Choice Theory
Large Sharpening Intertemporal Prospect Theory (with Pushpa Rathie and Carlos Radavelli), Applied Mathematical Sciences (2007)
Prospect theory of risky choices has been extended to encompass intertemporal choices. Presentation of intertemporal...
Economic History
Economic Methodology
Does Macroeconomics Need Microeconomic Foundations?, Economics (2009)
I argue that it is microeconomics that needs foundations, not macroeconomics. Preferences need to be...
Going Parochial in the Assessment of the Brazilian Economics Research Output, Economics Bulletin (2009)
I evaluate the just launched official criterion for assessing the economics research output in Brazil,...
Econophysics
Ranking the Stocks Listed on Bovespa according to their Relative Efficiency (with Ricardo Giglio), Applied Mathematical Sciences (2009)
A methodology based on the algorithmic complexity theory has been applied to assess the relative...
Algorithmic Complexity Theory and the Relative Efficiency of Financial Markets (with Ricardo Giglio, Raul Matsushita, Annibal Figueiredo, and Iram Gleria), Europhysics Letters (2008)
Financial economists usually assess market efficiency in absolute terms. This is to be viewed as...
The Relative Efficiency of Stockmarkets (with Ricardo Giglio and Raul Matsushita), Economics Bulletin (2008)
Financial economists usually assess market efficiency in absolute terms. This is a shortcoming. One way...
The Levy Sections Theorem: An Application to Econophysics (with Annibal Figueiredo, Raul Matsushita, Maurizio Serva, Gandhi Viswanathan, Cesar Nascimento, and Iram Gleria), Physica A (2007)
We employ the Levy sections theorem in the analysis of selected dollar exchange rate time...
Are Pound and Euro the Same Currency? (with Raul Matsushita, Annibal Figueiredo, and Iram Gleria), Physics Letters A (2007)
Based on long range dependence, some analysts claim that the exchange rate time series of...
The Levy Sections Theorem Revisited (with Annibal Figueiredo, Iram Gleria, and Raul Matsushita), Journal of Physics A (2007)
This paper revisits the Levy sections theorem. We extend the scope of the theorem to...
The Chinese Chaos Game (with Raul Matsushita, Iram Gleria, and Annibal Figueiredo), Physica A (2007)
The yuan-dollar changes prior to the 2005 revaluation show a Sierpinski triangle in an iterated...
Hurst Exponents, Power Laws, and Efficiency in the Brazilian Foreign Exchange Market (with Raul Matsushita, Iram Gleria, and Annibal Figueiredo), Economics Bulletin (2007)
We find evidence of weak informational efficiency in the Brazilian daily foreign exchange market using...
Log-Periodic Crashes Revisited (with Raul Matsushita, Annibal Figueiredo, and Iram Gleria), Physica A (2006)
We revisit the finding that crashes can be deterministic and governed by log-periodic formulas. One-...
Nonidentically Distributed Variables and Nonlinear Autocorrelation (with Annibal Figueiredo, Iram Gleria, and Raul Matsushita), Physica A (2006)
This paper considers independently distributed stochastic processes that are also nonidentically distributed. We find that...
International Finance, Lévy Distributions, and the Econophysics of Exchange Rates (with Raul Matsushita, Iram Gleria, Annibal Figueiredo, and Pushpa Rathie), Communications in Nonlinear Science and Numerical Simulation (2005)
This paper surveys the developments in the field of international finance, in particular the research...
Financial Volatility and Independent Identically Distributed Variables (with Annibal Figueiredo, Iram Gleria, and Raul Matsushita), Physica A (2005)
Given that financial series are poorly described by Gaussian distributions, how can the volatility behavior...
Exponentially Damped Levy Flights, Multiscaling, and Slow Convergence in Stockmarkets (with Iram Gleria, Annibal Figueiredo, Raul Matsushita, and Pushpa Rathie), Physica A (2004)
There is a role for autocorrelations and power laws in the sum of stochastic variables....
