Browsing by Author "Quintino, Derick"
Now showing 1 - 10 of 10
Results Per Page
Sort Options
- Are Mobility and COVID-19 Related? A Dynamic Analysis for Portuguese DistrictsPublication . Casa Nova, António; Ferreira, Paulo; Almeida, Dora; Dionísio, Andreia; Quintino, Derick
- Assessing the Long-Term Impact of Traditional Agriculture and the Mid-Term Impact of Intensification in Face of Local Climatic ChangesPublication . Gama, José; Loures, Luis; López Piñeiro, Antonio; Quintino, Derick; Ferreira, Paulo; Nunes, José
- Cross-Correlations in Meat Prices in Brazil: A Non-Linear Approach Using Different Time ScalesPublication . Quintino, Derick; Gama, José; Ferreira, Paulo
- Efficiency of the Brazilian Bitcoin: A DFA ApproachPublication . Quintino, Derick; CAMPOLI, J. S.; BURNQUIST, HELOISA; Ferreira, Paulo
- Is Brazilian music getting more predictable? A statistical physics approach for different music genresPublication . Ferreira, Paulo; Quintino, Derick; Wundervald, Bruna; Dionísio, Andreia; Aslam, Faheem; Cantarinha, Ana
- A new vision about the influence of major stock markets in CEEC indices: a bidirectional dynamic analysis using transfer entropyPublication . Ferreira, Paulo; Dionísio, Andreia; Almeida, Dora; Quintino, Derick; Aslam, FaheemThis research work aims to understand the dynamics of influence among CEEC stock market indices and between these and the US, German, UK and Chinese indices. Through a nonlinear approach, based on transfer entropy, we find strongly influential relationships between some CEEC indices and the influencing nature of the US index stands out. In addition to the complexity of causality relationships, which has a limited compatibility with purely linear analyses, we also perceive an intensification in the leadership of the big 4 from the first quarter of 2020, which suggests that the pandemic crisis may be a factor for the intensification of influence from Chinese and US indices.
- A new vision about the influence of major stock markets in CEEC indices: a bidirectional dynamic analysis using transfer entropyPublication . Ferreira, Paulo; Dionísio, Andreia; Almeida, Dora; Quintino, Derick; Aslam, FaheemThis research work aims to understand the dynamics of influence among CEEC stock market indices and between these and the US, German, UK and Chinese indices. Through a nonlinear approach, based on transfer entropy, we find strongly influential relationships between some CEEC indices and the influencing nature of the US index stands out. In addition to the complexity of causality relationships, which has a limited compatibility with purely linear analyses, we also perceive an intensification in the leadership of the big 4 from the first quarter of 2020, which suggests that the pandemic crisis may be a factor for the intensification of influence from Chinese and US indices.
- Non-Fungible Tokens (NFTs) and Cryptocurrencies: Efficiency and ComovementsPublication . Éder Pereira; Ferreira, Paulo; Quintino, DerickNon-fungible tokens (NFTs) are a type of digital record of ownership used in a unique way: ensuring authenticity and uniqueness. Due to these characteristics, NFTs have been used in several markets: games, arts, and sports, among others. In 2020, the volume of negotiations of the NFTs was about USD 200 million. Despite the strong interest of economic agents in operating with NFTs, there are still gaps in the literature, regarding their dynamics and price interrelation with other potentially related assets, which deserve to be studied. In this sense, the main purpose in this paper is to analyze the cross-correlation between NFTs and larger cryptocurrencies. To this end, our methodological approach is based on a Detrended Cross-Correlation Analysis correlation coefficient, with a sliding windows approach. Our main finding is that the cross-correlations are not significant, except for a few cryptocurrencies, with weak significance at some moments of time. We also carried out an analysis of the long-term memory of NFTs, which demonstrated the antipersistence of these assets, with results seemingly corroborating the market inefficiency hypothesis. Our results are particularly important for different classes of investors, due to the analysis on different time scales.
- The use of transfer entropy to analyse the comovements of European Union stock markets: a dynamical analysis in times of crisesPublication . Ferreira, Paulo; Almeida, Dora; Dionísio, Andreia; Quintino, Derick; Aslam, FaheemUnderstanding the linkages among stock markets holds great importance for investors, policymakers and portfolio managers. When considering the integration of international stock markets and given they are complex systems, it is important to understand how they are related and how they influéncé each other. Studying data from 25 European Union stock market indices, this piece of research aims to evaluate the dynamics of influéncé among them. In terms of method, a non-linear approach has been applied, based on transfer entropy with static and dynamic analysis. As the main finding, a strongly influéntial relationship between some indices should be highlighted. The static analysis allows us to infer that central and western European Union countries are the main influéncérs, while the dynamic analysis leads us to the conclusion that the relationships between the stock markets have changed over time, revealing their dynamism. The results obtained have several implications. For instance, for investors and portfolio managers, the information about comovements is relevant for divérsification purposes and for their decisions on where to make their investments, build portfolio strategies and manage risks; however, for policymakers, the constant monitoring of stock markets may detect increases in the connection between markets, which could be understood as signs of instability.
- Transfer Entropy Approach for Portfolio Optimization: An Empirical Approach for CESEE MarketsPublication . Škrinjaric, Tihana; Quintino, Derick; Ferreira, Paulo