Juan Evangelista Trinidad Segovia

Juan Evangelista Trinidad Segovia
Universidad de Almería | UAL · Department of Economics and Business

PhD. in Finances
Full professor of finances, chair of Financial Management.

About

63
Publications
23,666
Reads
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657
Citations
Introduction
My research interest is financial markets from the perspective of complex system. Currently I belong to the editorial board of Humanities and Social Sciences Communications (A nature Journal). I also do editorial work for some other relevant journal such us Plos One, Sage Open or Mathematics. I am also one of the main editors of Studies of Applied Economics.
Additional affiliations
December 1999 - present
Universidad de Almería
Position
  • Professor (Associate)
December 1998 - present
Universidad de Almería
Position
  • Professor (Associate)
Education
September 1998 - February 2000
Universidad de Almería
Field of study
  • Finance
September 1991 - September 1996
Universidad de Almería
Field of study
  • Economics

Publications

Publications (63)
Article
Full-text available
Agent-based models are computational approaches used to reproduce the interactions between economic agents. ese models are widely applied in many contexts to get deeper understanding about agents' behaviors within complex systems. In this paper, we provide a bibliometric analysis about agent-based models in finance and, considering bibliographic co...
Article
Full-text available
Discussion about the effect of constraints in portfolio selection is a popular topic in finance. In this paper, we test the portfolio performance under the existence of regulatory constraints. This paper tries to provide evidence of whether the existence of regulatory constraints translates into a better long-term performance of investment funds, o...
Article
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Market inefficiency is a latent concept, and it is difficult to be measured by means of a single indicator. In this paper, following both the adaptive market hypothesis (AMH) and the fractal market hypothesis (FMH), we develop a new time-varying measure of stock market inefficiency. e proposed measure, called composite efficiency index (CEI), is es...
Article
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The objective of this study is to contribute to the existing debate of green economic growth by empirically investigating the role of cleaner energy production, green innovation, and green trade in green economic growth in the context of South Asian countries. For this purpose, the study collects the data of South Asian Economies for 2000–2018 from...
Article
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Linear response theory relates the response of a system to a weak external force with its dynamics in equilibrium, subjected to fluctuations. Here, this framework is applied to financial markets; in particular we study the dynamics of a set of stocks from the NASDAQ during the last 20 years. Because unambiguous identification of external forces is...
Article
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The advancement in fintech technological development in emerging countries has accelerated the role of digital finance in economic development. Digital finance assists in financial inclusion; however, it may also increase the chances of financial instability due to systematic risks. Emerging countries are also in the clutches of shadow economic gro...
Article
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Based on recent works on stocks comovement, Pairs Trading’s strategy is enhanced by reducing the stock universe to the stocks with the lower volatility on a given date. From this universe of low volatility stocks, pairs are selected by looking for pairs whose series present a high degree of antipersistence. Finally, a “reversion to the mean” strate...
Presentation
Full-text available
This Special Issue is devoted to interesting and novel mathematics and mathematical physics research papers with an applicability to financial markets. From the known mathematical models used in physics, to standard or new mathematical theories, theories are considered if they are (newly) applied to financial markets. Possible topics include, but...
Article
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The volatility and log-price collective movements among stocks of a given market are studied in this work using co-movement functions inspired by similar functions in the physics of many-body systems, where the collective motions are a signal of structural rearrangement. This methodology is aimed to identify the cause of coherent changes in volatil...
Article
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In this paper, we use a statistical arbitrage method in different developed and emerging countries to show that the profitability of the strategy is based on the degree of market efficiency. We will show that our strategy is more profitable in emerging ones and in periods with greater uncertainty. Our method consists of a Pairs Trading strategy bas...
Article
Se denomina con el nombre de Econofísica al área multidisciplinar del conocimiento que intenta combinar la física, las matemáticas y los distintos campos que abarcan la economía. El término fue acuñado por H. Stanley para intentar agrupar al gran número de artículos que los físicos estaban escribiendo en busca de alternativas a diversas cuestiones...
