616 citations · 1.5k across the 22 of their papers we have counts for
26 papers
The Anatomy of Commodity Risk: Micro, Market, and Economy-Wide Sources
Nektarios Aslanidis, Aurelio Bariviera, George Kapetanios +2
We study the anatomy of commodity risk by distinguishing micro, market-level, and economy-wide sources. We develop a two-stage "divide-and-conquer" framework that allows sensitivit…
Automated Regulatory Compliance Question Answering in Financial Services with Domain-Adapted Retrieval-Augmented Generation
Tobias Deußer, Abhishek Pillai, Aurelio F. Bariviera +5
Financial institutions operate under dense, frequently amended rulebooks, and answering a compliance question correctly requires not only fluency but verifiable grounding in the au…
Heterogeneous Exposures to Systematic and Idiosyncratic Risk across Crypto Assets: A Divide-and-Conquer Approach
Nektarios Aslanidis, Aurelio Bariviera, George Kapetanios +1
This paper analyzes realized return behavior across a broad set of crypto assets by estimating heterogeneous exposures to idiosyncratic and systematic risk. A key challenge arises…
Texture Discrimination via Hilbert Curve Path Based Information Quantifiers
Aurelio F. Bariviera, Roberta Hansen, Verónica E. Pastor
The analysis of the spatial arrangement of colors and roughness/smoothness of figures is relevant due to its wide range of applications. This paper proposes a texture classificatio…
Revisiting Data Augmentation for Rotational Invariance in Convolutional Neural Networks
Facundo Manuel Quiroga, Franco Ronchetti, Laura Lanzarini +1
Convolutional Neural Networks (CNN) offer state of the art performance in various computer vision tasks. Many of those tasks require different subtypes of affine invariances (scale…
Time-frequency co-movements between commodities and economic policy uncertainty across different crises
M. Belén Arouxet, Aurelio F. Bariviera, Verónica Pastor +1
Commodity futures constitute an attractive asset class for portfolio managers. Propelled by their low correlation with other assets, commodities begin gaining popularity among inve…
The link between Bitcoin and Google Trends attention
Nektarios Aslanidis, Aurelio F. Bariviera, Óscar G. López
This paper shows that Bitcoin is not correlated to a general uncertainty index as measured by the Google Trends data of Castelnuovo and Tran (2017). Instead, Bitcoin is linked to a…
Are cryptocurrencies becoming more interconnected?
Nektarios Aslanidis, Aurelio F. Bariviera, Alejandro Perez-Laborda
This paper studies the dynamic market linkages among cryptocurrencies during August 2015 - July 2020 and finds a substantial increase in market linkages for both returns and volati…
Covid-19 impact on cryptocurrencies: evidence from a wavelet-based Hurst exponent
M. Belén Arouxet, Aurelio F. Bariviera, Verónica E. Pastor +1
Cryptocurrency history begins in 2008 as a means of payment proposal. However, cryptocurrencies evolved into complex, high yield speculative assets. Contrary to traditional financi…
Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis
Aurelio F. Bariviera, Ignasi Merediz-Solà
This survey develops a dual analysis, consisting, first, in a bibliometric examination and, second, in a close literature review of all the scientific production around cryptocurre…
One model is not enough: heterogeneity in cryptocurrencies' multifractal profiles
Aurelio F. Bariviera
This paper studies of the multifractal dynamics in 84 cryptocurrencies. It fills an important gap in the literature, by studying this market using two alternative multi-scaling met…
User-Oriented Summaries Using a PSO Based Scoring Optimization Method
Augusto Villa-Monte, Laura Lanzarini, Aurelio F. Bariviera +1
Automatic text summarization tools have a great impact on many fields, such as medicine, law, and scientific research in general. As information overload increases, automatic summa…
A bibliometric analysis of Bitcoin scientific production
Ignasi Merediz-Solà, Aurelio F. Bariviera
Blockchain technology, and more specifically Bitcoin (one of its foremost applications), have been receiving increasing attention in the scientific community. The first publication…
An analysis of cryptocurrencies conditional cross correlations
Nektarios Aslanidis, Aurelio F. Bariviera, Oscar Martinez-Ibañez
This letter explores the behavior of conditional correlations among main cryptocurrencies, stock and bond indices, and gold, using a generalized DCC class model. From a portfolio m…
An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers
Aurelio F. Bariviera, Luciano Zunino, Osvaldo A. Rosso
This paper discusses the dynamics of intraday prices of twelve cryptocurrencies during last months' boom and bust. The importance of this study lies on the extended coverage of the…
Stock returns forecast: an examination by means of Artificial Neural Networks
Martin Iglesias Caride, Aurelio F. Bariviera, Laura Lanzarini
The validity of the Efficient Market Hypothesis has been under severe scrutiny since several decades. However, the evidence against it is not conclusive. Artificial Neural Networks…
Spurious seasonality detection: a non-parametric test proposal
Aurelio F. Bariviera, Angelo Plastino, George Judge
This paper offers a general and comprehensive definition of the day-of-the-week effect. Using symbolic dynamics, we develop a unique test based on ordinal patterns in order to dete…
The inefficiency of Bitcoin revisited: a dynamic approach
Aurelio F. Bariviera
This letter revisits the informational efficiency of the Bitcoin market. In particular we analyze the time-varying behavior of long memory of returns on Bitcoin and volatility 2011…
Some stylized facts of the Bitcoin market
Aurelio F. Bariviera, María José Basgall, Waldo Hasperué +1
In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper investigate…
Simplifying credit scoring rules using LVQ+PSO
Laura Cristina Lanzarini, Augusto Villa Monte, Aurelio F. Bariviera +1
One of the key elements in the banking industry rely on the appropriate selection of customers. In order to manage credit risk, banks dedicate special efforts in order to classify…
Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers
Aurelio F. Bariviera, Luciano Zunino, Osvaldo A. Rosso
This paper analyzes the informational efficiency of oil market during the last three decades, and examines changes in informational efficiency with major geopolitical events, such…
Efficiency and credit ratings: a permutation-information-theory analysis
Aurelio F. Bariviera, Luciano Zunino, M. Belen Guercio +2
The role of credit rating agencies has been under severe scrutiny after the subprime crisis. In this paper we explore the relationship between credit ratings and informational effi…
A permutation Information Theory tour through different interest rate maturities: the Libor case
Aurelio F. Bariviera, M. Belen Guercio, Lisana B. Martinez +1
This paper analyzes Libor interest rates for seven different maturities and referred to operations in British Pounds, Euro, Swiss Francs and Japanese Yen, during the period years 2…
The (in)visible hand in the Libor market: an Information Theory approach
Aurelio F. Bariviera, M. Belén Guercio, Lisana B. Martinez +1
This paper analyzes several interest rates time series from the United Kingdom during the period 1999 to 2014. The analysis is carried out using a pioneering statistical tool in th…