Although the economic literature on the optimal management of bank excess reserves is age-old and...

The relative efficiency of financial markets can be evaluated using algorithmic complexity theory. Using this...

We show that a two-harmonic log-periodic formula fits the high-frequency data from the Dow Jones...

An important open problem concerns the physical origin of long-range correlations, multifractality and fat tailed...

We analyze a stochastic model to describe the evolution of financial prices. We consider the...

Applied econometricians tend to show a long neglect for the proper frequency to be considered...

We carry out a statistical physics analysis of the flash crash of May 6, 2010...

In this work we are interested in the concept of market efficiency and its relationship...

If stock markets are complex, monetary policy and even financial regulation may be useless to...

A methodology based on the algorithmic complexity theory has been applied to assess the relative...

Financial economists usually assess market efficiency in absolute terms. This is to be viewed as...

Financial economists usually assess market efficiency in absolute terms. This is a shortcoming. One way...

We employ the Levy sections theorem in the analysis of selected dollar exchange rate time...

Based on long range dependence, some analysts claim that the exchange rate time series of...

This paper revisits the Levy sections theorem. We extend the scope of the theorem to...

The yuan-dollar changes prior to the 2005 revaluation show a Sierpinski triangle in an iterated...

We find evidence of weak informational efficiency in the Brazilian daily foreign exchange market using...

We revisit the finding that crashes can be deterministic and governed by log-periodic formulas. One-...

This paper considers independently distributed stochastic processes that are also nonidentically distributed. We find that...

This paper surveys the developments in the field of international finance, in particular the research...

Given that financial series are poorly described by Gaussian distributions, how can the volatility behavior...

There is a role for autocorrelations and power laws in the sum of stochastic variables....

The sluggish convergence of truncated Lévy flights to a Gaussian together with the scaling power...

We examine the role of nonlinear autocorrelations in the convergence to the Gaussian equilibrium and...

We employ our previously suggested exponentially damped Lévy flight to study the multiscaling properties of...

We survey some basic notions related to complex systems theory. (Portuguese)

Since real-world processes seem to depart from standard Levy distributions, modifications to the latter have...

We show that truncated Levy flights appear due to the presence of particular features of...

We suggest that the ultraslow speed of convergence associated with truncated Levy flights may be...

Price changes of the Chinese yuan-US dollar rate are found to display a Sierpinski triangle...

This article reviews some current interdisciplinary work on power laws.

The scaling of the probability distribution of the Sao Paulo Stock Exchange index is shown...

We evaluate whether the presence of China in world trade is ultimately beneficial or whether...

We find favorable evidence for the textbook equilibrium exchange rate model of Stockman using Blanchard...

We examine the relationship between stock returns and foreign investment in Brazil, and find that...

One positive aspect of the financial crisis was the boost to the dollar. However, global...

Employing data from 13 Latin American countries, we find that greater central bank independence is...

We consider the cointegration approach of generalized purchasing power parity to show that a necessary...

We examine the relationship between the US current account deficit, the international value of the...

The strong Brazilian currency between 1994 and 1998 led Brazilians to an unprecedented increase in...

Following the real appreciation of the US dollar in the first half of the 1980s,...

We show that the Marshall−Lerner condition holds for the Brazilian trade balance, and discard a...

Nontraded inputs account for the lion's share of a Big Mac price. Major departures from...

The article presents a classroom-suited version of the equilibrium exchange rate model of Stockman (1987)...

The paper provides a brief overview of the current state of exchange rate modeling.

This article generalizes the results shown in De Grauwe, Dewachter, and Embrechts (1993) in a...

This paper surveys the literature on chaos in exchange rates.

Massive foreign exchange interventions are shown to remove chaos and instability in the models of...

We conducted a questionnaire study with student subjects to look for explicit correlations between selected...

Overconfidence can lead to excessive business entry. Here we replicate the pioneer experiment finding this...

Applying a standard questionnaire (Lichtenstein and Fischhoff 1977) to a sample of 44 professional investors,...

A recent neurobiology study showed that monkeys systematically prefer risky targets in a visual gambling...

Investors seem to hold on to their losing stocks to a greater extent than they...

We adapt a genetic-based learning classifier system to a forecast evaluation exercise by making its...

Employing both cointegration analysis and a variety of Granger causality tests, we examine whether the...

We evaluate the performance of 307 Brazilian stock mutual funds employing stochastic frontiers. We list...

We put forward a technique based on cluster analysis to group stocks in spot markets...

We revisit the issue of comovements of emerging and developed stockmarkets, and provide a simultaneous...

In the literature of staggered wages, the discount factor is neglected in the workers’ loss...

Casey Mulligan suggested in The Economists' Voice that this recession was caused by "something [that]...

We checked for the presence of rational bubbles in the São Paulo Stock Exchange index...

We detected bubbles in 22 emerging stockmarkets using both standard and threshold cointegration. Eighteen stockmarkets...

We make a case for the usefulness of an optimal control approach for the central...

This paper presents favorable piece of evidence of the relationship between the Brazilian real output...

Prospect theory of risky choices has been extended to encompass intertemporal choices. Presentation of intertemporal...

This paper provides estimates of the elasticities of demand for the Brazilian basic plan of...

The Tsallis nonextensive entropy of the statistical physics literature exactly matches the previously defined Havrda-Charvat...

I argue that it is microeconomics that needs foundations, not macroeconomics. Preferences need to be...

I evaluate the just launched official criterion for assessing the economics research output in Brazil,...

A recent neurobiology study showed that monkeys systematically prefer risky targets in a visual gambling...

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