Article
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One of the main contributions of the Capital Assets Pricing Model (CAPM) to portfolio theory was to explain the correlation between assets through its relationship with the market index. According to this approach, the market index is expected to explain the co-movement between two different stocks to a great extent. In this paper, we try to verify...
Article
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Today, Socially Responsible financial investment has taken on particular importance. Investors normally select their most profitable investments, but over the years they have appreciated that companies develop Socially Responsible policies. Financial indices have also created Socially Responsible versions. In this paper, we run a statistical arbitr...
Article
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One of the main characteristics of cryptocurrencies is the high volatility of their exchange rates. In a previous work, the authors found that a process with volatility clusters displays a volatility series with a high Hurst exponent. In this paper, we provide a novel methodology to calculate the probability of volatility clusters with a special em...
Article
Full-text available
In this paper, some mathematical support is provided to properly justify the validity of the so-called multifractal height cross-correlation analysis (MFHXA), first contributed by Kristoufek (2011)[1]. With this aim, we extend several concepts from univariate random functions and their increments to the bivariate case. Specifically, we introduce th...
Article
Full-text available
Different attempts to describe financial markets, and stock prices in particular, with the tools of statistical mechanics can be found in the literature, although a general framework has not been achieved yet. In this paper we use the physics of many-particle systems and the typical concepts of soft matter to study two sets of US and European stock...
Article
Full-text available
The main goal of the paper is to introduce different models to calculate the amount of money that must be allocated to each stock in a statistical arbitrage technique known as pairs trading. The traditional allocation strategy is based on an equal weight methodology. However, we will show how, with an optimal allocation, the performance of pairs tr...
Article
Full-text available
The study of the dependences between different assets is a classic topic in financial literature. To understand how the movements of one asset affect to others is critical for derivatives pricing, portfolio management, risk control, or trading strategies. Over time, different methodologies were proposed by researchers. ARCH, GARCH or EGARCH models,...
Article
In this paper, some mathematical support is provided to properly justify the validity of the so-called multifractal height cross-correlation analysis (MFHXA), first contributed by Kristoufek (2011)[1]. With this aim, we extend several concepts from univariate random functions and their increments to the bivariate case. Specifically, we introduce th...
Article
Full-text available
The self-similarity index has been consolidated as a widely applied measure to quantify long-memory in stock markets. In this article, though, we shall provide a novel methodology allowing the detection of clusters of volatility in series of asset returns. With this aim, the concept of a volatility series is introduced. We found that the existence...
Article
We propose a novel approach to study if Latin America Stock Markets are Efficient. This test is based on a statistical arbitrage technique known as Pairs Trading, which is a relative value trading strategy consisting in taking a position in a pair of stocks that are chosen to have similar characteristics and taking a long position in one stock and...
Article
Full-text available
In this paper a new long-term memory factor for extending the well-known Fama and French model is proposed and discussed thoroughly. The new long-term memory factor is based on the Hurst exponent and is calculated using the fractal dimension (FD) algorithm. The relevance of the new factor is illustrated using a sample of 1,500 largest U.S. companie...
Article
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In this paper, we explore the (in)efficiency of the continuum Bitcoin-USD market in the period ranging from mid 2010 to early 2019. To deal with, we dynamically analyse the evolution of the self-similarity exponent of Bitcoin-USD daily returns via accurate FD4 approach by a 512 day sliding window with overlapping data. Further, we define the memory...
Book
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This book provides a generalised approach to fractal dimension theory from the standpoint of asymmetric topology by employing the concept of a fractal structure. The fractal dimension is the main invariant of a fractal set, and provides useful information regarding the irregularities it presents when examined at a suitable level of detail. New theo...
Chapter
In this chapter, we shall study how to generalize the Hausdorff dimension for Euclidean sets throughout three new approaches of fractal dimension for a fractal structure. Thus, while two of such fractal dimensions will consist of appropriate discretizations regarding the classical Hausdorff dimension (the so-called fractal dimensions IV and V), the...
