This paper calculates risk-dependent centrality of Brazilian stocks, showing rankings vary with external risk and crisis events.
problem Understanding asset rankings in the Brazilian stock market under varying external risks.
method Computed risk-dependent centrality (RDC) for Brazilian stocks traded from 2008 to 2020, analyzing volatility and returns.
result Asset rankings based on RDC vary with external risk and crisis events, with higher volatility in crisis periods.
Study financial contagion in investment funds using network analysis.
problem Measuring financial contagion in investment funds.
method Developed a network model combining cross-holding and bipartite structure.
result Identified contagion patterns and market stability.
Study applies Gai-Kapadia framework to global equity markets to assess systemic risk and default cascades.
problem Assessing systemic risk and default cascades in global equity markets.
method Used Gai-Kapadia framework, 20-asset network, Monte Carlo simulations, and deterministic propagation analysis.
result High clustering among Brazilian assets leads to localized contagion, while developed markets show resilience.
Study extends Gai-Kapadia framework to assess systemic risk in global equity markets.
problem Systemic risk and default cascades in global equity markets.
method Network analysis, threshold filtering, Monte Carlo simulations, tail risk assessment.
result System exhibits strong global resilience with negligible probability of large-scale failure.
Study finds inefficiency in Brazilian stock market through correlations and fat-tailed returns.
problem Inefficiency of the Brazilian stock market, particularly the IBOVESPA future contracts.
method Analysis of cross-correlations with foreign markets, examination of log-return distribution, and neural network forecasting.
result Strong dependence on foreign markets and fat-tailed returns indicate inefficiency.
AlphaX uses AI to outperform Brazilian stock market benchmarks.
problem AI strategies often overperform in backtests but underperform in real markets due to lookahead bias.
method Controlled simulations to mitigate lookahead bias, using Value Investing principles.
result AlphaX strategy outperforms major benchmarks and technical indicators.
Speculative bubbles have been occurring periodically in local or global real estate markets and are considered a potential cause of economic crises. In this context, the detection of explosive behaviors in the financial market and the implementation of early warning diagnosis tests are of critical importance. The recen…
We use the correlation matrix of stocks returns in order to create maps of the São Paulo Stock Exchange (BM&F-Bovespa), Brazil's main stock exchange. The data reffer to the year 2010, and the correlations between stock returns lead to the construction of a minimum spanning tree and of asset graphs with a variety of thr…
The Brazilian automotive market is concentrated but evolving towards a less monopolistic structure.
problem Understanding the evolution of industrial concentration in the Brazilian automotive market.
method Cluster analysis using k-means technique and estimation of industrial concentration indices (CR ratios, HHI, B, CCI).
result The Brazilian automotive market is currently moderately concentrated and evolving towards a less monopolistic structure.
This paper presents a novel adaptive-filter approach for predicting assets on the stock markets. Concepts are introduced here, which allow understanding this method and computing of the corresponding forecast. This approach is applied, as an example, through the prediction over the actual valuation of the PETR3 shares …
This work tried to detect the existence of a relationship between the graphic signals - or patterns - observed day by day in the Brazilian stock market and the trends which happen after these signals, within a period of 8 years, for a number of securities. The results obtained from this study show evidence of the exist…
Artificial Neural Networks predict stock returns, finding larger stocks less predictable.
problem Evaluating the validity of the Efficient Market Hypothesis.
method Backpropagation Artificial Neural Network analysis of Brazilian stock market.
result Predictability of stock returns is related to market capitalization, with larger stocks less predictable.
Develops a three-currency HJM framework for Brazilian credit markets, finding significant credit spread differences between indexed segments.
problem Identifies and quantifies differences in corporate credit spreads between two parallel segments of the Brazilian bond market.
method Uses a Heath-Jarrow-Morton framework to model corporate credit as a separate economy, linking it to nominal and real economies through synthetic rates.
result Empirically finds a 640 basis point average difference in credit spreads between CDI-indexed and IPCA-indexed segments, stable through market cycles.
This tutorial introduces quantum computing for financial portfolio optimization.
problem Combinatorial portfolio optimization in financial markets.
method Application of Quantum Approximate Optimization Algorithm (QAOA) to portfolio optimization.
result Quality of combinatorial portfolio optimization solutions using QAOA on quantum simulator.
