Raul Matsushita

• PhD
• Professor (Associate) at University of Brasília

A recent study found evidence of symbolic gesture use in Japanese tits (Parus minor). The study reveals how these birds use wing-fluttering movements to transmit an “after you” directive to their partners, implying a degree of cognitive skill previously thought to be unique to humans and great apes. If confirmed, this research contradicts long-held...

This study examined the influence of cognitive biases on financial literacy test outcomes across four generational groups: Gen Z, Millennials, Gen X, and Baby Boomers. Using the National Financial Capability Test and an online in silico experiment, we analyzed how cognitive biases influence the likely responses of each generation. The results indic...

This study examines the impact of cognitive biases on soccer player performance in penalty shootouts, focusing on the fairness of two different formats: the current ABAB sequence and the alternative ABBA sequence, modeled after the tennis tiebreak system. We consider the context of a real-world penalty shootout scenario, where each team takes five...

A recent study found evidence of symbolic gesture use in Japanese tits ( Parus minor ). The study reveals how these birds use wing-fluttering movements to transmit an “after you” to their partners, implying a degree of cognitive skill previously thought to be unique to humans and great apes. If confirmed, this research contradicts long-held notions...

In previous studies using eBird citizen data, bird abundance rankings followed a power law distribution. Our research delves into the “granular size” concept within these power laws, likening birds to firms. We identified 13 bird species as being the granular size, representing species with significant ecosystem impact, akin to major corporations i...

In this study, we evaluate a two-class earnings distribution model that combines a power law distribution for higher-earning individuals and a lognormal distribution for the rest of the sample , while considering occupation scalability. We analyze data from the Brazilian labor market and model entire distributions, not just the tails. Our findings...

We examine the explanatory power of the granular residual of the five main Brazilian banks from 2010 to 2019 on corporate investment. Approximately two-thirds of the total investment rate is attributable to idiosyncratic shocks to the overall operating revenues of these banks, according to our results. Because the Brazilian banking industry is more...

Only a few bird species are abundant. Understanding the abundance distribution of bird species is critical for conservation efforts because rare species may be more vulnerable to habitat loss, climate change, and other threats. According to new data, a log left-skewed distribution, rather than a lognormal distribution, better adjusts to the abundan...

Positional decisions are influenced by context. We argue here that the peculiarities of such contexts boil down to choices in the domain of gains versus choices in the domain of losses. A total of 420 people completed one gain domain questionnaire and 445 completed one loss domain questionnaire. The survey evidence suggests that positional choices...

There is a point in predicting the past (retrodicting) because we lack information about it. To address this issue, we consider a truncated Lévy flight to model data. We build on the finding that there is a power law between truncation length and standard deviation that connects the bounded past and unbounded future. Even if a truncated Lévy flight...

The purpose of this paper is to evaluate how bank marketing should respond to the banker’s paradox. Customers who need money the most are at risk for credit and thus unable to obtain a loan, according to the banker’s paradox. This relates to the fact that the client-bank relationship is based on reciprocity rather than commitment. We hypothesize th...

Extreme value theory can address the tail risk of a pandemic. In particular, a generalized Pareto distribution accommodates well the data from 72 major historical pandemics. One interesting finding is that the distribution of fatalities is heavy-tailed. Here, we analyze the duration of such historical pandemics. We find pandemic duration is heavy-t...

We present survey evidence that most people prefer Friday to Sunday. Moreover, we pit against one another two explanations for this fact, the joy of anticipation hypothesis and the Weber law. According to the joy of anticipation hypothesis, Friday promises a weekend ahead, and Sunday does not. The Weber law predicts a relative decrease in the perce...

The bank-client relationship is grounded on reciprocity rather than commitment. This circumstance generates the banker’s paradox as customers who need the money the most are at risk for credit and cannot obtain a loan. We present survey evidence that a bank marketing strategy pretending a commitment is more successful because clients are evolutiona...

We present survey evidence that most people prefer Friday to Sunday. Moreover, we pit against one another two explanations for this fact, the joy of anticipation hypothesis and the Weber law. According to the joy of anticipation hypothesis, Friday promises a weekend ahead, and Sunday does not. The Weber law predicts a relative decrease in the perce...