Chapter
The main goal of this chapter is to generalize the classical box dimension in the broader context of fractal structures. We state that whether the so-called natural fractal structure (which any Euclidean subset can be always endowed with) is selected, then the box dimension remains as a particular case of the generalized fractal dimension models. T...
Chapter
The main purpose of this chapter is to recall some definitions, results, and notations that are useful to develop a new theory of fractal dimension for fractal structures. In this way, we will be focused on quasi-pseudometrics, fractal structures, iterated function systems, and box-counting and Hausdorff dimension topics.
Chapter
In this chapter, we explore a new model to calculate the fractal dimension of a subset with respect to a fractal structure. The new definition we provide presents better analytical properties than box dimension and can be calculated with easiness. It is worth mentioning that such a fractal dimension will be formulated as a discretization of Hausdor...
Conference Paper
Full-text available
Resumen Pairs Trading es una técnica de arbitraje estadístico desarrollada a mediados de los años 80 por la banca de inversión, con el objetivo de aprovechar las ventajas en las divergencias temporales de precios en acciones cuyos precios históricamente se han comportado de forma similar. Desde la publicación del primer trabajo científico por parte...
Conference Paper
Full-text available
Tal como señalan numerosas investigaciones (Barna, 2016; Kristoufek, 2012; Kristoufek y Vosvrda, 2014; Kumar y Bandi, 2015; Lim, 2007), la hipótesis del Mercado Eficiente (EMH), propuesta por Fama (1965) ha sido la referencia para muchos trabajos en el ámbito de las finanzas de mercado durante las últimas cuatro o cinco décadas. No obstante, pese a...
Conference Paper
Full-text available
In the eighteen of the XX century was born a new investing strategy called Pairs Trading. There are a wide amount of works about Pairs Trading, most of them introduce different methodologies for pairs selection. In this paper, we propose a new methodology based in Hurst Exponent. We present a comparative analysis of our method and the classical one...
Article
Full-text available
In this work we extend a well-known model from arrested physical systems, and employ it in order to efficiently depict different currency pairs of foreign exchange market price fluctuation distributions. We consider the exchange rate price in the time range between 2010 and 2016 at yearly time intervals and resolved at one minute frequency. We then...
Article
Full-text available
In this paper we introduce a new methodology for pair trading. This new method is based on the calculation of the Hurst exponent of a pair. Our approach is inspired by the classical concepts of co-integration and mean reversion but joined under a unique strategy. We will show how Hurst approach presents better results than classical Distance Method...
Article
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This work studies the symmetry between colloidal dynamics and the dynamics of the Euro–U.S. dollar currency exchange market (EURUSD). We consider the EURUSD price in the time range between 2001 and 2015, where we find significant qualitative symmetry between fluctuation distributions from this market and the ones belonging to colloidal particles in...
Article
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The main goal in this paper was to provide a novel chaos indicator based on a topological model which allows to calculate the fractal dimension of any curve. A fractal structure is a topological tool whose recursiveness becomes ideal to generalize the concept of fractal dimension. In this paper, we provide an algorithm to calculate a new fractal di...
Article
Full-text available
The main goal in this paper was to provide a novel chaos indicator based on a topological model which allows to calculate the fractal dimension of any curve. A fractal structure is a topological tool whose recursiveness becomes ideal to generalize the concept of fractal dimension. In this paper, we provide an algorithm to calculate a new fractal di...
Article
Full-text available
In this paper, a heavy-tailed distribution approach is considered in order to explore the behavior of actual financial time series. We show that this kind of distribution allows to properly fit the empirical distribution of the stocks from S&P500 index. In addition to that, we explain in detail why the underlying distribution of the random process...
Article
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A fractal structure is a tool that is used to study the fractal behavior of a space. In this paper, we show how to apply a new concept of fractal dimension for fractal structures, extending the use of the box-counting dimension to new contexts. In particular, we define a fractal structure on the domain of words and show how to use the new fractal d...
Article
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In this paper, three new algorithms are introduced in order to explore long memory in financial time series. They are based on a new concept of fractal dimension of a curve. A mathematical support is provided for each algorithm and its accuracy is tested for different length time series by Monte Carlo simulations. In particular, in the case of shor...
