- Browse by Author
Browsing by Author "Valle, Mauricio A."
Now showing 1 - 4 of 4
Results Per Page
Sort Options
Item Cheating Modulated by Time Pressure in the Matrix Task(Springer, 2022-02-11) Ferreira Campos, Vítor; Valle, Mauricio A.; Oliveira Bueno, José LinoNo studies have investigated dishonesty during a time pressure extension greater than that of seconds. The objective was to determine if cheating groups report having completed a larger number of matrices than non-cheating groups in the Matrix Task, under different time pressures. In the experiment, participants were required to solve as many matrices as possible within a given time frame and then received a monetary reward for each correctly solved matrix. Participants of each cheating and non-cheating conditions were divided into three groups depending on the time pressure to solve the problems: 2.5, 5, and 10 min. Participants in the cheating group stated that they had solved more matrices than those of the non-cheating group, both under the 5-min pressure. However, the same did not happen under the time pressures of 2.5 and 10 min, indicating that time pressure modulates dishonest behavior in different ways, depending on the extent of the time pressure evaluated.Item Equity market description under high and low volatility regimes using maximum entropy pairwise distribution(MDPI, 2021-10-21) Valle, Mauricio A.; Lavín, Jaime F.; Magner, Nicolás S.The financial market is a complex system in which the assets influence each other, causing, among other factors, price interactions and co-movement of returns. Using the Maximum Entropy Principle approach, we analyze the interactions between a selected set of stock assets and equity indices under different high and low return volatility episodes at the 2008 Subprime Crisis and the 2020 COVID-19 outbreak. We carry out an inference process to identify the interactions, in which we implement the a pairwise Ising distribution model describing the first and second moments of the distribution of the discretized returns of each asset. Our results indicate that second-order interactions explain more than 80% of the entropy in the system during the Subprime Crisis and slightly higher than 50% during the COVID-19 outbreak independently of the period of high or low volatility analyzed. The evidence shows that during these periods, slight changes in the second-order interactions are enough to induce large changes in assets correlations but the proportion of positive and negative interactions remains virtually unchanged. Although some interactions change signs, the proportion of these changes are the same period to period, which keeps the system in a ferromagnetic state. These results are similar even when analyzing triadic structures in the signed network of couplingsItem A network-based approach to study returns synchronization of stocks: The case of global equity markets(Hindawi, 2021-11-09) Lavín, Jaime F.; Valle, Mauricio A.; Magner, Nicolás S.The synchronization in financial markets has increased during the rise of global markets. Nevertheless, global shocks provoke high levels of returns synchronization that jeopardize market stability. Using correlation-based networks, regressions, and VAR models, we measure and estimate the effect of global synchronization on the world equity markets of North America, Latin America, Europe, Asia, and Oceania between July 2001 and April 2020. We find that our measure of global stock synchronization is dynamic over time, its minimums coincide with significant financial shocks, and it shrinks to its minimum levels, indicating that the returns of global markets are moving in a synchronized way. Also, it is a significant and positive factor of regional synchronization. Regional markets react heterogeneously to global synchronization shocks suggesting both local and global factors are sources of synchronization. Our work helps market participants who need to measure, monitor, and manage the synchronization of returns in a parsimonious, dynamic, and empirically tractable way. Our evidence highlights the necessity of including synchronization as a risk factor to assess the decision-making criteria of a broad range of market participants ranging from regulators to investors. To policy-makers, governments, and central banks, our work is a call to incorporate events of high global synchronization into the radar of hazards of the whole market stability.Item The Backbone of the Financial Interaction Network Using a Maximum Entropy Distribution(World Scientific Publishing Company, 2022-10-19) Valle, Mauricio A.; Urbina, FelipeWe modeled the stocks of the financial system as a set of many interacting like spins derived from binary daily returns. From the empirical observation of these returns, we used a Boltzmann machine to infer a distribution of states equivalent to a maximum entropy distribution. This model describes the interaction couplings between each stock pair in the system, which can be considered a complete network with N(N-1)/2 couplings. We then engage in a coupling removal process to find a critical graph that can describe the observed states of the system with the minimum number of edges. We interpret the critical graph as the backbone of the system, and it allows us to evaluate the importance of markets in their relation to others in the system. We also found that the structure of this critical graph is highly variable over time and appears to be dependent on the level of entropy of the system.