Análisis del caos en series temporales financieras vía el estudio de atractores

[spa] La tesis consiste en la proposición de una metodología para la búsqueda de caos vía el análisis de atractores, con el objetivo de determinar si diversas series financieras presentan comportamientos caóticos. El estudio se realiza mediante la aplicación de algoritmos que testan las propiedades del caos en series temporales. La teoría del caos permite atribuir reglas deterministas a fenómenos aparentemente aleatorios. Gracias al determinismo inherente a los sistemas caóticos es posible, dentro de un cierto rango, hacer predicciones sobre su comportamiento a corto plazo. Sin embargo, esta predictibilidad desaparece a medio y largo plazo, dado que una de las características principales de los sistemas caóticos es su sensibilidad a las condiciones iniciales, por la cual una pequeña modificación de estas condiciones produce importantes cambios en el sistema con el paso del tiempo. De lo anterior se deriva la importancia que tiene la búsqueda de caos en los mercados financieros, ya que el paso de una concepción de mercado aleatoria a una caótica justificaría el uso de técnicas de previsión a corto plazo. Un sistema caótico se caracteriza por tener órbitas densas, ser topológicamente transitivo y ser sensible a las condiciones iniciales. Las dos primeras características implican la presencia de un atractor, esto es, una zona del espacio hacia la que tienden las trayectorias del sistema. Por su parte, la sensibilidad a las condiciones iniciales hace que las trayectorias se muevan de un modo impredecible a medio y a largo plazo dentro del atractor, y que este pueda calificarse de caótico. Así, dado que un sistema se considera caótico si presenta un atractor caótico, en la tesis se estudia el sistema financiero desde una perspectiva caótica, y para ello se propone una metodología que pretende analizar la presencia de este tipo de atractor en series temporales, y que consiste en la aplicación de algoritmos que testan las características de los sistemas caóticos. Para detectar la presencia de órbitas densas el algoritmo propuesto se basa en el “test de diferencias cercanas”. La transitividad topológica se analiza a través de un algoritmo propio. Por último, el algoritmo usado para testar la sensibilidad a las condiciones iniciales se basa en el estudio de los valores propios de la matriz de cambio de estado.[eng] The purpose of this thesis is to contribute to the chaotic analysis of financial time series, providing a comprehensive methodology based on the characteristics of chaotic systems. Through the application of chaos theory, deterministic rules can be attributed to seemingly random phenomena. The determinism inherent in chaotic systems makes it possible to forecast the short-term behaviour of these systems within a certain range. However, over the longer term, this predictability disappears since one of the main characteristics of chaotic systems is their sensitivity to initial conditions. This sensitivity means that any small alteration to the system’s initial conditions causes significant changes over time. In this lies the importance of searching for chaos in financial markets, because a change from the conceptualisation of a random market to that of a chaotic one would justify the use of forecasting techniques in the short term. The mathematical definition of chaos provides the characteristics that can be used as prerequisites of chaotic behaviour. These are: sensitivity to initial conditions, the presence of dense orbits and topological transitivity. The latter two characteristics imply the presence of an attractor, an area in space towards which the trajectories of the system tend. Sensitivity to initial conditions causes these trajectories to move unpredictably within the attractor and this allows the system to be classified as chaotic. There are various instruments to test sensitivity to initial conditions and the existence of a dense orbit. In relation to the property of topological transitivity, a commonly accepted test for determining whether a system is topologically transitive has not yet been found. This failure constitutes a major limitation in the study of the chaotic dynamics of series of observations, as the lack of such a test prevents one of the properties of chaotic systems from being tested. In this thesis I therefore propose an algorithm to distinguish whether a system is topologically transitive from a series of observations of it, and this constitutes its major contribution

Stimulating students’ engagement in mathematics courses in non-STEM academic programmes: A game-based learning

