PhD research

Doctoral research at PUCPR

PhD in Industrial & Systems Engineering

Pontifical Catholic University of Paraná (PUCPR) — 2022 to 2027 (expected). Advisor: Gilberto Reynoso-Meza.

Research on econometric forecasting and multi-objective decision-making for agricultural commodity portfolios: blending time series forecasting models, Bayesian and regime-switching volatility modelling, and Pareto-front portfolio selection under uncertainty.

Time Series Financial & Bayesian Econometrics Multi-objective Portfolio Optimization Extremal Events Forecasting

PIBIC AgroFinance project site

Education

Academic background

2022 – 2027 (expected)

PhD Candidate, Industrial & Systems Engineering

PUCPR – Curitiba, PR

Applied time series analysis, financial and Bayesian econometrics, multi-objective portfolio optimization and modelling of extremal events. Advisor: Gilberto Reynoso-Meza.

2011

MSc in Economic Development

UFPR – Curitiba, PR

Emphasis on big data, multivariate analysis and econometrics. Read the thesis

2007

BSc in Economics

UFPR – Curitiba, PR

Undergraduate thesis on oil price volatility (GARCH-M), honored and continued as a research project at the UFPR Laboratory of Statistics and GeoInformation. View the project

Publications & talks

Selected academic output

Conference papers

Ozon, R. H., Reynoso-Meza, G. (2024). Comparative Analysis of Fuzzy Regression Models and Multicriteria Decision-Making for Commodity Market Forecasting Scenarios. Anais do LVI Simpósio Brasileiro de Pesquisa Operacional (SBPO), Fortaleza proceedings

Ozon, R. H., Reynoso-Meza, G. (2024). Predictive Maintenance Strategies in Agriculture Using Survival Analysis. XXV Congresso Brasileiro de Automática (CBA), Rio de Janeiro

Ozon, R. H., Reynoso-Meza, G. (2024). Efficiency and Efficacy Comparison between NSGA-II and Differential Evolution in Multi-Objective Portfolio Optimization. ICPR Americas 2024 — Ohio University

Ozon, R., de Lima, J. D., Dranka, G. (2024). Enhancing Grain Portfolio Risk Management with GAMLSS and MSGARCH. XXIV Encontro Brasileiro de Finanças (EBFIN) proceedings

Talks & posters

Ozon, R. H. (2024). PhD Finalist. XI ENPPEPRO — Encontro Nacional de Programas de Pós-Graduação em Engenharia de Produção

Ozon, R. H. (2024). Integrating GAMLSS and Bayesian MSGARCH Models for Enhanced Forecasting of Commodity Price Returns: A Novel Approach in Financial Econometrics. 1st SouthStat Meeting (UFPR) — poster

Ozon, R. H. (2023). The Use of Time Series Disaggregation with the tempdisagg Package in Econometric Models. R Day (UFPR)

Ozon, R. H., Reynoso-Meza, G. (2023). Portfolio Optimization with GARCH Models Using Multiple Time Windows for Pareto Frontiers. APREPRO / ConBRepro paper

Working papers (2025–2026)

Doctoral research pipeline: sixteen manuscripts in preparation and submission. Titles subject to change; drafts available on request.

Portfolio optimization & decision-making

An Integration Framework for Multi-Objective Commodity Portfolio Decision-Making thesis synthesis — flagship paper

A Many-Objective Evolutionary Benchmark for Multi-Period Commodity Portfolios

Many-Objective Optimization of Technical Trading Strategies with R. Vianna

Regime-Conditional Dynamic Programming for Portfolio Refinement

Distribution-Free Robust Control of Commodity Portfolios Under Regime Uncertainty

Capacity Constraints and Multi-Asset Generalisation of Commodity Portfolio Strategies

Pareto-Optimal Reinforcement Learning Portfolios for Commodity Trading

Forecasting & volatility modeling

MSGARCH Against Competing Models for Commodity Price Returns

Time-Varying Higher Moments in Agricultural Commodities via GAMLSS

Chaos and Complexity in Economic and Financial Time Series

Market structure, breaks & early warnings

Causal Inference for Structural Breaks in Time Series

Commodity Price Breaks: Detection versus Prediction

Price Transmission in Four Brazilian Agricultural Commodities

Regime-Aware Hybrid Anomaly Detection for Early Warnings in Food Security

Foundations & applications

AI and Econometric Methods for Commodity Portfolio Optimization: A Systematic Literature Review

Real Options Valuation via Bayesian MCMC

Advising

Ozon, R. H. (2024–2025). Scientific Initiation Advisorship (PIBIC / PIBIC Jr., PUCPR) — concluded. Research project: "Innovations in Financial Modeling: AI and Econometrics Approaches for Agricultural Commodities Portfolio Optimization" project site · advisor declaration

Ozon, R. H. (2024). Evaluation Declaration for SEMIC/SEMITI. XXXI Scientific Initiation Seminar at PUCPR declaration

Service

Peer review & committees

Reviewer — Applied Soft Computing

Peer reviewer for the Applied Soft Computing journal (Elsevier), 2024 – present. Reviewer certificate

Reviewer — PRINCIPIA

Peer reviewer for the PRINCIPIA journal (UFJF, Juiz de Fora), 2024 – present. Journal website

Scientific Advisory Committee

Scientific Advisory Committee member at PUCPR (2023; 2024–2025), supporting the evaluation of research and scientific initiation programs.

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