Mr Marcelo Perlin
T: +44 (0)118 378 8239
Biography
Marcelo received his Msc degree in Business (with emphasis in Finance) from Federal University of Rio Grande do Sul (Brazil) where he was granted a two year scholarship by CNPQ (Brazilian National Counsel of Technological and Scientific Development).
Currently he is working in the field of high frequency econometric modelling, under the joint supervision of Professor Alfonso Dufour and Professor Chris Brooks.
His research interests are mainly related to practical applications of financial econometrics, including: duration models (point processes), regime switching models, models with mixture of distributions, non parametric formulations, quantitative trading strategies and performance assessment.
Marcelo's SSRN page is: http://ssrn.com/author=467401. He also keeps a space at Matlab Exchange Site, where some of the code related to his research can be found. This includes scripts and functions for:
- Estimation, simulation and forecasting of MS-AR (autoregressive markov switching) models and also a general and flexible MS regression code
- Execution of pairs trading strategy over a matrix of prices
- Performance assessment using a variant of the bootstrap method
- Execution of the nearest neighbour forecasting algorithm
Link: http://www.mathworks.com/matlabcentral/fileexchange/authors/21596
Publications
2007
PERLIN, M. S. Evaluation of Pairs Trading Strategy at the Brazilian Financial Market. Proceedings of the 7º Brazilian Congress of Finance, Sao Paulo/Brazil, 2007.
PERLIN, M. S. Evaluation of Pairs Trading Strategy at the Brazilian Financial Market. Working Paper. Available at SSRN: http://ssrn.com/abstract=952242 , 2007.
PERLIN, M. S. M of a Kind: A Multivariate Approach at Pairs Trading. Unpublished Working Paper. Available at SSRN: http://ssrn.com/abstract=952782 , 2007.
PERLIN, M. S., CERETTA, P. S. Non Linear Modelling in Brazilian Market: Evaluating the Forecasting Performance of the NN (Univariate Nearest Neighbour) and SNN (Simultaneous Nearest Neighbour) Forecasting Algorithm. Electronic Magazine of Business (READ), 2007.
2006
PERLIN, M. S. Non Parametric Modelling in Major Latin America Market Indexes: An Analysis of the Performance from the Nearest Neighbour Algorithm in Trading Strategies. In: BALAS - Business Association for Latin America Studies, Lima/Peru. Balas Proceedings, April 2006.
PERLIN, M. P., CERETTA, P. S. Chaos Theory Applied to the Contract of Coffee at the Brazilian Derivative Market. Electronic Magazine of Business (READ). V. 11, n. 4, 2006 (in Portuguese).
2004
PERLIN, M. P, CERETTA, P. S. The CAPM in the São Paulo Stock Exchange: A Conditional Model. Proceedings of the 4º Congress USP of Accounting, July 2004 (in Portuguese).
PERLIN, M. P., CERETTA, P. S. CAPM and the Brazilian Market. Proceedings of the 4º Congress USP of Accounting, July 2004 (in Portuguese).
PERLIN, M. P., CERETTA, P. S. Chaos Theory Applied to the Contract of Coffee at the Brazilian Derivative Market. Proceedings of the 4º Brazilian Congress of Finance, 2006 (in Portuguese).
PERLIN, M. P., CERETTA, P. S. Reduction of the Cash Flow Requirements for the investment in the Derivative Market. Proceedings of the ENEGEP, 2004 (in Portuguese).
