Examinando por Materia "Mercados financieros"
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Ítem Análisis global de la dependencia entre la profundidad del mercado de capitales y la inclusión financiera(Universidad EAFIT, 2019) Bolaños Correa, Sergio Andrés; Sanclemente Oyuela, Milton César; Tellez Falla, Diego FernandoThe development of capital markets is directly related to the economic development of a country. For this reason, it is possible to find deeper financial markets in mature economies than in underdeveloped or developing economies. However, in many cases, access to capital markets is restricted because of lack in financial inclusion, and only those with more privileges are the only whom can access to them, as it happens in most of developed economies. The present paper aims to analyze the dependence among financial inclusion policies and the development of deeper financial markets for different countries among developed economies (OECD members), developing economies and underdeveloped economies, with the objective to show how important is to promote financial inclusion at all levels to boost economic growth.Ítem Aplicación de modelos de inteligencia artificial y aprendizaje automático para la previsión de precios y la optimización de portafolios : un enfoque integrado con datos estructurados y no estructurados con el fin de compararse con el S&P 500 como benchmark(Universidad EAFIT, 2023) Vélez García, Santiago; Botero Ramírez, Juan CarlosThis study presents an integrated approach of artificial intelligence and machine learning models, combining neural networks for price forecasting and portfolio optimization in the financial industry. The results show that the integrated approach outperforms other financial analysis methods and provides more effective tools for market professionals compared to a buy and hold strategy represented in the analysis by the S&P500. The artificial intelligence and machine learning models used in this study enable the identification of patterns and trends in financial data, helping investors make more informed and accurate decisions. Furthermore, the study demonstrates that the inclusion of unstructured data, such as news and social networks, in financial analysis can significantly improve the accuracy of price predictions achieving an R2greater than 65% and portfolio optimization.Ítem Asset Pricing using a Network Approach(Universidad EAFIT, 2019) Isaza Cadavid, Juan Esteban; Restrepo Tobón, Diego Alexander; Pulido Tamayo, SergioThis 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 previously reported in that it analyzes complex systems of connected assets and considers characteristics generally ignored in financial markets.Ítem Cómo un Broker puede dar acceso a las personas naturales y jurídicas a los mercados financieros a nivel global : caso Cyscorp(Universidad EAFIT, 2022) Goyeneche Cortés, Andrés Laureano; Botero, Juan CarlosCyscorp S.A.S. is a company created in 2004 in the Chamber of Commerce of Bogota, Colombia. The company was born with the objective of providing corporate finance services in the Colombian market. After several years of operation, the company decides to expand into investments. The thesis contemplates the creation of Cyscorp's brokerage division, focused on stock market operations in the international market, with a focus on financial assets traded in New York and London. The company currently has 10,000 subscribed and paid shares and the brokerage license can be obtained in Panama or New York, in order to attend the operations of clients in Latam. Cyscorp's portfolio will include financial assets such as Stocks, ETF's, Cryptos and Commodities. The main competitors of the project are E-toro, Interactive Brokers and Robinhood. Cyscorp is going to provide clients access to international markets through strategic alliances with liquidity providers. The company is going to contract Metaquotes trading software to offer the best trading platform to clients. The investment value of the project is USD 35,700. The Equity / Debt structure is 20% / 80%. The Opex of the project is USD 50,600 per month. The Kd of the project is 14.39%. The Ke of the project is 29.38%. The cash flow discount rate is 13.36%. The NPV of the project is USD 138,573. The company plans to start operations with the new business division in 2022.Ítem Emociones y sesgos en la inversión en mercados financieros(Universidad EAFIT, 2023) Ramírez Restrepo, Esteban; Mora Cuartas, Andrés MauricioÍtem Importancia de los activos intangibles y capital intelectual en el valor de las compañías que cotizan en el MILA(Universidad EAFIT, 2022) Urrego Arteaga, Laura Sarai; Yepes Raigosa, David AlejandroÍtem Inequality and the equity premium : empirical cross-country evidence(Universidad EAFIT, 2024) Calderón Castillo, Saira Tatiana; Goda, ThomasThis paper empirically examines the relationship between income and wealth inequality and the subsequent period equity premium for 49 countries in the period 2002 - 2019. As an approximation of inequality are used relative inequality measurements, absolute inequality measurements and capital share income. Through a two-step Generalized Method of Moments with country fixed effects, it is found that, while relative inequality and capital share income do not significantly impact the equity premium, absolute inequality has a positive and significant correlation with it. The study used two distinct definitions of the stock returns rate, based on Christou et al. (2021) and Toda & Walsh (2020), which enhances the robustness of the findings by accounting for potential variations in the measurement of this critical equity premium component. These findings contribute to the ongoing debate on the impact of inequality on the equity premium and highlight the complexity of the relationship and the need for further research.