Levy Flights, Autocorrelation, and Slow Convergence (with Annibal Figueiredo, Iram Gleria, and Raul Matsushita), Physica A (2004)
The sluggish convergence of truncated Lévy flights to a Gaussian together with the scaling power...
Autocorrelation and the Sum of Stochastic Variables (with Annibal Figueiredo, Iram Gleria, and Raul Matsushita), Physics Letters A (2004)
We examine the role of nonlinear autocorrelations in the convergence to the Gaussian equilibrium and...
Exponentially Damped Lévy Flights, Multiscaling, and Exchange Rates (with Raul Matsushita, Iram Gleria, Annibal Figueiredo, and Rathie Rathie), Physica A (2004)
We employ our previously suggested exponentially damped Lévy flight to study the multiscaling properties of...
Sistemas Complexos, Criticalidade e Leis de Potencia (with Iram Gleria and Raul Matsushita), Revista Brasileira de Ensino de Física (2004)
We survey some basic notions related to complex systems theory. (Portuguese)
Exponentially Damped Levy Flights (with Raul Matsushita and Pushpa Rathie), Physica A (2003)
Since real-world processes seem to depart from standard Levy distributions, modifications to the latter have...
On the Origins of Truncated Levy Flights (with Annibal Figueiredo, Iram Gleria, and Raul Matsushita), Physics Letters A (2003)
We show that truncated Levy flights appear due to the presence of particular features of...
Autocorrelation as a Source of Truncated Lévy Flights in Foreign Exchange Rates (with Annibal Figueiredo, Iram Gleria, and Raul Matsushita), Physica A (2003)
We suggest that the ultraslow speed of convergence associated with truncated Levy flights may be...
Fractal Structure in the Chinese Yuan-US Dollar Rate (with Raul Matsushita, Iram Gleria, and Annibal Figueiredo), Economics Bulletin (2003)
Price changes of the Chinese yuan-US dollar rate are found to display a Sierpinski triangle...
Criticality, Brazilian Journal of Business Economics (2002)
This article reviews some current interdisciplinary work on power laws.
Scaling Power Laws in the Sao Paulo Stock Exchange (with Iram Gleria and Raul Matsushita), Economics Bulletin (2002)
The scaling of the probability distribution of the Sao Paulo Stock Exchange index is shown...
Experimental Economics
Disposition Effect and Gender (with Newton Da Costa Jr and Carlos Mineto), Applied Economics Letters (2008)
Investors seem to hold on to their losing stocks to a greater extent than they...
Risk-Seeking Behavior of Preschool Children in a Gambling Task (2008)
A recent neurobiology study showed that monkeys systematically prefer risky targets in a visual gambling...
Finance
Is the Brazilian Stockmarket Efficient? (with Caio Guttler and Roberto Meurer), Economics Bulletin (2008)
Employing both cointegration analysis and a variety of Granger causality tests, we examine whether the...
Evaluating Brazilian Mutual Funds with Stochastic Frontiers (with Andre Santos, Joao Tusi, and Newton Da Costa Jr), Economics Bulletin (2005)
We evaluate the performance of 307 Brazilian stock mutual funds employing stochastic frontiers. We list...
Stock Selection Based on Cluster Analysis (with Newton Da Costa Jr and Jefferson Cunha), Economics Bulletin (2005)
We put forward a technique based on cluster analysis to group stocks in spot markets...
Stockmarket Comovements Revisited (with Newton Da Costa Jr, Silvia Nunes, and Paulo Ceretta), Economics Bulletin (2005)
We revisit the issue of comovements of emerging and developed stockmarkets, and provide a simultaneous...
Game Theory
Industrial Organization
Estimating Demand Elasticities of Fixed Telephony in Brazil (with Gustavo Manfrim), Economics Bulletin (2007)
This paper provides estimates of the elasticities of demand for the Brazilian basic plan of...
