The wide availability of credit cards requires concern about how people can use this credit instr... more The wide availability of credit cards requires concern about how people can use this credit instrument facing potential negative consequences due to misuse and mismanagement of credit. Thus, this paper analyzes the influence of financial education and optimism in the number of cards of individuals through an ordered logit model to confirm this relationship. We analyzed the responses of 559 individuals and shown that people with higher financial literacy tend to have significantly less credit cards, with similar results for the optimists.<br>
Ethanol is one of the most used fuels in Brazil, which is the second-largest producer of this bio... more Ethanol is one of the most used fuels in Brazil, which is the second-largest producer of this biofuel in the world. The uncertainty of price direction in the future increases the risk for agents operating in this market and can affect a dependent price chain, such as food and gasoline. This paper uses the architecture of recurrent neural networks—Long short-term memory (LSTM)—to predict Brazilian ethanol spot prices for three horizon-times (12, 6 and 3 months ahead). The proposed model is compared to three benchmark algorithms: Random Forest, SVM Linear and RBF. We evaluate statistical measures such as MSE (Mean Squared Error), MAPE (Mean Absolute Percentage Error), and accuracy to assess the algorithm robustness. Our findings suggest LSTM outperforms the other techniques in regression, considering both MSE and MAPE but SVM Linear is better to identify price trends. Concerning predictions per se, all errors increase during the pandemic period, reinforcing the challenge to identify p...
Este artigo avalia os retornos e riscos de estrategias de hedge no mercado potencial de soja de ... more Este artigo avalia os retornos e riscos de estrategias de hedge no mercado potencial de soja de Uberlândia e regiao. Para isso, foi realizada tres estrategias de gestao de variabilidade dos precos para demonstrar qual a melhor maneira de diminuir riscos e perdas por parte do produtor rural. A partir do que foi analisado e simulado, a estrategia da comercializacao no mercado futuro ( hegde ) mostrou a mais eficiente diante das outras, pois permitiu aos produtores um melhor resultado no periodo e a estrategia no mercado spot foi a menos eficaz devido a desvalorizacao da soja no periodo analisado. Este resultado determina a relevância da utilizacao de protecao aos derivativos nos agronegocios a fim de aferir ganhos e reduzir os custos para os produtores.
Credit risk models, particularly those that seek to understand what signals are given by companie... more Credit risk models, particularly those that seek to understand what signals are given by companies on the verge of bankruptcy, are under constant discussion and continually updated. Statistical models, for example, Discriminant Analysis and Logistic Regression, are traditional and easy to understand. However, new nonstatistical techniques have been recently tested in the financial context, such as the case of machine learning mechanisms. In this paper, we developed bankruptcy forecasting models for non-financial companies, using a data set that covers the period from 1980 to 2014. We examined static variables, growth variables and also growth variation variables in order to discriminate two groups: firms that did not go bankrupt and firms that went bankrupt within one (fiscal) year after analysis of their data. To study the discretionary capacity, we applied seven techniques, among statistics and machine learning. In view of the number of models evaluated, the analyses are rich and ...
Objective: The accounting information can be manipulated in order to change the perception of the... more Objective: The accounting information can be manipulated in order to change the perception of the minority shareholders about the real situation of the firm. In case of state-owned enterprises (SOEs), they can have their wealth expropriated by the politicians and bureaucrats’ opportunistic behavior, which is an incentive to the earnings management (EM) practice. This study aims to analyze the state ownership effects on EM in Brazil, and investigate the link between EM, and ownership and control structures. Method: Data from 2006–2015 , for 250 non-financial Brazilian public firms, which covers 26 SOEs. The analyses are based on multiple regression methods with panel data. Originality/Relevance: This study innovates by including in this analysis the interaction of state control with the excess of control rights over the ownership rights of the largest shareholders, and analyze the entrenchment effect. Additionally, addresses the EM both in terms of direction and breadth. Results: S...
Objective:The accounting information can be manipulated in order to change the perception of the ... more Objective:The accounting information can be manipulated in order to change the perception of the minority shareholders about the real situation of the firm. In case of state-owned enterprises (SOEs), they can have their wealth expropriated by the politicians and bureaucrats’ opportunistic behavior, which is an incentive to the earnings management (EM) practice. This study aims to analyze the state ownership effects on EM in Brazil, and investigate the link between EM, and ownership and control structures.Method: Data from 2006–2015,for 250 non-financial Brazilian public firms, which covers 26 SOEs. The analyses are based on multiple regression methods with panel data.Originality/Relevance:This study innovates by including in this analysis the interaction of state control with the excess of control rights over the ownership rights of the largest shareholders, and analyze the entrenchment effect. Additionally, addresses the EM both in terms of direction and breadth.Results: SOEs tend ...
Credit risk evaluation has a relevant role to financial institutions, since lending may result in... more Credit risk evaluation has a relevant role to financial institutions, since lending may result in real and immediate losses. In particular, default prediction is one of the most challenging activities for managing credit risk. This study analyzes the adequacy of borrower’s classification models using a Brazilian bank’s loan database, and exploring machine learning techniques. We develop Support Vector Machine, Decision Trees, Bagging, AdaBoost and Random Forest models, and compare their predictive accuracy with a benchmark based on a Logistic Regression model. Comparisons are analyzed based on usual classification performance metrics. Our results show that Random Forest and Adaboost perform better when compared to other models. Moreover, Support Vector Machine models show poor performance using both linear and nonlinear kernels. Our findings suggest that there are value creating opportunities for banks to improve default prediction models by exploring machine learning techniques.
Usualmente o potencial de Morseé estudado em contextos de mecânica quântica. Por outro lado, eleé... more Usualmente o potencial de Morseé estudado em contextos de mecânica quântica. Por outro lado, eleé relativamente pouco aplicado em problemas clássicos. Neste trabalho uma solução completaé encontrada para as equações de movimento clássicas para uma partícula submetida a esse potencial. Exemplos numéricos são apresentados para alguns valores fixos dos parâmetros. Palavras-chave: mecânica clássica, potencial de Morse, equação de movimento. Usually the Morse potential is studied in the quantum mechanics context. On the other hand, there are relatively few applications for classical problems. In this work, a complete solution for the classical equation of motion is found for a particle subject to this potential. Numerical examples are presented for a fixed set of parameters.
Investimentos baseados na análise técnica vêm sendo utilizados com maior frequência para examinar... more Investimentos baseados na análise técnica vêm sendo utilizados com maior frequência para examinar o desempenho estratégico das negociações automatizadas por meio de um robô (algoritmo) de investimentos, em particular, usando os indicadores Parabolic SAR e Fibonacci. Este trabalho utilizou a avaliação de cenários para posteriormente comparar seus resultados em relação à estratégia de buy and hold. Os cenários se diferenciam em relação à utilização de fatores de risco, timeframes e níveis de preço. Backtests foram realizados por um período compreendido entre Janeiro de 20015 e Abril de 2017 para comparar as estratégias. Como resultado, foi percebido que a utilização da análise técnica por meio da negociação automatizada pode resultar em lucros superiores à buy and hold. Entretanto, tal forma de negociação apresenta um alto nível de volatilidade.
New metrics and approaches for predicting bankruptcy
Communications in Statistics - Simulation and Computation
Credit risk models, particularly those seeking to understand signals given by companies close to ... more Credit risk models, particularly those seeking to understand signals given by companies close to bankruptcy, are under constant discussion and updating. Statistical models are traditional and easy ...
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Papers by Flavio Barboza