Operações de day trading na BM&F BOVESPA: avaliação de uma técnica de otimização de resultados
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/24564 |
Resumo: | This thesis deals with operations carried out on BM&F BOVESPA commonly called 'Day Trading', which are operations whose purchase (or sale) and settlement are carried out on the same day. This issue is relevant, especially for the small investor, because it allows the optimization of the result of their investment portfolio over time. The objective of this research is to present and test some techniques used by financial market traders in the 'Day Trading' modality. In conjunction with the verification of theories of technical analysis, the paper aims to reconcile such predictive techniques with theories of risk management and portfolio management, in this case more precisely the Modern Portfolio Theory of Markowitz, in order to test the efficiency of the combination between these theories in the Brazilian stock market, and whether there is a possibility of optimizing the results that an investor can achieve over time. To achieve this goal a quantitative research is performed using graphical analysis techniques based on theories widely known in the capital market, such as the Elliott Wave Principle and the Dow Theory. From the indicators of success obtained by these predictive techniques (through backtests), the present research explores aspects of market efficiency presented in the Efficient Market Hypothesis of Fama (1970). The main conclusions of this dissertation suggest that a passive buy and hold strategy of the Bovespa Index dominates respectively strategies based on Markowitz Theory and active day trading strategies based on technical analysis. The results make a contribution to the small investor through a better understanding of the possibilities that short-term operations can bring to their investment portfolios and confirms the view that the Brazilian stock market is efficient in its weak form. |
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Pintan, Marcio AlvarezEscolas::EAESPSheng, Hsia HuaNakamura, Wilson ToshiroTerra, Paulo Renato Soares2018-08-13T16:25:32Z2018-08-13T16:25:32Z2018-05-25http://hdl.handle.net/10438/24564This thesis deals with operations carried out on BM&F BOVESPA commonly called 'Day Trading', which are operations whose purchase (or sale) and settlement are carried out on the same day. This issue is relevant, especially for the small investor, because it allows the optimization of the result of their investment portfolio over time. The objective of this research is to present and test some techniques used by financial market traders in the 'Day Trading' modality. In conjunction with the verification of theories of technical analysis, the paper aims to reconcile such predictive techniques with theories of risk management and portfolio management, in this case more precisely the Modern Portfolio Theory of Markowitz, in order to test the efficiency of the combination between these theories in the Brazilian stock market, and whether there is a possibility of optimizing the results that an investor can achieve over time. To achieve this goal a quantitative research is performed using graphical analysis techniques based on theories widely known in the capital market, such as the Elliott Wave Principle and the Dow Theory. From the indicators of success obtained by these predictive techniques (through backtests), the present research explores aspects of market efficiency presented in the Efficient Market Hypothesis of Fama (1970). The main conclusions of this dissertation suggest that a passive buy and hold strategy of the Bovespa Index dominates respectively strategies based on Markowitz Theory and active day trading strategies based on technical analysis. The results make a contribution to the small investor through a better understanding of the possibilities that short-term operations can bring to their investment portfolios and confirms the view that the Brazilian stock market is efficient in its weak form.Esta dissertação trata das operações realizadas na BM&F BOVESPA chamadas comumente de 'Day Trading', ou seja, operações cuja compra (ou venda) e a liquidação são realizadas no mesmo dia. Tal questão é relevante, principalmente para o pequeno investidor, por possibilitar a otimização do resultado da sua carteira de investimento ao longo do tempo. O objetivo de pesquisa deste trabalho é apresentar e testar algumas técnicas utilizadas pelos operadores do mercado financeiro na modalidade 'Day Trading'. Em conjunto com a verificação das teorias de análise gráfica, o trabalho pretende conciliar tais técnicas preditivas com teorias de gestão de risco e de gestão de portfólio, nesse caso mais precisamente a teoria moderna de portfólio de Markowitz, de forma a testar a eficiência da combinação entre essas teorias no mercado de ações brasileiro, e se existe a possibilidade de otimização dos resultados que um investidor pode alcançar ao longo do tempo. Para atingir este objetivo foi realizada uma pesquisa quantitativa utilizando técnicas de análise gráfica baseadas em teorias amplamente conhecidas no mercado de capitais, como os Princípios de Ondas de Elliott e a Teoria de Dow. A partir dos indicadores de sucesso obtidos por essas técnicas preditivas (através de 'backtests'), o presente trabalho testa a efetividade das questões relativas a eficiência de mercado apresentadas nas Hipótese de Mercados Eficientes de Fama (1970). As principais conclusões desta dissertação sugerem que uma estratégia passiva, de compra e manutenção do Índice Bovespa, domina respectivamente estratégias baseadas na Teoria de Markowitz e estratégias ativas de Day Trading baseadas em análise técnica. Os resultados trazem uma grande contribuição para o pequeno investidor através de uma maior