Henrique Ramos

Universidade Federal do Rio Grande do Sul (UFRGS)

Av. Carlos Gomes 1111

Porto Alegre, Rio Grande do Sul 90480-004

Brazil

  • Universidade Federal do Rio Grande do Sul (UFRGS)

SCHOLARLY PAPERS

5

DOWNLOADS

1,610

TOTAL CITATIONS

10

Scholarly Papers (5)

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1.

GetHFData: A R Package for Downloading and Aggregating High Frequency Trading Data from Bovespa

Number of pages: 33 Posted: 21 Aug 2016 Last Revised: 22 Nov 2016
Marcelo Perlin and Henrique Ramos
Escola de Administração - UFRGS and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 975 (50,803)
Citation 5

Abstract:

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high frequency data, Bovespa, market microstructure, R, reproducible research

2.

A Comparison of Risk Measures for Portfolio Optimization With Cardinality Constraints

Downloads 213 (303,657)
Citation 5

A Comparison of Risk Measures for Portfolio Optimization With Cardinality Constraints

Number of pages: 34 Posted: 27 Jun 2022
Henrique Ramos, Marcelo Righi, Pablo Guedes and Fernanda Maria Müller
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal do Rio Grande do Sul (UFRGS), Federal University of Rio Grande do Sul (UFRGS/PPGA) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 166 (380,517)

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cardinality constraints, coherent risk measures, risk, linear portfolio optimization, EVaR

A Comparison of Risk Measures for Portfolio Optimization with Cardinality Constraints

Number of pages: 37 Posted: 25 Aug 2022
Henrique Ramos, Marcelo Righi, Pablo Cristini Guedes and Fernanda Maria Müller
Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 47 (872,400)
Citation 5

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cardinality constraints, coherent risk measures, Risk, linear portfolio optimization, EVaR

3.

Liquidity and Algorithmic Trading in Brazil

Number of pages: 13 Posted: 02 Jul 2019
Henrique Ramos and Marcelo Perlin
Universidade Federal do Rio Grande do Sul (UFRGS) and Escola de Administração - UFRGS
Downloads 160 (393,114)

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Liquidity, Algorithmic trading, Spreads, Market microstructure

4.

Proper Liquidity Measures

Number of pages: 37 Posted: 12 May 2018 Last Revised: 20 Aug 2018
Henrique Ramos and Marcelo Righi
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 160 (393,114)

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Generalized Deviation Measure, Liquidity, Implied Volatility, Tail Risk

5.

Mispricing in the Odd Lots Market in Brazil

Number of pages: 22 Posted: 22 Jun 2017
Henrique Ramos, Marcelo Perlin and Marcelo Righi
Universidade Federal do Rio Grande do Sul (UFRGS), Escola de Administração - UFRGS and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 102 (559,286)

Abstract:

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Odd lots, market microstructure, liquidity B M &F Bovespa