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João Frois Caldeira,Gulherme Valle Moura
Pág. 49 - 80
Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean- reverting spreads with a certain degree of predictability. This paper applies cointegration tests to identify stocks to be used in pairs tr...
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João Frois Caldeira,Marcelo Savino Portugal
Pág. 469 - 504
The traditional models to optimize portfolios based on mean-variance analysis aim to determine the portfolio weights that minimize the variance for a certain return level. The covariance matrices used to optimize are difficult to estimate and ad hoc meth...
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Abdellilah Nafia, Abdellah Yousfi and Abdellah Echaoui
In recent years, a great deal of attention has been devoted to the use of neural networks in portfolio management, particularly in the prediction of stock prices. Building a more profitable portfolio with less risk has always been a challenging task. In ...
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Fabio Pizzutilo
Pág. 763 - 771
We investigated the profitability of a simple and easily implementable pairs trading strategy that included trading costs and restrictions to short selling so as to replicate an effective strategy exploitable by an individual investor. Notwithstanding th...
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Markus Arlindo Monteiro, Bennie Grové and Nicolette Matthews
Grain marketing is complex because important decisions are made on the timing of sales and the quantities sold at every trading activity. The literature suggest various grain-hedging strategies, however these strategies are not adaptable to changing mark...
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Luiz Carlos Bresser-Pereira
Pág. 16 - 32
To grow, nation states need a capable and efficient state organization. Independently of choosing a market or state led growth strategy, an effective or capable state is essential to guarantee the rule of law and to act as main instrument of a national g...
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Luiz Carlos Bresser-Pereira
Pág. 16 - 32
To grow, nation states need a capable and efficient state organization. Independently of choosing a market or state led growth strategy, an effective or capable state is essential to guarantee the rule of law and to act as main instrument of a national g...
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Ramazan Çakmakçi, Mehmet Ali Salik and Songül Çakmakçi
Feeding the world depends on protecting our valuable ecosystems and biodiversity. Currently, increasing public awareness of the problems posed by the current industrialized food system has resulted in increased support for the creative market for economi...
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Agatangelo Soler Montellano
Pág. 4 - 19
The indeterminacy of the domestic space is one of the main trends in flexible housing design. It involves the possibility of using the rooms in a dwelling in multiple ways that are not determined by the architect. The views of non-functionalist housing a...
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Dominik Metelski and Janusz Sobieraj
Decentralized finance (DeFi) protocols use blockchain-based tools to mimic banking, investment and trading solutions and provide a viable framework that creates incentives and conditions for the development of an alternative financial services market. In...
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