A recent study found that bird species with fewer individuals are abundant, but large species are rare. We show that this new data strongly suggests a power-law distribution rather than the most accepted log-normal. Moreover, we discuss extinction risk across the bird phylogeny and future conservation efforts by profiting from the hierarchical stru...

Previously, some of us put forward the Lévy sections theorem revisited as an extension of the classical central limit theorem that provides an alternative view of data volatilities (Figueiredo et al., 2007a, 2007b). In this paper, we discuss its usefulness in the risk assessment of financial assets. Although it is a stylized fact that prices are li...

Bank size distributions concentrate in a few large banks – the big “grains.” This fact means idiosyncratic shocks at the bank level do not cancel out, thus affecting the business cycle. Here, we present evidence of granularity in the banking market using Brazilian data. We examine the explanatory power of the granular banking residual of the five l...

We suggest a solution to the problem of truncation of truncated Lévy flights by deductively finding a power law between the truncation length and its standard deviation. We offer a generalization where the pdf of returns is left unknown, and its distributional moments are allowed to vary in time. Our model fits well with a financial dataset, which...

Purpose The authors observed few sectors with many connections and many sectors with few connections, “in the Brazilian input-output network,” which meant that sectoral idiosyncratic shocks may lead to aggregate fluctuations. Design/methodology/approach The authors considered the Brazilian input–output tables for the years 2010 and 2015 and found...

Lotka’s law is a power law for the frequency of scholarly publications. We show that Lotka’s law cannot be dismissed after considering a massive sample of the number of publications of Brazilian researchers in journals listed on the SCImago Journal Rank and the Journal Citation Reports. For the SCImago Journal Rank, we found a power law with the Pa...

Purpose This paper aims to revisit the issue of anchoring effects in real estate markets to consider the current dual-processing theory of mind. Design/methodology/approach The effects of high and low anchors in a price estimation task are, thus, explained by both Systems 1 and 2 as these play a key role in the guess of the “correct” list price. T...

We put forward a model based on item response theory that highlights the role of latent features called "proficiency" and "propensity". The model is adjusted to data from the decisions made in a high-stakes exam taken by 10,822 Brazilian high school students. Our model aims to recover information regarding the role the latent features (proficiency...

“Granularity” refers to the fact that economies are populated by a few large companies (the big “grains”) that coexist with many smaller companies. Such a distribution of firm sizes is modeled by power laws. This study adds to the international evidence of the granularity hypothesis by considering data for the top 1,000 Brazilian companies. We sort...

We present a novel model, which is a two-parameter extension of the Poisson distribution. Its normalizing constant is related to the Touchard polynomials, hence the name of this model. It is a flexible distribution that can account for both under- or overdispersion and concentration of zeros that are frequently found in non-Poisson count data. In c...

Purpose A recent population-wide study for Germany, where credit lines on current accounts are available to 80 percent of the population, finds that overdraft debt is more likely for people who give intuitive but incorrect answers on a cognitive reflection test. This suggests that those consumers in debt have poorer cognitive reflection and, thus,...

The aim of this study was to evaluate the time to relieving pain intensity in patients with non-specific chronic low back pain treated by interferential current. Knowledge of the number of sessions needed for relieving pain intensity is very important because it can be used as a measure of treatment effectiveness, and assists the physiotherapist in...

We evaluate utilitarian judgments under the dual-system approach of the mind. In the study, participants respond to a cognitive reflection test and five (sacrificial and greater good) dilemmas that pit utilitarian and non-utilitarian options against each other. There is judgment reversal across the dilemmas, a result that casts doubt in considering...

A prime gap is the difference between two successive prime numbers. Prime gaps are casually thought to occur randomly. However, the " k-tuple conjecture " suggests that prime gaps are non-random by estimating how often pairs, triples and larger groupings of primes will appear. The k-tuple conjecture is yet to be proven, but a very recent work prese...

