23 maio 2022

QHawkes: melhor modelo para o preço dos ativos

QHawkes é ate o momento o melhor modelo para explicar o preço dos ativos financeiros.


We introduce and establish the main properties of QHawkes (“Quadratic” Hawkes) models. QHawkes models generalize the Hawkes price models introduced in E. Bacry et al. (2014), by allowing all feedback effects in the jump intensity that are linear and quadratic in past returns. A non-parametric fit on NYSE stock data shows that the off-diagonal component of the quadratic kernel indeed has a structure that standard Hawkes models fail to reproduce. Our model exhibits two main properties, that we believe are crucial in the modelling and the understanding of the volatility process: first, the model is time-reversal asymmetric, similar to financial markets whose time evolution has a preferred direction. Second, it generates a multiplicative, fat-tailed volatility process, that we characterize in detail in the case of exponentially decaying kernels, and which is linked to Pearson diffusions in the continuous limit. Several other interesting properties of QHawkes processes are discussed, in particular the fact that they can generate long memory without necessarily be at the critical point. Finally, we provide numerical simulations of our calibrated QHawkes model, which is indeed seen to reproduce, with only a small amount of quadratic non-linearity, the correct magnitude of fat-tails and time reversal asymmetry seen in empirical time series.

P. Blanc, J. Donier & J.-P. Bouchaud (2017) Quadratic Hawkes processes for financial prices, Quantitative Finance, 17:2, 171-188, DOI: 10.1080/14697688.2016.1193215

16 maio 2022

Bitcoin não tem futuro

 como rede de pagamentos, segundo Sam Bankman-Fried.

Bitcoin has no future as a payments network because of its inefficiency and high environmental costs, according to one of crypto’s most influential chief executives.

 Sam Bankman-Fried, founder of the digital asset exchange FTX, said the proof of work system of validating blockchain transactions, which underpins Bitcoin, is not capable of scaling up to cope with the millions of transactions that would be needed to make the crypto token an effective means of payment.

 “The Bitcoin network is not a payments network and it is not a scaling network,” said Bankman-Fried. His comments came as the fast-growing cryptocurrency market was hit by a punishing sell-off that left Bitcoin down by more than 35 per cent since January, at its lowest level since late 2020. Bitcoin is still seen by some crypto enthusiasts

Fonte: aqui

Transmissão Global da Política Monetária


We quantify global US monetary policy spillovers by employing a high-frequency identification and big data techniques, in conjunction with a large harmonised dataset covering 30 economies. We report three novel stylised facts. First, a US monetary policy tightening has large contractionary effects onto both advanced and emerging economies. Second, flexible exchange rates cannot fully insulate domestic economies, due to movements in risk premia that limit central banks’ ability to control the yield curve. Third, financial channels dominate over demand and exchange rate channels in the transmission to real variables, while the transmission via oil and commodity prices determines nominal spillovers.

Degasperi,Riccardo & Hong, Seokki Simon & Ricco, Giovanni, 2020. "The Global Transmission of U.S. Monetary Policy," The Warwick Economics Research Paper Series (TWERPS)1257, University of Warwick, Department of Economics.

05 maio 2022


Pesquisa sobre a desonestidade, publicada pela American Psychological Association, no Psychological Bulletin deste ano. 

Although dishonesty is often a social phenomenon, it is primarily studied in individual settings. However, people frequently collaborate and engage in mutual dishonest acts. We report the first meta-analysis on collaborative dishonesty, analyzing 87,771 decisions (21 behavioral tasks; k = 123; nparticipants = 10,923). We provide an overview of all tasks used to measure collaborative dishonesty, and inform theory by conducting moderation analyses. Results reveal that collaborative dishonesty is higher (a) when financial incentives are high, (b) in lab than field studies, (c) when third parties experience no negative consequences, (d) in the absence of experimental deception, and (e) when groups consist of more males and (f) younger individuals. Further, in repeated interactions, group members’ behavior is correlated—participants lie more when their partners lie—and lying increases as the task progresses. These findings are in line with the justified ethicality theoretical perspective, suggesting prosocial concerns increase collaborative dishonesty, whereas honest-image concerns attenuate it. We discuss how findings inform theory, setting an agenda for future research on the collaborative roots of dishonesty

Os autores citam explicitamente um estudo brasileiro: 

Groups of three observe the same die-roll on a computer screen, and each group member is asked to report the outcome. Before making their reports, the group can chat for several minutes (via a computer chat). If all group members report the same outcome, they get paid based on the reported outcome. If group members report different outcomes, they get nothing.

A controvérsia é se o grupo influencia ou não:

The honest-image concern perspective suggests no effect for payoff alignment, because people’s concerns about viewing themselves, and others viewing them, as honest individuals, should not vary according to whether incentives are aligned or not. Initial results are mixed, finding that payoff alignment increases (Weisel & Shalvi, 2015), does not change (Beck et al., 2020), and decreases (Bonfim & Silva, 2018) collaborative dishonesty, rendering it especially worthy for meta-analytical examination

Perda do poder de compra


Nos últimos cinco anos, a inflação oficial do Brasil cresceu de forma cada vez mais intensa. Em 2018, o IPCA registrado no país foi de 3,75% – taxa que saltou para 10,06% em 2021. Já nos 12 meses até março deste ano, chegou a 11,30%, indicando mais um ano de preços em disparada.