It is of utmost importance to innovate in current teaching practices at higher education in order to enhance learners’ involvement, comprehension, cooperation and motivation. In non-STEM (science, technology, engineering and mathematics) programmes, students tend to display a negative attitude towards mathematic-related courses. Aiming at overcoming this, game-based learning is regarded as a potential means of improving students’ confidence and increasing their motivation. In this study we propose a teamwork activity inspired by gamebased learning, presented in the form of a competition. To test the suitability of the activity, we report its implementation in the subject of Mathematics 1, taught as part of the Business Administration Degree at Universitat Internacional de Catalunya (Spain). We hope that the underlying idea of the activity as well as the encouraging results obtained stimulate lecturers to implement game-based learning activities in their courses.Peer ReviewedPostprint (author's final draft

Making the learning of mathematics meaningful: An active learning experience for business students

Mathematics is presented in non-STEM disciplines as a subject that helps students acquire tools they will need in their future careers. Therefore, the need for instruction in mathematics demands content, oriented not only towards fundamental principles and techniques, but also towards their application in a specific context. By directing the teaching in this sense, students are able to recognise the relevance of mathematics and the possibilities that this subject offers. The purpose of this paper is thus to propose a methodology for making the learning of mathematics meaningful for non-STEM students. We illustrate its implementation by presenting an activity that requires business university students to search for economic applications of the concepts learned in a course of mathematics. As students’ involvement is envisaged, the activity incorporates an active learning methodology that aims to promote the acquisition of hard and soft skills. Results obtained from its application are reported and discussed.Peer ReviewedPostprint (author's final draft

Coopetition strategies of start-ups: evidence from a Spanish regional innovation system

Start-ups operate in a highly competitive environment, surrounded by companies that offer similar products and services. In this context, collaboration between competitors has been found to help companies reduce risk and share costs, resources and expertise. Despite its relevance, coopetition (i.e. the simultaneous pursuit of cooperation and competition) in entrepreneurship has attracted little scholarly attention. This study aims at filling this theoretical and empirical gap by exploring the impact of coopetition on the performance of start-ups. Drawing on the existing literature, this study also considers innovation and knowledge sharing as key factors that can shape business performance. The analysis is based on qualitative comparative analysis (QCA) because the focus is on the combined effect of the determinants of firm performance rather than their net effects. This approach enables identification of different start-up strategies. The results indicate that coopetition and innovation are important to positively influence market performance. However, knowledge sharing is only relevant when coopeting start-ups either have solid market experience or are highly innovative.Peer ReviewedPostprint (author's final draft

Where to locate? A project-based learning activity for a graduate-level course on operations management

Location decisions represent an integral part of the strategic planning process of firms. Because these decisions do have a significant impact on the organisation, location analysis is a recurrent topic in operations management courses. In this study we posit that students enrolled in such courses should experience in an active way location decisions. To this end, this paper proposes an activity that, by adopting a student-centred approach, allows students getting involved in location decisions (technical skill) while simultaneously helps them boosting some of the soft skills that operation managers should possess (teamwork and use of new technologies). By mimicking a real life situation, students are asked to decide where to locate a specific new public service in the city of Barcelona. This activity was part of a course on Operations Management, included in the Master’s Degree in Engineering Management and Production Systems taught at Universitat Internacional de Catalunya (Barcelona, Spain).Peer ReviewedPostprint (author's final draft

Improving business plan development and entrepreneurial skills through a project-based activity

The present study reports the experience of a project-based activity similar to the ones developed by the Small Business Institute (SBI) program in which students are asked to plan an event. It is part of a Project Management course taught at Universitat Internacional de Catalunya, in an Undergraduate course in Business Administration. The activity has been designed in such a way that it is expected to help students develop technical and entrepreneurial skills as it requires the use of critical thinking, quantitative methods and tools to interpret data for decision-making. The results show that active learning materialized in the form of project-based activities make courses more enjoyable for both instructors and students, and most importantly, contribute to develop students’ skills such as teamwork and critical thinking. However, while it is useful for students to gain some exposure to the material through pre-class readings and overview lectures, students do not fully understand and realize about their importance until they actively take part and reflect on the meaning of what they are learning.Peer ReviewedPostprint (author's final draft

