Variation of the relative stock prices positions on an abstract geometry space

Detalhes bibliográficos
Autor(a) principal: Ribeiro, Rui Carlos Nunes
Data de Publicação: 2022
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/145560
Resumo: Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
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spelling Variation of the relative stock prices positions on an abstract geometry spacePortfolio managementModern Portfolio TheoryAsset CorrelationArtificial Neural NetworksMachine LearningDissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and ManagementThe Markowitz theorem is the basis of current investment fund management. Based on time series pricing treatment, a portfolio is optimized by minimizing the risk for the same expected return or maximizing the return for the same risk. This approach assumes that time series have sections in Gaussian time, with a finite standard deviation and an expected stationary value, assumptions that are not verified. The approach proposed in this paper is to use unsupervised neural networks to make a distributed representation of stocks within a potential portfolio to build an abstract geometry space where the variations of the relative position of shares in that space will be studied. The work ends when the abstract space is built and shows the distance evolution of the set of actions in relation to the others.Gonçalves, Rui Alexandre HenriquesCruz, João Pires daRUNRibeiro, Rui Carlos Nunes2022-11-16T11:40:24Z2022-10-252022-10-25T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/145560TID:203108167enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:26:04Zoai:run.unl.pt:10362/145560Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:52:09.075599Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Variation of the relative stock prices positions on an abstract geometry space
title Variation of the relative stock prices positions on an abstract geometry space
spellingShingle Variation of the relative stock prices positions on an abstract geometry space
Ribeiro, Rui Carlos Nunes
Portfolio management
Modern Portfolio Theory
Asset Correlation
Artificial Neural Networks
Machine Learning
title_short Variation of the relative stock prices positions on an abstract geometry space
title_full Variation of the relative stock prices positions on an abstract geometry space
title_fullStr Variation of the relative stock prices positions on an abstract geometry space
title_full_unstemmed Variation of the relative stock prices positions on an abstract geometry space
title_sort Variation of the relative stock prices positions on an abstract geometry space
author Ribeiro, Rui Carlos Nunes
author_facet Ribeiro, Rui Carlos Nunes
author_role author
dc.contributor.none.fl_str_mv Gonçalves, Rui Alexandre Henriques
Cruz, João Pires da
RUN
dc.contributor.author.fl_str_mv Ribeiro, Rui Carlos Nunes
dc.subject.por.fl_str_mv Portfolio management
Modern Portfolio Theory
Asset Correlation
Artificial Neural Networks
Machine Learning
topic Portfolio management
Modern Portfolio Theory
Asset Correlation
Artificial Neural Networks
Machine Learning
description Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
publishDate 2022
dc.date.none.fl_str_mv 2022-11-16T11:40:24Z
2022-10-25
2022-10-25T00:00:00Z
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/10362/145560
TID:203108167
url http://hdl.handle.net/10362/145560
identifier_str_mv TID:203108167
dc.language.iso.fl_str_mv eng
language eng
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eu_rights_str_mv openAccess
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dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
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repository.mail.fl_str_mv
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