Browsing by Author "Ferreira, Paulo"
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- Analysis of the Impact of COVID-19 Pandemic on the Intraday Efficiency of Agricultural Futures MarketsPublication . Aslam, Faheem; Ferreira, Paulo; Ali, HaiderThe investigation of the fractal nature of financial data has been growing in the literature. The purpose of this paper is to investigate the impact of the COVID-19 pandemic on the efficiency of agricultural futures markets by using multifractal detrended fluctuation analysis (MF-DFA). To better understand the relative changes in the efficiency of agriculture commodities due to the pandemic, we split the dataset into two equal periods of seven months, i.e., 1 August 2019 to 10 March 2020 and 11 March 2020 to 25 September 2020. We used the high-frequency data at 15 min intervals of cocoa, cotton, coffee, orange juice, soybean, and sugar. The findings reveal that the COVID-19 pandemic has great but varying impacts on the intraday multifractal properties of the selected agricultural future markets. In particular, the London sugar witnessed the lowest multifractality while orange juice exhibited the highest multifractality before the pandemic declaration. Cocoa became the most efficient while the cotton exhibited the minimum efficient pattern after the pandemic. Our findings show that the highest improvement is found in the market efficiency of orange juice. Furthermore, the behavior of these agriculture commodities shifted from a persistent to an antipersistent behavior after the pandemic. The information given by the detection of multifractality can be used to support investment and policy-making decisions.
- An application of general maximum entropy to utilityPublication . Ferreira, Paulo; Dionísio, Andreia
- Application of Multifractal Analysis in Estimating the Reaction of Energy Markets to Geopolitical Acts and ThreatsPublication . Aslam, Faheem; Ferreira, Paulo; Ali, Haider; Ercília José, AnaSince the industrial revolution, the geopolitics of energy has been a driver of global prosperity and security, and determines the survival of life on our planet. This study examines the nonlinear structure and multifractal behavior of the cross-correlation between geopolitical risk and energy markets (West Texas Intermediate (WTI), Brent, natural gas and heating oil), using the multifractal detrended cross-correlation analysis. Furthermore, an in-depth analysis reveals different associations of the indices of overall geopolitical risk, geopolitical acts, and geopolitical threats against the four energy products. Based on daily data ranging from 1 January 1985 to 30 August 2021, the findings confirm the presence of nonlinear dependencies, suggesting that geopolitical risk and energy markets are interlinked. Furthermore, significant multifractal characteristics are found and the degree of multifractality is stronger between the overall geopolitical risk and WTI while the lowest degree of multifractality is with Brent. Overall, for the WTI and heating-oil markets, the influence of geopolitical threats is more pronounced rather than their fulfilment. Contrarily, the Brent and natural gas are more correlated to geopolitical acts. Energy products exhibit heterogeneous persistence levels of cross-correlation with all the indicators of geopolitical risk, being more persistent in the case of small fluctuations compared to large fluctuations.
- Are Mobility and COVID-19 Related? A Dynamic Analysis for Portuguese DistrictsPublication . Casa Nova, António; Ferreira, Paulo; Almeida, Dora; Dionísio, Andreia; Quintino, Derick
- Are renewable energy stocks a possibility to diversify portfolios considering an environmentally friendly approach? The view of DCCA correlation coefficientPublication . Ferreira, Paulo; Loures, Luis; Nunes, José; Brito, Paulo
- Assessing the Effectiveness of Precision Agriculture Management Systems in Mediterranean Small FarmsPublication . Loures, Luis; Chamizo-Ampudia, Alejandro; Ferreira, Paulo; Viegas Loures, Ana; Castanho, Rui Alexandre; Panagopoulos, Thomas
- Assessing the Long-Term Impact of Traditional Agriculture and the Mid-Term Impact of Intensification in Face of Local Climatic ChangesPublication . Gama, José; Loures, Luis; López Piñeiro, Antonio; Quintino, Derick; Ferreira, Paulo; Nunes, José
- Automated Remote Control of Cheese Ripening Chambers: Increasing Economic Value Added While Reducing the Risk of Transmission During the PandemicPublication . Ferreira, Paulo; Teixeira, Nuno; Dias, João; Pires, Clara; Pacheco De Carvalho, Maria Da Graça; Santos, Rute; Mondragão-Rodrigues, Francisco; et al.A new prototype of a ripening chamber was proposed aiming to evaluate the application of computational fluid dynamics in the optimization of traditional cheeses ripening conditions. With the purpose of evaluating the possible impact in the production of cheese in three Portuguese regions, the potential economic benefits of the prototype were demonstrated. The proposed automation process would imply higher production efficiency, increasing sales, decreasing stock levels and a significant reduction in the consumption of water and electricity. Based on average values, it was estimated potential increases of 133 010 € in sales and an individual net present value of almost 560 000 €. In addition to the economic impact in firms, which are mostly small and medium firms, the results also contribute to an increase on the sustainable use of natural resources. However, it is important to highlight the contribution of the project in a pandemic situation to develop a better financial situation of the firms based on a higher margin of the business.
- Building multi-scale portfolios and efficient market frontiers using fractal regressionsPublication . TILFANI, Oussama; Ferreira, Paulo; El Boukfaoui, My Youssef