Ítem ¿Inversionistas o especuladores? evidencia de burbuja especulativa en el mercado accionario Colombia, 2004-2006(Universidad EAFIT, 01/12/2006) Diego Alonso Agudelo Rueda; Universidad EAFITÍtem ¿Inversionistas o Especuladores? Evidencia de burbuja especulativa en el mercado accionario colombiano, 2004-2006(Universidad EAFIT, 2006) Agudelo Rueda, Diego Alonso; Departamento de Finanzas, Universidad EAFIT; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y BancaÍtem Metodología para la valoración de impactos financieros sobre compañías de generación hidroeléctrica mediante la estimación de los precios del mercado energético colombiano a través de un sistema de redes neuronales(Universidad EAFIT, 2024) Mejía Melguizo, Juan Camilo; Cardona Llano, Juan FelipeThis degree work proposes the creation of a model to financially evaluate the impact on organizations that concentrate their productive activities in hydroelectric power plant projects in Colombia with an installed capacity of less than 20 megawatts, using a neural network system to predict energy prices in the country´s market. The model integrates relevant macroeconomic and climatic variables that affect the volatility of the asset value, and are evaluated through backtesting to identify the optimal alternative and compare them with other predictive tools under the recurrent neural network methodology. The selected model provides an analytical tool for investors and regulators, considering the dynamics of the energy market and the main factors that influence electric energy prices.Ítem Operaciones de crédito sindicado: experiencia internacional y evolución en el mercado financiero colombiano(Universidad EAFIT, 2018) Daza Oyuela, Víctor Hugo; Muñoz Llanos, Édgar Marino; Castillo Hernández, José MaríaThe megaprojects and PPPs trends in Colombia require largest capital resources for financing. This has evidenced the limited financing capacity of the local banking, forcing the National Government and the projects promoters to seek international sources of resources. This document begins with a literature review on the origin of syndicated credit operations, its definition, benefits, regulation and process, summarizes the syndicated loans in Colombia and ends with experts interviews with extensive experience, who expose their analysis on the local market. The conclusions refer to the potential of growth of the Colombian market and the weaknesses that nowadays exist comparatively with the international trend.Ítem Rendimiento ex-dividendo como indicador de eficiencia en un mercado emergente: caso colombiano 1999-2007(Universidad EAFIT, 2012-12-15) Arroyave C., Elizabeth T.; Agudelo R., Diego A.We study the ex-dividend return in the Colombian stock market between 1999 and 2007, period that includes the merger of the former three Colombian stock exchanges in the Bolsa de Valores de Colombia in July 2001. Contrary to the Efficient Market Hypothesis, we found positive and statistically significant ex-dividend returns in the sampled period, only in part explained by transaction cost and tax effects. Moreover, even subtracting transaction costs and tax effects, a dividend capture strategy would have got positive and economically sizable returns between 2006 and 2007 in the most liquid stocks. The decrease of those ex-dividend returns is also reported along the studied period, providing evidence of increasing informational efficiency after the merger of the three stock exchanges. Methodologically, this study highlights the importance of accounting for frictions in both academic efficiency studies and in testing speculative strategies by practitioners.Ítem Rendimiento ex-dividendo como indicador de eficiencia en un mercado emergente: caso colombiano 1999-2007(Elsevier, 2012) Arroyave C.,m Elizabeth T.; Agudelo R., Diego A.; Profesora Universidad de Medellín, Colombia; Profesor Titular, Coordinador del Grupo de Investigación en Finanzas y Banca, Universidad EAFIT, Medellín, Colombia; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y BancaÍtem Stock Market Forecasting : Comparing Machine Learning and Deep Learning with Risk-Return Model Selection and Evaluation in a Walk-forward Approach(Universidad EAFIT, 2024) Castro Marín, Carlos Andrés; Olarte Hernández, Tomás; Olarte Hernández, TomásThis study compares the effectiveness of machine learning and deep learning algorithms in forecasting stock market direction using daily market data of Apple Inc. stock. We aim to determine if these algorithms can identify repeatable patterns across time using price and volume history and assess which are most capable. To ensure robustness, we employ a walk-forward validation approach to maintain the temporal dimension of the data and simulate real trading conditions. This method allows us to test models across different market conditions and measure their predictive power. We prioritize model selection and evaluation based on financial return and risk metrics, focusing on profitability rather than traditional machine learning performance metrics, which often do not correlate with financial outcomes. Our findings show that traditional machine learning algorithms, specifically Random Forest, outperform deep learning models under the selected asset and conditions tested. Machine learning models exceed the stock benchmark regarding Sharpe ratio, while deep learning models struggle to manage risk effectively, leading to poorer performance. This discrepancy is likely due to the complex solution space deep learning algorithms navigate to optimize and the amount of data required by these models. However, we hypothesize that the latter could improve its performance if tested with different architectures and hyperparameters, including newly developed transformer attention-based architectures and models such as TimeGPT and others, shown in the related work section.Ítem Walk-forward Optimization Algorithm for Time-Series Models(Universidad EAFIT, 2022) Castro Marín, Carlos Andrés; Almonacid Hurtado, Paula María