A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
This paper calculates risk-dependent centrality of Brazilian stocks, showing rankings vary with external risk and crisis events.
Study finds inefficiency in Brazilian stock market through correlations and fat-tailed returns.
Study on neural networks for predicting Brazilian stock returns.
Efficiently calculates Brazilian stock options with discrete dividends.
Geometric Brownian motion simulates stock prices for Brazilian small caps index.
Deep learning outperforms Black-Scholes in Brazilian Petrobras option pricing.
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…
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…
AlphaX uses AI to outperform Brazilian stock market benchmarks.
The validity of the Efficient Market Hypothesis has been under severe scrutiny since several decades. However, the evidence against it is not conclusive. Artificial Neural Networks provide a model-free means to analize the prediction power of past returns on current returns. This chapter analizes the predictability in …
Mutual information minimum spanning trees are used to explore nonlinear dependencies on Brazilian equity network in the periods from June/01/2015 to January/26/2016, in which Brazil was under the government of President Dilma Rousseff, and from January/27/2016 to September/08/2016 which includes the government transiti…
Hybrid model uses TOPSIS, EMD, and ELM for stock selection.
Optimal stock portfolio strategy using information theory and Tsallis statistics.
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 …
The study uses music chords to predict Brazilian music genres.
By using Random Matrix Theory, we build covariance matrices between stocks of the BM&F-Bovespa (Bolsa de Valores, Mercadorias e Futuros de São Paulo) which are cleaned of some of the noise due to the complex interactions between the many stocks and the finiteness of available data. We also use a regression model in ord…
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…
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 …
Paper classifies Brazilian music genres using song lyrics with BLSTM network.
We consider the Fractionally Integrated Exponential Generalized Autoregressive Conditional Heteroskedasticity process, denoted by FIEGARCH(p,d,q), introduced by Bollerslev and Mikkelsen (1996). We present a simulated study regarding the estimation of the risk measure on FIEGARCH processes. We consider the distr…
Neural network learns to solve Black-Scholes for stock options.
We report an empirical study of the Ibovespa index of the Sao Paulo Stock Exchange in which we detect the existence of long-range correlations. To analyze our data we introduce a rescaled variant of the usual Detrended Fluctuation Analysis that allows us to obtain the Hurst exponent through a one-parameter fitting. We …
Study analyzes Brazilian congress members' spending patterns.
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…
The Brazilian automotive market is concentrated but evolving towards a less monopolistic structure.
Study detects fake news in Brazilian Portuguese using machine learning.
We investigate the Brazilian personal income distribution using data from National Household Sample Survey (PNAD), an annual research available by the Brazilian Institute of Geography and Statistics (IBGE). It provides general characteristics of the country's population. Using PNAD data background we also confirm the e…
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…
Lecture notes for a minicourse to given in the XVII Brazilian School of Geometry, UFAM (Amazonas), Brazil, July 2012.
This tutorial introduces quantum computing for financial portfolio optimization.
Develops a three-currency HJM framework for Brazilian credit markets, finding significant credit spread differences between indexed segments.
Lecture notes for the minicourse "Holonomy Groups in Riemannian geometry", a part of the XVII Brazilian School of Geometry, to be held at UFAM (Amazonas, Brazil), in July of 2012.
These are the very unpretentious lecture notes for the minicourse "Introduction to evolution equations in Geometry," a part of the Brazilian Colloquium of Mathematics held at IMPA, in July of 2009.
This book was intended to serve as supporting material for a mini-course on web geometry delivered at the 27th Brazilian Mathematical Colloquium which took place at IMPA in the last week of July 2009.
This paper discusses the empirical validity of Goodwin's (1967) macroeconomic model of growth with cycles by assuming that the individual income distribution of the Brazilian society is described by the Gompertz-Pareto distribution (GPD). This is formed by the combination of the Gompertz curve, representing the overwhe…
In this paper, we explore and detail our experiments in a high-dimensionality, multi-class image classification problem often found in the automatic recognition of Sign Languages. Here, our efforts are directed towards comparing the characteristics, advantages and drawbacks of creating and training Support Vector Machi…
Optimal income crossover found using particle swarm optimization.
The use of features extracted using a deep convolutional neural network (CNN) combined with a writer-dependent (WD) SVM classifier resulted in significant improvement in performance of handwritten signature verification (HSV) when compared to the previous state-of-the-art methods. In this work it is investigated whethe…
Study on supply chain networks using wire transfers in Brazil.
Introduces scale calculus and M-polyfolds for graduate students.
Machine learning improves early detection of patient deterioration in Brazilian hospitals.
Automatic Offline Handwritten Signature Verification has been researched over the last few decades from several perspectives, using insights from graphology, computer vision, signal processing, among others. In spite of the advancements on the field, building classifiers that can separate between genuine signatures and…
This article contains the lecture notes for the short course ``Introduction to Econophysics,'' delivered at the II Brazilian School on Statistical Mechanics, held in Sao Carlos, Brazil, in February 2004. The main goal of the present notes is twofold: i) to provide a brief introduction to the problem of pricing financia…
The purpose of this paper is to identify a relevant statistical correlation between rate of default, RD, and loss given default, LGD, in a major Brazilian financial institution Retail Home Equity exposure rated using the IRB approach, so that we may find a causal relationship between the two risk parameters. Therefore,…
Study shows Lula's Zero Hunger program reduced income inequality in Brazil.
This paper studies the dynamics of Brazilian interest rates for short-term maturities. The paper employs developed techniques in the econophysics literature and tests for long-range dependence in the term structure of these interest rates for the last decade. Empirical results suggest that the degree of long-range depe…
We propose a diffusion process to describe the global dynamic evolution of credit operations at a national level given observed operations at a subnational level in a sovereign country. Empirical analysis with a unique dataset from Brazilian federate constituents supports the conclusions. Despite the heterogeneity obse…
SFC aims to protect the Amazon with a digital currency and smart contracts.