Marcelo Perlin

Escola de Administração - UFRGS

Professor Adjunto

Porto-Alegre RS

Brazil

http://sites.google.com/site/marceloperlin/

SCHOLARLY PAPERS

16

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23,423

CITATIONS
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SSRN RANKINGS

Top 16,366

in Total Papers Citations

43

Scholarly Papers (16)

1.

MS_Regress - The MATLAB Package for Markov Regime Switching Models

Number of pages: 39 Posted: 26 Nov 2010 Last Revised: 20 Apr 2015
Marcelo Perlin
Escola de Administração - UFRGS
Downloads 8,434 (598)
Citation 28

Abstract:

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Markov switching models, Financial econometrics, Matlab

2.

M of a Kind: A Multivariate Approach at Pairs Trading

Number of pages: 25 Posted: 21 Dec 2006 Last Revised: 28 Dec 2007
Marcelo Perlin
Escola de Administração - UFRGS
Downloads 6,254 (1,007)
Citation 4

Abstract:

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Pairs Trading, Quantitative Strategy, Market Efficiency

3.

Evaluation of Pairs Trading Strategy at the Brazilian Financial Market

Journal of Derivatives & Hedge Funds, Vol. 15, pp. 122-136
Number of pages: 28 Posted: 19 Dec 2006 Last Revised: 01 May 2010
Marcelo Perlin
Escola de Administração - UFRGS
Downloads 5,398 (1,298)
Citation 1

Abstract:

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Pairs Trading, Quantitative Strategy, Market Efficiency

4.

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 640 (40,019)
Citation 2

Abstract:

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

5.

Can We Predict the Financial Markets Based on Google's Search Queries?

Number of pages: 24 Posted: 17 Nov 2014 Last Revised: 14 Sep 2016
Escola de Administração - UFRGS, Universidade Federal do Rio Grande do Sul (UFRGS), Universidade Federal de Santa Catarina (UFSC) - Department of Economics and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 425 (67,280)
Citation 1

Abstract:

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market microstructure, investor attention, google trends, internet search volume

6.

Accessing Financial Reports and Corporate Events with GetDFPdata

Number of pages: 38 Posted: 03 Mar 2018 Last Revised: 14 Mar 2018
Marcelo Perlin, Guilherme Kirch and Daniel Vancin
Escola de Administração - UFRGS, Universidade Federal do Rio Grande do Sul (UFRGS) and UFRGS
Downloads 347 (85,329)

Abstract:

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B3, GetDFPData, R, financial reports, corporate events

7.

The Determinants of a Cross Market Arbitrage Opportunity: Theory and Evidence for the European Bond Market

Number of pages: 30 Posted: 07 Jun 2010 Last Revised: 26 Jan 2015
Marcelo Perlin, Alfonso Dufour and Chris Brooks
Escola de Administração - UFRGS, ICMA Centre, Henley Business School, University of Reading and University of Reading - ICMA Centre
Downloads 338 (87,906)

Abstract:

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Arbitrage Opportunities, Negative Spreads, Market Microstructure, Market Efficiency

8.

Is Predatory Publishing a Real Threat? Evidence from a Large Database Study

Number of pages: 20 Posted: 13 Nov 2017 Last Revised: 25 Mar 2018
Marcelo Perlin, Takeyoshi Imasato and Denis Borenstein
Escola de Administração - UFRGS, Universidade Federal do Rio Grande do Sul (UFRGS) - Escola de Administracao and Federal University of Rio Grande do Sul (UFRGS/PPGA), Management School
Downloads 322 (92,780)

Abstract:

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Predatory Publishing, Beall's List, Open Access, Lattes Platform

9.

An Empirical Model for Spillover Effects in Price Discovery with Application to the European Bond Market

Number of pages: 22 Posted: 15 Apr 2010 Last Revised: 16 Aug 2012
Marcelo Perlin, Alfonso Dufour and Chris Brooks
Escola de Administração - UFRGS, ICMA Centre, Henley Business School, University of Reading and University of Reading - ICMA Centre
Downloads 318 (94,063)

Abstract:

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market microstructure, spillover effect, commonalities, liquidity, price impact of a trade

10.

Creating and Grading Latex Exams with Randomized Content Using RndTexExams

Number of pages: 14 Posted: 09 Jul 2016
Marcelo Perlin
Escola de Administração - UFRGS
Downloads 312 (96,083)

Abstract:

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exams, cheating, multiple choice, LaTeX, examdesign

11.

Estimating the Intensity of News Based on Trade Data

Number of pages: 20 Posted: 11 May 2012 Last Revised: 20 Dec 2012
Marcelo Perlin
Escola de Administração - UFRGS
Downloads 207 (146,169)

Abstract:

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impact of news, market microstructure

12.

On the Performance of the Tick Test

Quarterly Review of Economics and Finance, Vol. 54, No. 1, 2014
Number of pages: 22 Posted: 22 Jul 2011 Last Revised: 27 Jan 2015
Marcelo Perlin, Chris Brooks and Alfonso Dufour
Escola de Administração - UFRGS, University of Reading - ICMA Centre and ICMA Centre, Henley Business School, University of Reading
Downloads 171 (174,009)

Abstract:

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tick test, market microstructure, sign of a trade, PIN

A Consumer Credit Risk Structural Model Based on Affordability: Balance at Risk

Number of pages: 18 Posted: 26 Mar 2016 Last Revised: 05 Apr 2016
Marcelo Perlin, Marcelo Righi and Tiago Filomena
Escola de Administração - UFRGS, Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 128 (221,641)

Abstract:

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balance at risk, credit risk, personal finance

A Consumer Credit Risk Structural Model Based on Affordability: Balance at Risk

Journal of Credit Risk, Vol. 15, No. 2, 2019
Number of pages: 20 Posted: 18 Jun 2019
Marcelo Perlin, Marcelo Righi and Tiago Filomena
Escola de Administração - UFRGS, Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 1 (681,444)
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credit risk, balance at risk (BaR), personal finance, cashflow

14.

System-Wide Liquidity Risk in the United Kingdom’s Large-Value Payment System: An Empirical Analysis

Bank of England Working Paper No. 427
Number of pages: 34 Posted: 31 May 2011
Marcelo Perlin and Jochen F. Schanz
Escola de Administração - UFRGS and Bank for International Settlements (BIS)
Downloads 70 (327,688)

Abstract:

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Payment systems, banks, network models, contagion, systemic risk, liquidity risk

15.

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 44 (407,306)

Abstract:

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

16.

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 14 (554,587)

Abstract:

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Liquidity, Algorithmic trading, Spreads, Market microstructure