Deep learning outperforms Black-Scholes in Brazilian Petrobras option pricing.
problem Improving option pricing accuracy for Petrobras stocks.
method Trained deep residual networks using a custom loss function with historical data.
result Deep learning achieved a 64.3% reduction in mean absolute error compared to Black-Scholes.
Mutual info trees show higher risk in Brazilian equity network during transition.
problem Identifying nonlinear dependencies in Brazilian equity network.
method Used mutual information minimum spanning trees to compare with linear correlation.
result Mutual info trees indicate higher risk and power law tail in volatility transmission.
Efficiently calculates Brazilian stock options with discrete dividends.
problem Accurately pricing Brazilian listed equity options with discrete dividends.
method Uses the fast Laplace transform for high-accuracy computation.
result Efficiently computes option premiums and Greeks with high accuracy.
The study uses music chords to predict Brazilian music genres.
problem Classifying popular Brazilian music genres based on harmonic structures.
method Extracted and engineered harmonically related features from chords data, used random forest model for classification.
result Features from harmonic elements can predict Brazilian music genres.
The exact meaning of the noise spectrum of eigenvalues of the covariance matrix is discussed. In order to better understand the possible phenomena behind the observed noise, the spectrum of eigenvalues of the covariance matrix is studied under a model where most of the true eigenvalues are zero and the parameters are n…
We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the ana…
Paper classifies Brazilian music genres using song lyrics with BLSTM network.
problem Classifying Brazilian music genres from lyrics.
method Used BLSTM network combined with SVM, Random Forest, and word embeddings.
result BLSTM outperforms other models with an F1-score of 0.48.
Study analyzes Brazilian congress members' spending patterns.
problem Lack of transparency in government spending by congress members.
method Neural network-based approach for analyzing and visualizing spending patterns.
result Inspires new machine learning methodologies for government transparency.
Study on neural networks for predicting Brazilian stock returns.
problem Improving the accuracy of neural network predictions for Brazilian stock returns.
method Created and analyzed a population of neural network architectures, identifying the best-performing ones.
result Some neural network architecture characteristics significantly impact prediction accuracy.
Hybrid model uses TOPSIS, EMD, and ELM for stock selection.
problem Difficult to predict stock market due to political and economic factors.
method Combines TOPSIS, EMD, and ELM for stock selection.
result Hybrid model increases profit percentage compared to random selection.
Study examines spillovers between BRICS and U.S. staple grain futures markets.
problem Contemporaneous and lagged spillover effects in BRICS staple grain futures markets and their linkages with U.S. markets.
method Examines contemporaneous and lagged spillover effects using econometric models.
result Contemporaneous spillovers dominate, and net spillovers are driven by lagged connectedness. Systemic risk is lower in intra-BRICS markets compared to those including the U.S.
Study on Brazilian income distribution using PNAD data.
problem Analyzing income inequality in Brazil.
method Used semi-empirical model to reconcile Pareto and Boltzmann-Gibbs distributions, calculated multiple inequality measures.
result Decreasing income inequality over 2001-2014 period, especially for historically disadvantaged groups.
Study markets without safe assets, deriving option pricing equations.
problem No riskless asset in financial markets.
method Derive Black-Scholes-Merton equations for various risky asset dynamics.
result Option pricing equations for different risky asset dynamics.
The CAPM's market returns are endogenously determined, affecting all assets' expected returns.
problem The standard CAPM's market return assumption is not endogenously consistent.
method Demonstrates the impact of endogenously determined market returns on asset returns and the range of feasible market returns.
result Expected returns are influenced by all assets' risks, and market returns are limited by asset distribution.
Optimal stock portfolio strategy using information theory and Tsallis statistics.
problem Finding the optimal stock portfolio growth rate.
method Developed a strategic optimal portfolio based on information theory and Tsallis statistics.
result The wealth growth is modeled by a q-exponential function. A parameterization that is a modified version of a previous work is proposed for the returns and correlation matrix of financial time series and its properties are studied. This parameterization allows easy introduction of non-stationarity and it shows several of the characteristics of the true, observed realizations, …
New automated market makers for multi-asset trading.
problem Liquidity management in multi-asset trading.
method Derived from self-financing transactions and rebalancing principles.
result Constant product market maker as a special case.
Paper explores asset pricing dynamics in Bachelier model.
problem Understanding risky asset price dynamics in Bachelier model.
method Analyzes Bachelier market model to represent risky asset price dynamics.
result Defines riskless assets within the Bachelier model.
