Simulação de cenários no mercado de ações com aplicação de lógica fuzzy como ferramenta de suporte à decisão de investimento

Abstract

This dissertation aims to apply a scenario simulation model into the stock market, by using fuzzy logic in fundamentalist indicators to define the asset to be invested and technical analysis to determine the best timing to invest. The chosen model of scenario simulation foresees 5 steps, the first one being previously achieved by Rojo’s (2014) study and the others being applied throughout the fourth chapter or this research. Particularly, during the application of the second step of the model, presented over chapter 4.1, the fuzzy logic was applied as the competitive intelligence tool in order to support the analysis of 5 fundamental indicators. Therefore, as for the objective, this research is exploratory, with a quantitative and qualitative approach, and the research universe is compound of 10 shares that belong to the civil construction subsector and are part of the Small Cap index. Regarding to the temporal perspective, it was adopted the period between 18/11/09 and 27/08/17 to proceed with fundamental analysis and the period between 28/08/17 and 24/11/17 to apply technical analysis. During the application of fundamentalist analysis, the data were retrieved from Economática basis, meanwhile for the application of technical analysis the information was extracted from the Protrader web software that is provided by some brokers at no cost. At the end of the research, the general objective was achieved and it was presented a practical and scientifically grounded proposal that may be used by other investors, who may adapt several research points in order to attend their different profiles, as exemplified in the final considerations of this paper. One of the main limitations of this research arises from the fact that the present proposal could not be evaluated in terms of obtained results, mainly due to the time needed to perform such evaluation.