290 citations · 566 across the 11 of their papers we have counts for
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q-fin.ST2012
Survivability and centrality measures for networks of financial market indices
Leonidas Sandoval Junior
Using data from 92 indices of stock exchanges worldwide, I analize the cluster formation and evolution from 2007 to 2010, which includes the Subprime Mortgage Crisis of 2008, using…
q-fin.GN2012★ 30 cited
To lag or not to lag? How to compare indices of stock markets that operate at different times
Leonidas Sandoval Junior
Financial markets worldwide do not have the same working hours. As a consequence, the study of correlation or causality between financial market indices becomes dependent on wether…
q-fin.PM2012★ 11 cited
Building portfolios of stocks in the São Paulo Stock Exchange using Random Matrix Theory
Leonidas Sandoval Junior, Adriana Bruscato, Maria Kelly Venezuela
By using Random Matrix Theory, we build covariance matrices between stocks of the BM&F-Bovespa (Bolsa de Valores, Mercadorias e Futuros de São Paulo) which are cleaned of some of t…