International Finance
Crisis, Imbalance, and Prospects for the Dollar, Currency Trader (2009)
One positive aspect of the financial crisis was the boost to the dollar. However, global...
Foreign Exchange Intervention and Central Bank Independence: The Latin American Experience (with Mauricio Nunes), Applied Financial Economics Letters (2008)
Employing data from 13 Latin American countries, we find that greater central bank independence is...
Is Mercosur an Optimum Currency Area? An Assessment Using Generalized Purchasing Power Parity (with J. Anchieta Neves and Leandro Stocco), Economics Bulletin (2008)
We consider the cointegration approach of generalized purchasing power parity to show that a necessary...
Winners and Losers from Dollar Depreciation (with Gabrielle De Lima and Roberto Meurer), Economic Affairs (2008)
We examine the relationship between the US current account deficit, the international value of the...
Travel Hysteresis in the Brazilian Current Account (with Roberto Meurer and Guilherme Moura), Economics Bulletin (2005)
The strong Brazilian currency between 1994 and 1998 led Brazilians to an unprecedented increase in...
Travel Hysteresis in the US Current Account After the Mid-1980s (with Roberto Meurer and Guilherme Moura), Economics Bulletin (2005)
Following the real appreciation of the US dollar in the first half of the 1980s,...
Is There a Brazilian J−Curve? (with Guilherme Moura), Economics Bulletin (2005)
We show that the Marshall−Lerner condition holds for the Brazilian trade balance, and discard a...
Big Mac Parity, Income, and Trade (with Sidney Caetano and Guilherme Moura), Economics Bulletin (2004)
Nontraded inputs account for the lion's share of a Big Mac price. Major departures from...
Classroom Guide to the Equilibrium Exchange Rate Model, Economic Issues (2002)
The article presents a classroom-suited version of the equilibrium exchange rate model of Stockman (1987)...
A Brief Overview of the Current State of Exchange Rate Modeling, Brazilian Journal of Business Economics (2002)
The paper provides a brief overview of the current state of exchange rate modeling.
A Brief Overview of the Current State of Exchange Rate Modeling, Brazilian Journal of Business Economics (2002)
The paper provides a brief overview of the current state of exchange rate modeling.
Chaotic Exchange Rate Dynamics Redux, Open Economies Review (2001)
This article generalizes the results shown in De Grauwe, Dewachter, and Embrechts (1993) in a...
Chaos and Exchange Rates, Estudos Empresariais (2001)
This paper surveys the literature on chaos in exchange rates.
The Role of Foreign Exchange Intervention in a Chaotic Dornbusch Model, Kredit und Kapital (2000)
Massive foreign exchange interventions are shown to remove chaos and instability in the models of...
Macroeconomics
Bolhas Racionais no Indice Bovespa (with Mauricio Nunes), Revista Brasileira de Economia (2009)
We checked for the presence of rational bubbles in the São Paulo Stock Exchange index...
Explosive and Periodically Collapsing Bubbles in Emerging Stockmarkets (with Mauricio Nunes), Economics Bulletin (2008)
We detected bubbles in 22 emerging stockmarkets using both standard and threshold cointegration. Eighteen stockmarkets...
Optimal Control Theory for Inflation Targeting (with Thiago Veloso and Roberto Meurer), Economics Bulletin (2008)
We make a case for the usefulness of an optimal control approach for the central...
Política Monetária e a Relação entre PIB Real e Mercado de Ações na Economia Brasileira (with Mauricio Nunes), Indicadores Econômicos FEE (2005)
This paper presents favorable piece of evidence of the relationship between the Brazilian real output...
Microeconomics
Neuroeconomics
Statistical Physics
Shannon, Levy, and Tsallis: A Note (with Pushpa Rathie), Applied Mathematical Sciences (2008)
The Tsallis nonextensive entropy of the statistical physics literature exactly matches the previously defined Havrda-Charvat...