Fonte: aqui

04 maio 2022

Consequências econômicas da precificação de carbono


This paper studies how carbon pricing affects emissions, economic aggregates and inequality. Exploiting institutional features of the European carbon market and high-frequency data, I identify a carbon policy shock. I find that a tighter carbon pricing regime leads to a significant increase in energy prices, a persistent fall in emissions and an uptick in green innovation. This comes at the cost of a temporary fall in economic activity, which is not borne equally across society: poorer households lower their consumption significantly while richer households are barely affected. Not only are the poor more exposed because of their higher energy share, they also experience a larger fall in their income. These indirect effects play a crucial role in the transmission, accounting for over 80 percent of the aggregate effect on consumption. My results suggest that targeted fiscal policy can reduce the economic costs of carbon pricing without compromising emission reductions.

Fonte: aqui

03 maio 2022

Criptomoedas segundo o EFRAG

O IASPlus lembra o documento do EFRAG sobre criptomoedas:

In July 2020, the European Financial Reporting Advisory Group (EFRAG) published a discussion paper (DP) 'Accounting for Crypto-Assets (Liabilities): Holder and Issuer Perspective'. The DP provided possible approaches to address the gaps in crypto-assets (liabilities) requirements. EFRAG has now reviewed the feedback received and derives recommendations for the IASB.

Based on the feedback received, EFRAG recommends clarifying or amending existing standards using a two-step approach. As a first step, EFRAG recommends addressing the accounting requirements for holders of crypto-assets by amending IAS 38 Intangible Assets to allow measuring crypto-assets or other intangibles within the scope of the standard at fair value through profit and loss and to develop disclosure requirements for issuers. As a second step EFRAG considers that it is important to also address issuer accounting in more detail and determine the appropriate accounting requirements for issuers, given the challenges that arise from the ambiguity on the nature of rights and obligations associated with the issuance of the novel and fast-moving crypto transactions.

O documento, de 41 páginas, pode ser encontrado aqui

02 maio 2022

A nova Governança Corporativa


In the last few years, there has been a dramatic increase in shareholder engagement on environmental and social issues. In some cases shareholders are pushing companies to take actions that may reduce market value. It is hard to understand this behavior using the dominant corporate governance paradigm based on shareholder value maximization. We explain how jurisprudence has sustained this criterion in spite of its economic weaknesses. To overcome these weaknesses we propose the criterion of shareholder welfare maximization and argue that it can better explain observed behavior. Finally, we outline how shareholder welfare maximization can be implemented in practice. 

The New Corporate Governance . Oliver D. Hart and Luigi ZingalesApril 2022 

Rir é o melhor remédio


01 maio 2022

Volta ao trabalho

Qual a razão de estar sendo tão difícil de voltar ao trabalho? Antes da pandemia, eu ficava na minha sala na universidade o dia inteiro. Gostava dos meus poucos metros, onde podia trabalhar, tomar café e ler. 

No início de junho terei que voltar as minhas atividades na universidade. Em dois anos, estive uma vez na minha sala, há duas semanas. Confesso que não senti muita saudade. Uma pesquisa de 2010 ajuda a entender a razão da dificuldade que temos em voltar para nosso espaço no local de trabalho. Tim Harford resumiu esta pesquisa no seu blog:

Em 2010, os psicólogos Alex Haslam e Craig Knight montaram um experimento no qual os participantes foram solicitados a executar tarefas administrativas simples em vários espaços de escritórios. Eles testaram quatro layouts de escritório diferentes. Um foi despojado: mesa nua, cadeira giratória, lápis, papel, nada mais. O segundo layout foi suavizado com plantas de vaso e imagens florais quase abstratas. Os trabalhadores desfrutaram desse layout mais do que o minimalista e fizeram um trabalho melhor lá.

O terceiro e o quarto layouts foram superficialmente semelhantes, mas produziram resultados dramaticamente diferentes. Em cada um, os trabalhadores foram convidados a usar as mesmas plantas e imagens para decorar o espaço, antes de começarem a trabalhar, se assim o desejarem. Mas em um deles, o pesquisador entrou depois que o sujeito terminou de decorar e depois reorganizou algo. A diferença física foi trivial, mas o impacto na produtividade e na satisfação no trabalho foi dramático. Quando os trabalhadores tiveram o poder de moldar seu próprio espaço, eles fizeram mais e melhor trabalho e sentiram muito mais conteúdo. Quando os trabalhadores foram deliberadamente destituídos, seu trabalho sofreu e, é claro, eles o odiavam. "Eu queria bater em você", admitiu um participante mais tarde.

Não era o ambiente em si que era estressante ou perturbador - era a falta de controle.

Em nossa casa temos uma percepção de controle maior. O espaço que trabalho é quase do mesmo tamanho da minha sala na universidade. Mas posso trazer uma cadeira de outro local, ir ao banheiro sem topar com um desconhecido ou ter que escutar o discurso que sai de um carro.

Foto: Nick Morrison

Emissão de carbono e IFAC

 O IFAC - entidade que congrega os profissionais contábeis mundiais - publicou o relatório da pegada de carbono. 

Para 2021, o Ifac, em parceria com a ClimatePartner mediram a Corporate Carbon Footprint (CCF) da empresa. A medida foi baseada no Greenhouse Gas Protocol Corporate Accounting and Reporting Standard (GHG Protocol).

O principal resultado encontra-se a seguir