influência do índice Dow Jones industrial average sobreo índice Ibovespa [PDF]

Horizontes Empresariales, 2016
This paper aims to analyze the linear correlation coefficient of Pearson analyze volatility through the Simple Linear Regression and the OLS method, the two indices of financial markets: Dow Jones and Bovespa.
Marco Sanjuán, Profa. Dra. Isabel, Knebel Baggio, Prof. Dr. Daniel, Brondani, Esp. Leandro Antônio, Ferruz Agudo, Prof. Dr. Luis   +3 more
exaly   +2 more sources

Forecasting IBOVESPA Index with Fuzzy Logic

SSRN Electronic Journal, 2006
Much research has been done aiming the forecasting of stock market index values. However, very few researches focus on the predictability of the direction of stock market movements. This paper fills this gap through the estimation of a model, using fuzzy logic to forecast the direction of the movements of the Sao Paulo Stock Exchange index (IBOVESPA ...
Cesar Duarte Souto-Maior, Fernando D.R. Murcia, Jose Alonso Borba, Newton C.A. da Costa   +3 more
openaire   +1 more source

Forecasting the IBOVESPA using NARX networks and random walk model

VII Brazilian Symposium on Neural Networks, 2002. SBRN 2002. Proceedings., 2003
The objective of this work was to apply an important class of nonlinear systems for discrete time, called NARX networks, to carry through accurate forecasts of the daily maximum price series in the IBOVESPA, since it depends on random, nonlinear and multivariate factors, making it difficult to forecast using the conventional techniques.
Eleonora Ma. Jesus Oliveira, Teresa Bernarda Ludermir   +1 more
openaire   +2 more sources

Desempenho e diversidade de gênero em conselhos de empresas participantes do ISE e IBOVESPA

Revista Eniac Pesquisa
O objetivo do presente estudo é avaliar se há diferenças estatisticamente significativas para as variáveis de risco e retorno sobre o patrimônio líquido (ROE) das empresas listadas no Índice de Sustentabilidade ISE da B3 em comparação às empresas ...
da Silva, Fabiana Lopes, Crotti, Danilo da Fonseca, Sabaini, Sabrina Garcia, Pelucio Grecco, Marta Cristina   +3 more
exaly   +1 more source

Sentiment Analysis Applied to IBOVESPA Prediction

2022
Yngwi Guimarães Vieira Souza, Luís Tarrataca, Douglas de O. Cardoso, Laura Silva de Assis   +3 more
openaire   +2 more sources