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 (2)
2. Market Beta is not dead: An approach from Random Matrix Theory
   Finance Research Letters, 2023, 55, (PA)

2022

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

2021

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

2020

10. A note on power-law cross-correlated processes
    Chaos, Solitons & Fractals, 2020, 138, (C) View citations (1)
11. An Alternative Approach to Measure Co-Movement between Two Time Series
    Mathematics, 2020, 8, (2), 1-24
12. Exploring Arbitrage Strategies in Corporate Social Responsibility Companies
    Sustainability, 2020, 12, (16), 1-17 View citations (2)
13. Some Notes on the Formation of a Pair in Pairs Trading
    Mathematics, 2020, 8, (3), 1-17 View citations (3)
14. Testing the efficient market hypothesis in Latin American stock markets
    Physica A: Statistical Mechanics and its Applications, 2020, 540, (C) View citations (15)

2019

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

2017

17. A model for foreign exchange markets based on glassy Brownian systems
    PLOS ONE, 2017, 12, (12), 1-22 View citations (1)
18. Introducing Hurst exponent in pair trading
    Physica A: Statistical Mechanics and its Applications, 2017, 488, (C), 39-45 View citations (20)

2015

19. The Effect of the Underlying Distribution in Hurst Exponent Estimation
    PLOS ONE, 2015, 10, (5), 1-17 View citations (7)

2013

20. 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 (3)

2012

21. 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

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

2008

23. 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 (52)

2005

24. 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