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Forecasting stock return using a recurrent neural network apply to a financial optimization problem
(Universidad EAFITMaestría en Ciencias de los Datos y AnalíticaEscuela de AdministraciónMedellín, 2021)
This paper presents a methodological proposal for optimizing financial asset portfolios by incorporating the returns predictions instead of the historical returns to calculate an efficient frontier. We changed the return ...
Stock market reactions and trade exposure around the world : evidence from the US-China trade war
(Universidad EAFITUniversité Catholique de LouvainMaestría en Ciencias en FinanzasEscuela de Economía y FinanzasMedellín, 2022)
This thesis aims to investigate the stock market reactions around the world to the US-China trade war using an event study. Specifically, we study abnormal returns and abnormal volatility on March 22, 2018, when the first ...
Portafolio de activos compuesto por contratos de futuros sobre índices bursátiles a partir del modelo Black-Litterman
(Universidad EAFITMaestría en Administración FinancieraEscuela de Economía y FinanzasMedellín, 2021)
Financial derivatives, with exposure in the international market through futures that replicate stock indexes, generate a great investment opportunity in the colombian market, through speculation instruments and higher ...
Ofertas públicas de adquisición al Grupo Empresarial Antioqueño y su impacto en el mercado accionario y de renta fija colombiano
(Universidad EAFITMaestría en Administración FinancieraEscuela de Finanzas, Economía y Gobierno. Departamento de FinanzasMedellín, 2023)
This paper used the event study methodology to estimate the impact of the takeover bids over Grupo Empresarial Antioqueño since November 2021 on the Colombian stock and fixed income market returns. For this purpose, data ...
Modelo de aprendizaje profundo reforzado aplicado al trading de Bitcoin
(Universidad EAFITMaestría en Ciencias de los Datos y AnalíticaEscuela de AdministraciónMedellín, 2022)
The stock market is affected by many types of factors, such as market sentiment, going upwards (bulls) or downwards (bears), the behavior of the economy, or unexpected political events. By For this reason, it is not possible ...
Modelo de Black-Litterman para la optimización de portafolios con views obtenidos por modelación de volatilidad
(Universidad EAFITMaestría en Administración FinancieraEscuela de Economía y Finanzas, 2018)
The Black-Litterman model incorporates the market equilibrium returns and investors views to generate a new prediction of the return of the portfolio -- This model is applied for the optimization of stock portfolios in ...
REITS, análisis y su importancia en los portafolios de inversión en el mercado de valores colombiano
(Maestría en Administración FinancieraEscuela de Economía y FinanzasBogotá, 2018)
In Colombian stock market, most investors know information about traditional investment assets such as fixed income (bonds, Time Deposits, government bonds) and equities (shares), however few years ago in the country the ...
Asset Pricing using a Network Approach
(Universidad EAFITMaestría en FinanzasEscuela de Economía y FinanzasMedellín, 2019)
This paper approaches the U.S. stock market as a network and explains stocks’ returns by taking into account community formation among securities and its centrality inside the network. This approach differs from the ones ...
Betas y correlaciones dinámicas del sector Oil & Gas en Colombia 2014-2021 : una aproximación GARCH multivariada
(Universidad EAFITMaestría en Administración FinancieraEscuela de Economía y FinanzasBogotá, 2021)
The objective of this document was to test the constancy of the coefficients under the framework of Fama and French, through the methodology of multivariate auto-regression models of conditioned heteroscedasticity that ...
Ofertas públicas de adquisición y reacción de precios en Suramérica
(Universidad EAFITMaestría en Administración FinancieraEscuela de Economía y FinanzasMedellín, 2022)
In the present investigation the behavior of stock prices involved in an Initial Public Offering in the Colombian, Chilean and Peruvian markets is analyzed. For this, a quantitative analysis to determine the impact of the ...