Forecasting Methods for Finance

• Grant number: 25/17514-4
• Support Opportunities: Scholarships in Brazil - Doctorate
• Start date: October 01, 2025
• End date: April 30, 2028
• Field of knowledge: Applied Social Sciences - Economics - Quantitative Methods Applied to Economics
• Principal Investigator: Marcelo Fernandes
• Grantee: João Ricardo Rodrigues Moreira
• Host Institution: Escola de Administração de Empresas de São Paulo (EAESP). Fundação Getúlio Vargas (FGV). São Paulo , SP, Brazil
• Associated research grant: 23/01728-0 - Econometric modeling and forecasting in high dimensional models, AP.TEM

Abstract

The project "Forecasting Methods for Finance" explores the use of predictive models within the financial context, focusing on modern statistical and computational techniques. These methods play a crucial role in various practical applications, such as planning, resource allocation, and risk management. The study addresses the evolution of the field, highlighting the growing use of machine learning and deep learning, especially in response to disruptive events like the Covid-19 pandemic. The research investigates high-dimensional models, dimensionality reduction techniques, financial time series forecasting, and the evaluation of forecasting performance. The main objective is to advance both theory and practice, with the intention of publishing the results in reputable scientific journals.