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Marcelo Perlin

Personal Details

First Name:Marcelo
Middle Name:
Last Name:Perlin
Suffix:
RePEc Short-ID:ppe304
http://www.icmacentre.ac.uk/about_us/doctoral_research_staff/mr_marcelo_perlin

Research output

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Working papers

  1. Perlin, Marcelo & Santos, André & Imasato, Takeyoshi & Borenstein, Denis & Da Silva, Sergio, 2017. "The Brazilian scientific output published in journals: A study based on a large CV database," MPRA Paper 79662, University Library of Munich, Germany.
  2. Perlin, Marcelo & Schanz, Jochen, 2011. "System-wide liquidity risk in the United Kingdom’s large-value payment system: an empirical analysis," Bank of England working papers 427, Bank of England.
  3. Perlin, Marcelo & Dufour, Alfonso & Brooks, Chris, 2010. "A Microstructure Model for Spillover Effects in Price Discovery: A Study for the European Bond Market," MPRA Paper 23380, University Library of Munich, Germany.
  4. Perlin, Marcelo & Dufour, Alfonso & Brooks, Chris, 2010. "The Drivers of Cross Market Arbitrage Opportunities: Theory and Evidence for the European Bond Market," MPRA Paper 23381, University Library of Munich, Germany.
  5. Perlin, M., 2007. "M of a kind: A Multivariate Approach at Pairs Trading," MPRA Paper 8309, University Library of Munich, Germany.
  6. Perlin, M., 2007. "Evaluation of pairs trading strategy at the Brazilian financial market," MPRA Paper 8308, University Library of Munich, Germany.

Articles

  1. Marcelo S. Perlin & João F. Caldeira & André A. P. Santos & Martin Pontuschka, 2017. "Can We Predict the Financial Markets Based on Google's Search Queries?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(4), pages 454-467, July.
  2. Ramos, Henrique P. & Perlin, Marcelo S. & Righi, Marcelo B., 2017. "Mispricing in the odd lots market in Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 618-628.
  3. Marcelo Scherer Perlin & André Portela Santos, 2015. "The researchers, the publications and the journals of Finance in Brazil: An analysis based on resumes from the Lattes platform," Brazilian Review of Finance, Brazilian Society of Finance, vol. 13(2), pages 162-199.
  4. Marcelo Perlin & Alfonso Dufour & Chris Brooks, 2014. "The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market," Annals of Finance, Springer, vol. 10(3), pages 457-480, August.
  5. Perlin, Marcelo & Brooks, Chris & Dufour, Alfonso, 2014. "On the performance of the tick test," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 42-50.
  6. Marcelo Perlin, 2013. "The effects of the introduction of market makers in the Brazilian equity market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 11(2), pages 281-304.
  7. Fernanda Gomes Victor & Marcelo Scherer Perlin & Mauro Mastella, 2013. "Commonalities in Liquidity: Evidence and Intraday Patterns in the Brazilian Market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 11(3), pages 375-398.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Perlin, Marcelo & Schanz, Jochen, 2011. "System-wide liquidity risk in the United Kingdom’s large-value payment system: an empirical analysis," Bank of England working papers 427, Bank of England.

    Cited by:

    1. Lana Embree & Varya Taylor, 2015. "Examining Full Collateral Coverage in Canada’s Large Value Transfer System," Staff Working Papers 15-29, Bank of Canada.
    2. Constanza Martínez & Freddy Cepeda, 2015. "Reaction Functions of the Participants in Colombia’s Large-value Payment System," BORRADORES DE ECONOMIA 012651, BANCO DE LA REPÚBLICA.

  2. Perlin, M., 2007. "M of a kind: A Multivariate Approach at Pairs Trading," MPRA Paper 8309, University Library of Munich, Germany.

    Cited by:

    1. Bolgun, Evren & Kurun, Engin & Guven, Serhat, 2009. "Dynamic Pairs Trading Strategy For The Companies Listed In The Istanbul Stock Exchange," MPRA Paper 19887, University Library of Munich, Germany.
    2. Krauss, Christopher, 2015. "Statistical arbitrage pairs trading strategies: Review and outlook," FAU Discussion Papers in Economics 09/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    3. Stübinger, Johannes & Mangold, Benedikt & Krauss, Christopher, 2016. "Statistical arbitrage with vine copulas," FAU Discussion Papers in Economics 11/2016, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.

  3. Perlin, M., 2007. "Evaluation of pairs trading strategy at the Brazilian financial market," MPRA Paper 8308, University Library of Munich, Germany.

    Cited by:

    1. Perlin, M., 2007. "M of a kind: A Multivariate Approach at Pairs Trading," MPRA Paper 8309, University Library of Munich, Germany.
    2. Fabio Pizzutilo, 2013. "A Note on the Effectiveness of Pairs Trading For Individual Investors," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 763-771.
    3. Bolgun, Evren & Kurun, Engin & Guven, Serhat, 2009. "Dynamic Pairs Trading Strategy For The Companies Listed In The Istanbul Stock Exchange," MPRA Paper 19887, University Library of Munich, Germany.
    4. Laila Taskeen Qazi & Atta Ur Rahman & Saleem Gul, 2015. "Which Pairs of Stocks should we Trade? Selection of Pairs for Statistical Arbitrage and Pairs Trading in Karachi Stock Exchange," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 54(3), pages 215-244.
    5. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017. "Searching for Inefficiencies in Exchange Rate Dynamics," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 405-432, March.
    6. Krauss, Christopher, 2015. "Statistical arbitrage pairs trading strategies: Review and outlook," FAU Discussion Papers in Economics 09/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    7. João Frois Caldeira & Gulherme Valle Moura, 2013. "Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy," Brazilian Review of Finance, Brazilian Society of Finance, vol. 11(1), pages 49-80.
    8. Bruno Breyer Caldas & João Frois Caldeira & Guilherme Vale Moura, 2016. "Is Pairs Trading Performance Sensitive To The Methodologies?: A Comparison," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 130, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    9. Lei, Yaoting & Xu, Jing, 2015. "Costly arbitrage through pairs trading," Journal of Economic Dynamics and Control, Elsevier, vol. 56(C), pages 1-19.
    10. SAYAT R. BARONYAN & İ. İLKAY BODUROĞLU & EMRAH ŞENER, 2010. "Investigation Of Stochastic Pairs Trading Strategies Under Different Volatility Regimes," Manchester School, University of Manchester, vol. 78(s1), pages 114-134, September.
    11. R. Todd Smith & Xun Xu, 2017. "A good pair: alternative pairs-trading strategies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(1), pages 1-26, February.

Articles

  1. Perlin, Marcelo & Brooks, Chris & Dufour, Alfonso, 2014. "On the performance of the tick test," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 42-50.

    Cited by:

    1. Araújo, Gustavo Silva & Barbedo, Claudio Henrique da S. & Vicente, José Valentim M., 2014. "The adverse selection cost component of the spread of Brazilian stocks," Emerging Markets Review, Elsevier, vol. 21(C), pages 21-41.
    2. Ben Omrane, Walid & Welch, Robert, 2016. "Tick test accuracy in foreign exchange ECN markets," Research in International Business and Finance, Elsevier, vol. 37(C), pages 135-152.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MST: Market Microstructure (3) 2008-04-21 2010-06-26 2010-06-26
  2. NEP-BAN: Banking (1) 2011-06-11
  3. NEP-CBA: Central Banking (1) 2011-06-11
  4. NEP-EEC: European Economics (1) 2010-06-26
  5. NEP-FMK: Financial Markets (1) 2010-06-26
  6. NEP-SOG: Sociology of Economics (1) 2017-06-18

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