Article
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Geometric method-based procedures, which we will call GM algorithms hereafter, were introduced in M.A. Sánchez-Granero, J.E. Trinidad Segovia, J. García Pérez, Some comments on Hurst exponent and the long memory processes on capital markets, Phys. A 387 (2008) 5543–5551, to calculate the Hurst exponent of a time series. The authors proved that GM a...
Article
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In this paper, we show how a new fractal dimension definition for fractal structures can be used to study curves, and then we use this fractal dimension to study financial type series. In particular, we relate this dimension with the Hurst exponent for a wide range of random processes, including fractional Brownian motions and fractional Levy stabl...
Article
In this paper a new approach of the Markowitz's model is presented. Indeed, using an inner product, a quantitative and explicit solution for optimal portfolio selection is given. To do this, a scalar product is defined in which allows us to calculate the composition of the optimal portfolio and the variance for a given expected return by means of t...
Article
Full-text available
The analysis of long memory processes in capital markets has been one of the topics in finance, since the existence of the market memory could implicate the rejection of an efficient market hypothesis. The study of these processes in finance is realized through Hurst exponent and the most classical method applied is R/S analysis. In this paper we w...
Article
This paper is based in the MTDF methodology, which lies in obtaining the value of an asset from that of a specific index (Ballestero, 1973). The topics of this paper are to apply this methodology in the case of two indexes under uncertainty, the construction of a copula FGM using marginal TSP given the classical values (a, m, b) and the application...
Article
We introduce the concept of cross-sectional heterogeneity (and homogeneity) of equity markets. From period to period, the stocks in a market may move more or less ‘in line’. When stock prices move perfectly in line, we use the term ‘homogeneous market’. When the stock price developments are not perfectly in line, we use the term ‘heterogeneous mark...
Article
Full-text available
This paper proposes a model that helps organic growers choose crops that better adapt to their risk profile and expectations of profit. One of the main advantages of the model is its treatment of uncertainty in this market, in which historical information regarding prices and production is unavailable. The economic approach of this work is inspired...
Article
The aim of this paper is to present an alternative method to obtain the efficient portfolio in Roy's model starting from the concepts of critical return and risk which are introduced here. This method will permit resolution of the main problem of Roy's model, that is to say, the impossibility of obtaining the portfolio in certain situations. The in...
Article
Este artículo de presentación del monográfico Mercados Financieros e Instrumentos se estructura en dos partes bien diferenciadas. La primer parte se dedica al debate existente sobre el comportamiento de los rendimientos de los activos financieros, presentando dos de las teorías más importantes, la Teoría del Mercado Eficiente y la Teoría del Mercad...
Article
Full-text available
Este artículo de presentación del monográfico Mercados Financieros e Instrumentos se estructura en dos partes bien diferenciadas. La primer parte se dedica al debate existente sobre el comportamiento de los rendimientos de los activos financieros, presentando dos de las teorías más importantes, la Teoría del Mercado Eficiente y la Teoría del Mercad...
Article
We present an analysis of the performance of the Spanish Stock Market over the last six years, examining the most widely used index, i.e. the IBEX 35. Our analysis is broader than conventional benchmark approaches because we study the properties of all feasible portfolios, i.e. portfolios composed given the same investment opportunity set and also...
Article
Full-text available
Presentamos un análisis de rendimiento del Mercado de Capitales Español durante los últimos seis años a través del estudio de su índice más representativo, el IBEX 35 R , Se trata de un análisis más amplio que las aproximaciones convencionales puesto que se estudian todas las carteras factibles, como por ejemplo todas las carteras construidas a par...
Article
We present an analysis of the performance of the Spanish Stock Market over the last six years, examining the most widely used index, i.e. the IBEX 35®. Our analysis is broader than conventional benchmark approaches because we study the properties of all feasible portfolios, i.e. portfolios composed given the same investment opportunity set and also...
Article
Full-text available
Este articulo está centrado en la teoría general de valoración y, concretamente> en el método de las dos funciones de distribución> idea original de Ballestero (1971). En este trabajo, se hace un análisis de sus fundamentos y de las distintas distribuciones utilizadas en los diferentes trabajos publicados en estos últimos años. Además, se presenta...

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