Sergio Da Silva

Micro 2: Varian Passo a Passo

Sergio Da Silva — Mon, 06 Feb 2012 08:59:45 PST

Apresentação detalhada do material do livro-texto do Varian usado em cursos de Micro 2 no Brasil.

An Empirical Case Against the Use of Genetic-Based Learning Classifier Systems as Forecasting Devices

Jaqueson Galimberti et al. — Wed, 25 Jan 2012 14:31:02 PST

We adapt a genetic-based learning classifier system to a forecast evaluation exercise by making its key parameters endogenous and taking into account the need of convergence of the learning algorithm, an issue usually neglected in the literature. Doing so, we find it hard for the algorithm to beat simpler ones based on recursive regressions and on the random walk in forecasting stock returns. We then argue that our results cast doubts on the plausibility of using learning classifier systems to represent agents process of expectations formation, an approach commonly found into the agent-based computational finance literature.

Queuing Theory Applied to the Optimal Management of Bank Excess Reserves

Cleiton Taufemback et al. — Wed, 04 Jan 2012 16:19:05 PST

Although the economic literature on the optimal management of bank excess reserves is age-old and large, here we suggest a fresh, more practical approach based on queuing theory.

Biological Correlates of the Allais Paradox

Sergio Da Silva et al. — Mon, 17 Oct 2011 16:40:39 PDT

We conducted a questionnaire study with student subjects to look for explicit correlations between selected biological characteristics of the subjects and manifestation of the Allais paradox in the pattern of their choices between sets of two pairs of risky prospects. We found that particular characteristics, such as gender, menstrual cycle, mother's age at delivery, parenthood, second- to fourth-digit ratio, perceived negative life events, and emotional state, can be related to the paradox. Women, particularly when not menstruating, are less susceptible to the paradox. Those born to not-too-young mothers are also less prone to the paradox. The same holds true for men who have fathered children and had been exposed to high levels of prenatal testosterone, people who had experienced many negative life events, and those who were anxious, excited, aroused, happy, active, or fresh at the time of the experiment. Further, left-handers and atheists may be less inclined to display the paradox.

Economia Comportamental

Sergio Da Silva — Mon, 26 Sep 2011 07:40:40 PDT

Jump Diffusion Models and the Evolution of Financial Prices

Annibal Figueiredo et al. — Thu, 08 Sep 2011 14:58:26 PDT

We analyze a stochastic model to describe the evolution of financial prices. We consider the stochastic term as a sum of the Wiener noise and a jump process. We point to the effects of the jumps on the return time evolution, a central concern of the econophysics literature. The presence of jumps suggests that the process can be described by an infinitely divisible characteristic function belonging to the De Finetti class. We then extend the De Finetti functions to a generalized nonlinear model and show the model to be capable of explaining return behavior.

Overconfidence and Excess Entry: A Comparison between Students and Managers

A. Felipe Rodrigues et al. — Wed, 07 Sep 2011 11:35:10 PDT

Overconfidence can lead to excessive business entry. Here we replicate the pioneer experiment finding this nexus (Camerer and Lovallo 1999) and extend it in two major directions: (1) to consider managers as well as student subjects and (2) to explicitly take into account selected characteristics of the manager subjects. We find that managers are more prone to the nexus overconfidence-excess entry than students are. In particular, we find that left-handed, married, and emotionally aroused managers are more prone to excess entry.

Preferencias

Sergio Da Silva — Fri, 15 Jul 2011 10:49:02 PDT

A Log-Periodic Fit for the Flash Crash of May 6, 2010

Raul Matsushita et al. — Fri, 17 Jun 2011 06:50:37 PDT

We show that a two-harmonic log-periodic formula fits the high-frequency data from the Dow Jones Industrial Average index, which encompass the recent episode known as the “flash crash” of May 6, 2010.

Utilidade: PowerPoint

Sergio Da Silva — Tue, 07 Jun 2011 12:16:05 PDT

Algorithmic Complexity Theory Detects Decreases in the Relative Efficiency of Stock Markets in the Aftermath of the 2008 Financial Crisis

Cleiton Taufemback et al. — Sun, 05 Jun 2011 14:53:37 PDT

The relative efficiency of financial markets can be evaluated using algorithmic complexity theory. Using this approach we detect decreases in efficiency rates of the major stocks listed on the Sao Paulo Stock Exchange in the aftermath of the 2008 financial crisis.

Monopolio: PowerPoint

Sergio Da Silva — Sat, 26 Mar 2011 12:18:09 PDT

Fat Tails, Long-Range Correlations and Multifractality as Emergent Properties in Nonstationary Time Series

Frederico Passos et al. — Sat, 26 Feb 2011 16:25:31 PST

An important open problem concerns the physical origin of long-range correlations, multifractality and fat tailed distributions observed in heteroscedastic time series associated with complex systems. Financial stylized facts provides one useful example usually not explained by traditional economic models. We investigate the behavior of an agent based model consisting of N agents which interact with each other via fixed rules. We show that fat tailed distributions, long-range correlations, heteroscedasticity and multifractality arise as N becomes large. Our findings suggest that such stylized facts can in principle arise as emergent properties.

The Canonical Econophysics Approach to the Flash Crash of May 6, 2010

Joao Mazzeu et al. — Thu, 24 Feb 2011 17:20:51 PST

We carry out a statistical physics analysis of the flash crash of May 6, 2010 using data from the Dow Jones Industrial Average index sampled at a one-minute frequency from September 1, 2009 to May 31, 2010. We evaluate the hypothesis of a non-Gaussian Levy-stable distribution to model the data and pay particular attention to the distribution-tail behavior. We conclude that there is non-Gaussian scaling and thus that the flash crash cannot be considered an anomaly. From the study of tails, we find that the flash crash followed a power-law pattern outside the Levy regime, which was not the inverse cubic law. Finally, we show that the time-dependent variance of the DJIA-index returns, not tracked by the Levy, can be modeled in a straightforward manner by a GARCH (1, 1) process.

Restricao Orcamentaria

Sergio Da Silva — Wed, 23 Feb 2011 09:35:52 PST

Teoria dos Jogos II

Sergio Da Silva — Mon, 14 Feb 2011 05:13:21 PST

Spectral Analysis Informs the Proper Frequency in the Sampling of Financial Time Series Data

Cleiton Taufemback et al. — Wed, 09 Feb 2011 15:51:43 PST

Applied econometricians tend to show a long neglect for the proper frequency to be considered while sampling the time series data. The present study shows how spectral analysis can be usefully employed to fix this problem. The case is illustrated with ultra-high-frequency data and daily prices of four selected stocks listed on the Sao Paulo stock exchange.

Teoria dos Jogos

Sergio Da Silva — Wed, 09 Feb 2011 07:38:33 PST

Oligopólio

Sergio Da Silva — Mon, 07 Feb 2011 08:02:43 PST

Comportamento Monopolista no Mercado de Fatores

Sergio Da Silva — Fri, 04 Feb 2011 06:07:38 PST