This paper presents an empirical investigation of the intraday Brazilian stock market price fluctuations, considering q-Gaussian distributions that emerge from a non-extensive statistical mechanics. Our results show that, when returns are measured over intervals less than one hour, the empirical distributions are well …
Study optimal growth strategies in a continuous-time asset market.
problem Guaranteeing that individual agent strategies cannot outperform the market.
method Mean-field approximation of an infinite number of infinitesimal agents, focusing on optimal strategy distribution among assets.
result Optimal strategy for market agents is to invest proportionally to discounted expected relative dividend intensities.
This paper tackles multi-asset market making by reducing dimensionality and considering different transaction sizes.
problem Optimizing bid and ask prices for multiple assets while managing inventory risk in volatile markets.
method Proposes a dimensionality reduction technique using a factor model and considers different transaction sizes.
result Generalizes existing market making models by incorporating different transaction sizes and prices.
Decomposes portfolio returns into drift and asset price distribution changes.
problem Understanding efficient markets through portfolio returns and asset price distributions.
method Continuous semimartingale price representations and accounting identity.
result Existence of an asset pricing factor emerges from an accounting identity across various economic and financial environments.
The paper derives market-based correlations between asset prices and returns.
problem Market assumptions of constant trade volumes and past values are inaccurate.
method Derives expressions of correlations based on statistical moments and trade volumes.
result Market-based correlations are essential for traders, banks, and funds.
Bayesian market views improve asset allocation performance.
problem Leveraging public mood for trusted and interpretable asset allocation.
method Formalize public mood into market views, use Bayesian asset allocation model, train neural models.
result Formalized market views increase portfolio profitability by 5-10% annually.
Financial markets are systems with the complex behavior, that can be hardly analyzed by means of linear methods. Recurrence Quantification Analysis (RQA) is a nonlinear methodology, which is able to work with the nonstationary and short data series. Thus, we apply RQA for the studying of the critical events on financia…
A new model prices assets considering market microstructure effects.
problem Including market microstructure effects in dynamic asset pricing.
method Discrete binary tree model with history-dependent underlying security prices.
result The model preserves historical price dynamics and is market-complete, arbitrage-free.
We characterize the collective phenomena of a liquid market. By interpreting the behavior of a no-arbitrage N asset market in terms of a particle system scenario, (thermo)dynamical-like properties can be extracted from the asset kinetics. In this scheme the mechanisms of the particle interaction can be widely investiga…
Study shows SEC crypto classification led to significant market reactions.
problem Impact of SEC classification of crypto assets as securities.
method Event study methodology focusing on explicitly named crypto assets.
result Significant adverse market reactions, with returns plummeting 12% over one week.
This paper addresses AMMs for expiring assets, ensuring liquidity and risk management.
problem AMMs struggle with assets that expire, leading to liquidity issues and risk exposure.
method Combines AMM and limit-order book features, ensuring liveness and dynamic price adjustment.
result A DEX for expiring assets maintains liquidity and risk management.
New method accurately evaluates asset pricing under uncertainty and ambiguity.
problem Accurately evaluating asset prices in markets with ambiguous and uncertain information.
method Proposes a new generative uncertainty mechanism based on Bayesian Inference and Correntropy (BIC) technique.
result Precise modeling of asset information can estimate price changes effectively.
Study detects fake news in Brazilian Portuguese using machine learning.
problem Spread of misinformation through fake news in Brazilian Portuguese.
method Machine learning, TF-IDF, Word2Vec, classification algorithms.
result High accuracy and F1-Score in identifying fake news.
Improved price bounds for multi-asset derivatives using market option data.
problem Creating robust price bounds for multi-asset derivatives under market-implied dependence.
method Extracting inter-asset dependence information from market option prices and applying modified martingale optimal transport.
result Improved price bounds for multi-asset derivatives, demonstrating relevance and tractability.
Geometric Brownian motion simulates stock prices for Brazilian small caps index.
problem Simulating stock prices for the Brazilian small caps index.
method Used geometric Brownian motion to simulate stock prices of Brazilian small caps index using historical data.
result Simulated prices better for portfolios with higher returns, lower risks, and higher Sharpe Indexes.
Study shows how market efficiency changes during the pandemic.
problem Understanding market efficiency during the pandemic.
method Applied time-varying vector autoregression model.
result Market efficiency changes over time and can be improved by enhanced linkages.