compreensão sobre possibilidades que as operações de curto prazo podem trazer para ao seu portfólio de investimentos e confirma a visão de que o mercado de ações brasileiro é eficiente em sua forma fraca.porOndas de ElliotTeoria de DowTeoria moderna de portfolioGestão de riscoMercados eficientesDay tradingElliott wave principlesDow theoryModern portfolio theoryMarkowitzAdministração de empresasMercado de capitais - BrasilBolsa de Valores de São PauloInvestimentos - AdministraçãoInvestimentos - Modelos matemáticosAdministração de riscoOperações de day trading na BM&F BOVESPA: avaliação de uma técnica de otimização de resultadosinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVTEXTfinancas-pintan-dissertação versao 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InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-26T21:51:39Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas 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|
dc.title.por.fl_str_mv |
Operações de day trading na BM&F BOVESPA: avaliação de uma técnica de otimização de resultados |
title |
Operações de day trading na BM&F BOVESPA: avaliação de uma técnica de otimização de resultados |
spellingShingle |
Operações de day trading na BM&F BOVESPA: avaliação de uma técnica de otimização de resultados Pintan, Marcio Alvarez Ondas de Elliot Teoria de Dow Teoria moderna de portfolio Gestão de risco Mercados eficientes Day trading Elliott wave principles Dow theory Modern portfolio theory Markowitz Administração de empresas Mercado de capitais - Brasil Bolsa de Valores de São Paulo Investimentos - Administração Investimentos - Modelos matemáticos Administração de risco |
title_short |
Operações de day trading na BM&F BOVESPA: avaliação de uma técnica de otimização de resultados |
title_full |
Operações de day trading na BM&F BOVESPA: avaliação de uma técnica de otimização de resultados |
title_fullStr |
Operações de day trading na BM&F BOVESPA: avaliação de uma técnica de otimização de resultados |
title_full_unstemmed |
Operações de day trading na BM&F BOVESPA: avaliação de uma técnica de otimização de resultados |
title_sort |
Operações de day trading na BM&F BOVESPA: avaliação de uma técnica de otimização de resultados |
author |
Pintan, Marcio Alvarez |
author_facet |
Pintan, Marcio Alvarez |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EAESP |
dc.contributor.member.none.fl_str_mv |
Sheng, Hsia Hua Nakamura, Wilson Toshiro |
dc.contributor.author.fl_str_mv |
Pintan, Marcio Alvarez |
dc.contributor.advisor1.fl_str_mv |
Terra, Paulo Renato Soares |
contributor_str_mv |
Terra, Paulo Renato Soares |
dc.subject.por.fl_str_mv |
Ondas de Elliot Teoria de Dow Teoria moderna de portfolio Gestão de risco Mercados eficientes |
topic |
Ondas de Elliot Teoria de Dow Teoria moderna de portfolio Gestão de risco Mercados eficientes Day trading Elliott wave principles Dow theory Modern portfolio theory Markowitz Administração de empresas Mercado de capitais - Brasil Bolsa de Valores de São Paulo Investimentos - Administração Investimentos - Modelos matemáticos Administração de risco |
dc.subject.eng.fl_str_mv |
Day trading Elliott wave principles Dow theory Modern portfolio theory Markowitz |
dc.subject.area.por.fl_str_mv |
Administração de empresas |
dc.subject.bibliodata.por.fl_str_mv |
Mercado de capitais - Brasil Bolsa de Valores de São Paulo Investimentos - Administração Investimentos - Modelos matemáticos Administração de risco |
description |
This thesis deals with operations carried out on BM&F BOVESPA commonly called 'Day Trading', which are operations whose purchase (or sale) and settlement are carried out on the same day. This issue is relevant, especially for the small investor, because it allows the optimization of the result of their investment portfolio over time. The objective of this research is to present and test some techniques used by financial market traders in the 'Day Trading' modality. In conjunction with the verification of theories of technical analysis, the paper aims to reconcile such predictive techniques with theories of risk management and portfolio management, in this case more precisely the Modern Portfolio Theory of Markowitz, in order to test the efficiency of the combination between these theories in the Brazilian stock market, and whether there is a possibility of optimizing the results that an investor can achieve over time. To achieve this goal a quantitative research is performed using graphical analysis techniques based on theories widely known in the capital market, such as the Elliott Wave Principle and the Dow Theory. From the indicators of success obtained by these predictive techniques (through backtests), the present research explores aspects of market efficiency presented in the Efficient Market Hypothesis of Fama (1970). The main conclusions of this dissertation suggest that a passive buy and hold strategy of the Bovespa Index dominates respectively strategies based on Markowitz Theory and active day trading strategies based on technical analysis. The results make a contribution to the small investor through a better understanding of the possibilities that short-term operations can bring to their investment portfolios and confirms the view that the Brazilian stock market is efficient in its weak form. |
publishDate |
2018 |
dc.date.accessioned.fl_str_mv |
2018-08-13T16:25:32Z |
dc.date.available.fl_str_mv |
2018-08-13T16:25:32Z |
dc.date.issued.fl_str_mv |
2018-05-25 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/24564 |
url |
http://hdl.handle.net/10438/24564 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
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MD5 MD5 MD5 MD5 |
repository.name.fl_str_mv |
Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
|
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1810023746782625792 |