Marcelo Perlin

Escola de Administração - UFRGS

Professor Adjunto

Porto-Alegre RS

Brazil

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

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 1,913

SSRN RANKINGS

Top 1,913

in Total Papers Downloads

29,367

SSRN CITATIONS
Rank 22,078

SSRN RANKINGS

Top 22,078

in Total Papers Citations

15

CROSSREF CITATIONS

41

Scholarly Papers (16)

1.

MS_Regress - The MATLAB Package for Markov Regime Switching Models

Number of pages: 40 Posted: 26 Nov 2010 Last Revised: 09 Jan 2024
Marcelo Perlin
Escola de Administração - UFRGS
Downloads 10,589 (947)
Citation 47

Abstract:

Loading...

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 7,414 (1,722)
Citation 8

Abstract:

Loading...

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 5,846 (2,568)
Citation 3

Abstract:

Loading...

Pairs Trading, Quantitative Strategy, Market Efficiency

4.

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 1,152 (34,561)

Abstract:

Loading...

exams, cheating, multiple choice, LaTeX, examdesign

5.

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 941 (46,066)
Citation 5

Abstract:

Loading...

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

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 645 (76,196)

Abstract:

Loading...

B3, GetDFPData, R, financial reports, corporate events

7.

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 de Santa Catarina & CNPq, Federal University of Santa Catarina (UFSC) - Department of Economics and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 526 (98,384)
Citation 2

Abstract:

Loading...

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

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 399 (136,485)

Abstract:

Loading...

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

9.

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 Bristol - School of Economics, Finance and Management
Downloads 383 (142,878)

Abstract:

Loading...

Arbitrage Opportunities, Negative Spreads, Market Microstructure, Market Efficiency

10.

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 Bristol - School of Economics, Finance and Management
Downloads 356 (155,067)

Abstract:

Loading...

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

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 321 (172,181)

Abstract:

Loading...

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 2 (1,148,147)
  • Add to Cart

Abstract:

Loading...

credit risk, balance at risk (BaR), personal finance, cashflow

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 Bristol - School of Economics, Finance and Management and ICMA Centre, Henley Business School, University of Reading
Downloads 241 (232,188)
Citation 1

Abstract:

Loading...

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

13.

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 227 (245,972)

Abstract:

Loading...

impact of news, market microstructure

14.

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 138 (379,531)

Abstract:

Loading...

Liquidity, Algorithmic trading, Spreads, Market microstructure

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 94 (502,277)

Abstract:

Loading...

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

16.

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 93 (505,777)
Citation 1

Abstract:

Loading...

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