Rank: 40 based on 799 downloads (last 30 days) and 8 files submitted
photo

Marcelo Perlin

E-mail
Company/University
Federal University of Rio Grande do Sul (Escola de Administração)
Lat/Long
-30.03444480895996, -51.22836303710938

Personal Profile:

Hi, my name is Marcelo. Currently I'm working as an assistant teacher (professor adjunto) at UFRGS (Federal University of Rio Grande do Sul) in Porto Alegre, Brazil.

My main topics of interest are market microstructure and financial econometrics. Some of my research papers can be found in SSRN:

http://ssrn.com/author=467401

I'm not actually a cartoon. The photo you're seeing is the sketch of a popular Brazilian singer (Samuel Rosa). Some people say I look like him.

Feel free to contact me at my email.

Professional Interests:
Market microstructure, financial econometrics

 

Watch this Author's files

 

Files Posted by Marcelo View all
  • 1 - 5 of
  • 8
Updated   File Tags Downloads
(last 30 days) 		Comments Rating
08 May 2012 Screenshot MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin markov switching, econometrics, analysis, optimization, statistics, finance 369 102
  • 4.53333
4.5 | 34 ratings
10 Sep 2010 Screenshot Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy with user defined parameters Author: Marcelo Perlin pairs trading, quantitative strategy, finance, analysis, financial modelling, modeling 180 24
  • 4.7
4.7 | 10 ratings
22 May 2009 Screenshot Estimation and Simulation of ACD models in MatLab Functions and Scripts for Simulation and Estimation of ACD models Author: Marcelo Perlin acd models, finance, analysis, modeling, financial econometric..., duration 43 3
  • 5.0
5.0 | 3 ratings
10 May 2009 Screenshot Get Trading Data, from Yahoo, in your Matlab Workpace (or Excel) This package provides scripts and functions for downloading trading data from Yahoo server. Author: Marcelo Perlin database, yahoo, data import, trading data, stocks, statistics 52 8
  • 5.0
5.0 | 2 ratings
09 Sep 2008 Screenshot Estimation and Simulation of State Space (Kalman Filter) Models with Matlab Functions and Scripts for Simulation and Estimation of State Space models Author: Marcelo Perlin kalman filter, state space, analysis, finance, modeling, econometrics 90 4
  • 1.66667
1.7 | 3 ratings
Comments and Ratings by Marcelo View all
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  • 50
Updated File Comments Rating
18 May 2012 Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy with user defined parameters Author: Marcelo Perlin

Hi Peter,
Sure, you just have to study Matlab manual and the example files from the package. It is all there.

Best,
Marcelo.
10 Apr 2012 MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin

Hi "done for the day",

The application should work on newer version of matlab. If it doesn't, please let me know.

Best,
Marcelo.
10 Apr 2012 MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin

Hi David,

I believe you are adressing the conditional mean and filtered probabilities.

You can find more information on this by looking into the references in the pdf manual file.

Best,
Marcelo.
23 Mar 2012 MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin

Hi Shane,

The MS_VAr_Fit function does not allow for extra independent variables. In this case you should really be using MS_Regress_Fit, in which you can add any variable you need.

Best,
Marcelo.
27 Feb 2012 MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin

Hi Ahmed,
Yes, sure it is possible.

Best,
Marcelo.
Comments and Ratings on Marcelo's Files View all
  • 1 - 5 of
  • 156
Updated File Comment by Comments Rating
18 May 2012 Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy with user defined parameters Author: Marcelo Perlin Perlin, Marcelo

Hi Peter,
Sure, you just have to study Matlab manual and the example files from the package. It is all there.

Best,
Marcelo.
14 May 2012 Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy with user defined parameters Author: Marcelo Perlin Park, Peter

Hi, is it possible to use my own data?
If I can, how I can do that? Thanks.
11 May 2012 MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin Zhanhai

Excellent!
02 May 2012 Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy with user defined parameters Author: Marcelo Perlin Jason
10 Apr 2012 MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin Perlin, Marcelo

Hi "done for the day",

The application should work on newer version of matlab. If it doesn't, please let me know.

Best,
Marcelo.
Top Tags Applied by Marcelo
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finance, analysis, modeling, statistics, econometrics
Files Tagged by Marcelo View all
  • 1 - 5 of
  • 8
Updated   File Tags Downloads
(last 30 days) 		Comments Rating
08 May 2012 Screenshot MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin markov switching, econometrics, analysis, optimization, statistics, finance 369 102
  • 4.53333
4.5 | 34 ratings
10 Sep 2010 Screenshot Classical Pairs Trading Using MatLab Performs the classical pairs trading strategy with user defined parameters Author: Marcelo Perlin pairs trading, quantitative strategy, finance, analysis, financial modelling, modeling 180 24
  • 4.7
4.7 | 10 ratings
22 May 2009 Screenshot Estimation and Simulation of ACD models in MatLab Functions and Scripts for Simulation and Estimation of ACD models Author: Marcelo Perlin acd models, finance, analysis, modeling, financial econometric..., duration 43 3
  • 5.0
5.0 | 3 ratings
10 May 2009 Screenshot Get Trading Data, from Yahoo, in your Matlab Workpace (or Excel) This package provides scripts and functions for downloading trading data from Yahoo server. Author: Marcelo Perlin database, yahoo, data import, trading data, stocks, statistics 52 8
  • 5.0
5.0 | 2 ratings
09 Sep 2008 Screenshot Estimation and Simulation of State Space (Kalman Filter) Models with Matlab Functions and Scripts for Simulation and Estimation of State Space models Author: Marcelo Perlin kalman filter, state space, analysis, finance, modeling, econometrics 90 4
  • 1.66667
1.7 | 3 ratings

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