Fostering university-industry collaborations through university teaching

Unversity-industry links and their impact on innovation processes have been widely acknowledged. However, previous studies have mainly examined university-industry knowledge transfer activities from the perspective of the research and third stream missions. This paper goes a step further, analysing such processes from the perspective of the university’s teaching mission. More specifically, it explores how educational crowdsourcing platforms help bring universities and industry together to develop joint activities in undergraduate and graduate programmes. Nine platforms with different business models were examined. A qualitative exploratory approach was adopted to manually collect and analyse data from the platforms. This study identified three categories of educational crowdsourcing platforms based on their focus (education, crowdsourcing or networking). The analysis shows that, although these platforms have some shortcomings, they provide benefits to all stakeholders by facilitating experiential learning, promoting skills acquisition and encouraging the development of new ideas to meet industry needs.Peer ReviewedPostprint (author's final draft

Examining strategies behind universities’ technology transfer portfolio: how different patterns of resource consumption can lead to similar technology transfer profiles

Purpose – This research analyses how different patterns of production factors consumption of Spanish universities lead to specific technology transfer (TT) profiles (outcomes). Design/methodology/approach – Adopting a resource-based view perspective (RBV), qualitative comparative analysis (QCA) is used to analyse the relationship between different combinations of resources—human resources, financial resources and support services—and various portfolios of TT outcomes—intellectual or industrial property agreements, spin-offs and TT income. Findings – Results indicate that there is no unique formula of resource consumption that leads to a specific portfolio of TT outcomes. These results seem to reflect the characteristics and competences added by universities, along with the characteristics of their socioeconomic context. From a RVB perspective, this indicates that the considered resources are substitutable. Practical implications – The effectiveness of university policies is expected to vary by university, e.g. depending on the type of resources that is most relevant in the university’s production process. To develop competitive advantages Spanish public universities must resort to internal intangible resources or specific and inimitable combinations of the available resources. Social implications – Since Spanish universities are heterogeneous and display different TT portfolios they address the needs of different users. Originality/value – Previous studies have failed to acknowledge the heterogeneity among universities. To perform our analysis we employed QCA, an innovative methodology in the higher education sector that enables us to purposefully acknowledge institutional diversity (in both resources and results). This allows us to indirectly take into account the capabilities of universities using a more holistic approach to evaluate their competitiveness.Peer ReviewedPostprint (published version

Dealing with heterogeneity: An analysis of Spanish universities

Universities are highly dependent on regulatory frameworks, the geographical setting as well as on requirements for the creation of the different outputs they pursue. As a result, universities are heterogeneous organizations. This study analyses universities’ heterogeneity in Spain. By using a dataset from the Spanish higher education system, we model the objective function of universities and investigate which factors help explain universities’ performance, in terms of the three missions that they mostly perform (teaching, research and technology transfer). Also, a cluster analysis is performed to categorise Spanish universities. The findings contribute to better understand the different behaviours shown by universities. The findings underline the heterogeneity of Spanish universities: while some universities focus more on formation (teaching) goals, other universities excel at disseminating knowledge through different scientific outputs. The study concludes with a detailed inter- and intra- group analysis.Peer ReviewedPostprint (published version

Technology transfer outputs versus publications: Which one wins the battle?

Today’s universities are expected to simultaneously conduct teaching, research and third stream activities. These latter activities are usually materialized in the form of technology transfer activities. In a context were researchers are expected to simultaneously excel in all the tasks they perform, the scheme of incentives for the academic community is crucial. This study seeks to investigate and generate a new debate on in which activities are researchers devoting their efforts and time. In order to do so, we describe the evolution of research (publications) and technology transfer (R&D contracts and funded projects) outputs in the four technical universities of Spain. Results reveal that while revenues coming from R&D activities have notoriously diminished in the last years, the number of scientific publications has increased. These findings lead us to question whether Spanish universities are not properly aligned with industry needs, thus contradicting their raison d’être.Postprint (published version