Simulações probabilísticas para identificação de oportunidades de investimento no mercado acionário
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Data
2021-10-26
Autores
Orientador(res)
Maiali, André Cury
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Resumo
This work studies a technique that uses probabilistic simulations in conjunction with an autoregressive moving average model (ARMA) to determine whether investing in a given stock is attractive to the investor (surpasses the opportunity cost). First, we use the ARMA model to project free cash flows to equity. Next, we find the minimum acceptable share price for the investment to be attractive to the investor and, through probabilistic simulations, we determine the probability of the investment surpassing the investor’s opportunity cost. This research used, as input for its application in a real case, data provided by the company Quantum Axis. The company chosen was Companhia Siderúrgica Nacional (CSNA3).