Juan Evangelista Trinidad Segovia
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View article: The random matrix-based informative content of correlation matrices in stock markets
The random matrix-based informative content of correlation matrices in stock markets Open
Studying and comprehending the eigenvalue distribution of the correlation matrices of stock returns is a powerful tool to delve into the complex structure of financial markets. This paper deals with the analysis of the role of eigenvalues …
View article: Path integral for multiplicative noise: Generalized Fokker-Planck equation and entropy production rate in stochastic processes with threshold
Path integral for multiplicative noise: Generalized Fokker-Planck equation and entropy production rate in stochastic processes with threshold Open
This paper introduces a comprehensive extension of the path-integral formalism to model stochastic processes with arbitrary multiplicative noise. To do so, the Itô diffusive process is generalized by incorporating a multiplicative noise te…
View article: Factors relevance in asset pricing: new evidences in emerging markets from random matrix theory
Factors relevance in asset pricing: new evidences in emerging markets from random matrix theory Open
There is an ongoing debate as to whether multi-factor models provide better results in explaining the cross-sectional expected return of financial assets than the Sharpe model. Despite the evidence provided about the superiority of market …
View article: Anderson-Darling and Watson tests for the geometric distribution with estimated probability of success
Anderson-Darling and Watson tests for the geometric distribution with estimated probability of success Open
This paper introduces two new goodness-of-fit tests for the geometric distribution based on discrete adaptations of the Watson W 2 and Anderson-Darling A 2 statistics, where the probability of success is unknown. Although these tests are w…
View article: Testing the significance of pricing factors of oil and gas companies
Testing the significance of pricing factors of oil and gas companies Open
For decades, fossil fuels have accounted for 70% to 80% of global primary energy demand. Far from ending this trend, O&G companies continue to be the main fore-runners in providing secure, versatile and widespread energy to the entire worl…
View article: Path Integral for Multiplicative Noise: Generalized Fokker-Planck Equation and Entropy Production Rate in Stochastic Processes With Threshold
Path Integral for Multiplicative Noise: Generalized Fokker-Planck Equation and Entropy Production Rate in Stochastic Processes With Threshold Open
This paper introduces a comprehensive extension of the path integral formalism to model stochastic processes with arbitrary multiplicative noise. To do so, Itô diffusive process is generalized by incorporating a multiplicative noise term $…
View article: Multifractality approach of a generalized Shannon index in financial time series
Multifractality approach of a generalized Shannon index in financial time series Open
Multifractality is a concept that extends locally the usual ideas of fractality in a system. Nevertheless, the multifractal approaches used lack a multifractal dimension tied to an entropy index like the Shannon index. This paper introduce…
View article: Deciphering equity style returns: An analysis of size and value anomalies in the Pakistani stock exchange
Deciphering equity style returns: An analysis of size and value anomalies in the Pakistani stock exchange Open
This study aims to identify the underlying causes of variation in the time series and cross-sectional equity style returns in the emerging stock market of Pakistan. We use asset pricing models and incorporate variables reflecting business …
View article: Market Beta is not dead: An approach from Random Matrix Theory
Market Beta is not dead: An approach from Random Matrix Theory Open
In the 1980s, the first doubts about the validity of the Sharpe Single Index Model to explain the cross-sectional expected returns of financial assets appeared. Since then, the financial literature has proposed a wide variety of new factor…
View article: The Impact of COVID-19 Cases on Stock Prices of Selected Companies Representing Tourism and Banking Sectors
The Impact of COVID-19 Cases on Stock Prices of Selected Companies Representing Tourism and Banking Sectors Open
The purpose of the article/hypothesis: The purpose of the article is to analyse the relationship between stock prices of selected companies and COVID-19 cases in those countries where the tourism and banking sectors have a high share of na…
View article: Is government spending in the education and health sector necessary for human capital development?
Is government spending in the education and health sector necessary for human capital development? Open
This study intends to examine the impact of current health expenditure, domestic government health expenditure, government education expenditure, social protection, population growth, and foreign direct investment (FDI) on human capital fo…
View article: Measuring conditional correlation between financial markets' inefficiency
Measuring conditional correlation between financial markets' inefficiency Open
Assuming that stock prices follow a multi-fractional Brownian motion, we estimated a time-varying Hurst exponent ($ h_t $). The Hurst value can be considered a relative volatility measure and has been recently used to estimate market ineff…
View article: A new look at financial markets efficiency from linear response theory
A new look at financial markets efficiency from linear response theory Open
In this paper we propose a new measure of market efficiency based on the average response of a market price after a market event by using Linear Response Theory. It is shown that the average response to an event in different markets agrees…
View article: Improvement in Hurst exponent estimation and its application to financial markets
Improvement in Hurst exponent estimation and its application to financial markets Open
This research aims to improve the efficiency in estimating the Hurst exponent in financial time series. A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the Hurst exponent. We sh…
View article: A Bibliometric Analysis on Agent‐Based Models in Finance: Identification of Community Clusters and Future Research Trends
A Bibliometric Analysis on Agent‐Based Models in Finance: Identification of Community Clusters and Future Research Trends Open
Agent‐based models are computational approaches used to reproduce the interactions between economic agents. These models are widely applied in many contexts to get deeper understanding about agents’ behaviors within complex systems. In thi…
View article: A Composite Index for Measuring Stock Market Inefficiency
A Composite Index for Measuring Stock Market Inefficiency Open
Market inefficiency is a latent concept, and it is difficult to be measured by means of a single indicator. In this paper, following both the adaptive market hypothesis (AMH) and the fractal market hypothesis (FMH), we develop a new time‐v…
View article: Assessing the Role of Digital Finance on Shadow Economy and Financial Instability: An Empirical Analysis of Selected South Asian Countries
Assessing the Role of Digital Finance on Shadow Economy and Financial Instability: An Empirical Analysis of Selected South Asian Countries Open
The advancement in fintech technological development in emerging countries has accelerated the role of digital finance in economic development. Digital finance assists in financial inclusion; however, it may also increase the chances of fi…
View article: Volatility Co-Movement in Stock Markets
Volatility Co-Movement in Stock Markets Open
The volatility and log-price collective movements among stocks of a given market are studied in this work using co-movement functions inspired by similar functions in the physics of many-body systems, where the collective motions are a sig…