Details about Juan Evangelista Trinidad-Segovia

Access statistics for papers by Juan Evangelista Trinidad-Segovia.

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Short-id: ptr47

Journal Articles

2023

1. A new look at financial markets efficiency from linear response theory
   Finance Research Letters, 2023, 51, (C) View citations (4)
2. Market Beta is not dead: An approach from Random Matrix Theory
   Finance Research Letters, 2023, 55, (PA) View citations (5)

2022

3. Improvement in Hurst exponent estimation and its application to financial markets
   Financial Innovation, 2022, 8, (1), 1-21 View citations (3)
4. The impact of regulation-based constraints on portfolio selection: The Spanish case
   Humanities and Social Sciences Communications, 2022, 9, (1), 1-14 View citations (1)
   Also in Humanities and Social Sciences Communications, 2022, 9, (1), 1-1 (2022) View citations (1)

2021

5. A Cooperative Dynamic Approach to Pairs Trading
   Complexity, 2021, 2021, 1-8
6. Extending the Fama and French model with a long term memory factor
   European Journal of Operational Research, 2021, 291, (2), 421-426 View citations (6)
7. Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency
   Mathematics, 2021, 9, (2), 1-20 View citations (2)
8. Volatility Co-Movement in Stock Markets
   Mathematics, 2021, 9, (6), 1-19 View citations (1)

2020

9. A note on power-law cross-correlated processes
   Chaos, Solitons & Fractals, 2020, 138, (C) View citations (2)
10. An Alternative Approach to Measure Co-Movement between Two Time Series
    Mathematics, 2020, 8, (2), 1-24
11. Exploring Arbitrage Strategies in Corporate Social Responsibility Companies
    Sustainability, 2020, 12, (16), 1-17 View citations (2)
12. Some Notes on the Formation of a Pair in Pairs Trading
    Mathematics, 2020, 8, (3), 1-17 View citations (3)
13. Testing the efficient market hypothesis in Latin American stock markets
    Physica A: Statistical Mechanics and its Applications, 2020, 540, (C) View citations (17)

2019

14. A novel approach to detect volatility clusters in financial time series
    Physica A: Statistical Mechanics and its Applications, 2019, 535, (C) View citations (6)
15. Some comments on Bitcoin market (in)efficiency
    PLOS ONE, 2019, 14, (7), 1-14 View citations (18)

2017

16. A model for foreign exchange markets based on glassy Brownian systems
    PLOS ONE, 2017, 12, (12), 1-22 View citations (2)
17. Introducing Hurst exponent in pair trading
    Physica A: Statistical Mechanics and its Applications, 2017, 488, (C), 39-45 View citations (23)

2015

18. The Effect of the Underlying Distribution in Hurst Exponent Estimation
    PLOS ONE, 2015, 10, (5), 1-17 View citations (8)

2013

19. Measuring the self-similarity exponent in Lévy stable processes of financial time series
    Physica A: Statistical Mechanics and its Applications, 2013, 392, (21), 5330-5345 View citations (4)

2012

20. A note on geometric method-based procedures to calculate the Hurst exponent
    Physica A: Statistical Mechanics and its Applications, 2012, 391, (6), 2209-2214 View citations (10)

2009

21. Markowitz's model with Euclidean vector spaces
    European Journal of Operational Research, 2009, 196, (3), 1245-1248 View citations (4)

2008

22. Some comments on Hurst exponent and the long memory processes on capital markets
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (22), 5543-5551 View citations (56)

2005

23. Theory of portfolios: New considerations on classic models and the Capital Market Line
    European Journal of Operational Research, 2005, 163, (1), 276-283

Chapters

2006

1. MAKING COPULAS UNDER UNCERTAINTY
   Chapter 2 in Distribution Models Theory, 2006, pp 27-53