We administrate the cognitive reflection test devised by Frederick to a sample of 483 undergraduates and discriminate the sample to consider selected demographic characteristics. For the sake of robustness, we take two extra versions that present cues for removing the automatic (but wrong) answers suggested by the test. We find a participant's gend...

The St. Petersburg paradox refers to a gamble of infinite expected value, where people are likely to spend only a small entrance fee for it. There is a huge volume of literature that mostly concentrates on the psychophysics of the game; experiments are scant. Here, rather than focusing on the psychophysics, we offer an experimental, "physical" solu...

We present some properties of the data from the recent mini flash crashes occurring in individual stocks of the Dow Jones Industrial Average. The top five are: 1) Gaussianity is absent in data; 2) the tail decay of the return distributions follow power laws; 3) chaos and logperiodicity cannot be dismissed at first; 4) chaos and logperiodicity are n...

Abstract Since Gaussianity and stationarity assumptions cannot be fulfilled by financial data, the time-homogeneous Ornstein-Uhlenbeck (THOU) process was introduced as a candidate model to describe time series of financial returns [1]. It is an Ornstein-Uhlenbeck (OU) process in which these assumptions are replaced by linearity and time-homogeneity...

We set up a field experiment of the endowment effect by considering thrift shops in Facebook chat rooms and college chat rooms dedicated to secondhand goods transactions. Owners of goods held for use are generally expected to show the endowment effect, but here we show these very owners (most of them females) switch to a trader-like behavior when c...

There is neuroscientific evidence that people consider future versions of themselves as other people. As a result, intertemporal choice should refer to the interaction between multiple selves. We combine this notion of multiple selves in delay discounting with the approach for other-regarding preferences known as Social Value Orientation. The Socia...

Undergraduates were given a battery of psychological tests to gauge their degree of antisocial personality traits (psychopathy, Machiavellianism and nihilism). The students also responded to questionnaires to assess their attitudes toward risk and intertemporal choice. Biological attributes of the respondents were also collected. We found a correla...

Because sports are stylized combat, sports may follow power laws similar to those found for wars, individual clashes, and acts of terrorism. We show this fact for football (soccer) by adjusting power laws that show a close relationship between rank and points won by the clubs participating in the latest seasons of the top fifteen European football...

We devise a new asymptotic statistical test to assess independence in bivariate continuous distributions. Our approach is based on the Cramér–von Mises test, in which the empirical process is viewed as the Kullback–Leibler divergence, that is, as the distance between the data under the independence hypothesis and the data empirically observed. We d...

The dynamics of the Hamiltonian mean field model is studied in the context of continuous time random walks. We show that the sojourn times in cells in the momentum space are well described by a L\'evy truncated distribution. Consequently the system in weakly non-ergodic for long times that diverge with the number of particles. For a finite number o...

We show that a two-harmonic log-periodic formula fits the high-frequency data from the Dow Jones Industrial Average index, which encompass the recent episode known as the “flash crash†of May 6, 2010.

We conducted a questionnaire study with student subjects to look for explicit correlations between selected biological characteristics of the subjects and manifestation of the Allais paradox in the pattern of their choices between sets of two pairs of risky prospects. We find that particular bio-characteristics, such as gender, menstrual cycle, mot...

A recent neurobiology study showed that monkeys systematically prefer risky targets in a visual gambling task. We set a similar experiment with preschool children to assess their attitudes toward risk and found the children, like the monkeys, to be risk seeking. This suggests that adult humans are not born risk averse, but become risk averse. Our e...

In this work we are interested in the concept of market efficiency and its relationship with the algorithmic complexity theory. We employ a methodology based on the Lempel-Ziv index to analyze the relative efficiency of high-frequency data coming from the Brazilian stock market.

Applying a standard questionnaire (Lichtenstein and Fischhoff 1977) to a sample of 44 professional investors, we sought for explicit correlations between selected biological characteristics of the investors and the cognitive bias known as overconfidence. We found that both male and female investors showed overconfidence above the subjective probabi...

Financial economists usually assess market efficiency in absolute terms. This is to be viewed as a shortcoming. One way of dealing with the relative efficiency of markets is to resort to the efficiency interpretation provided by algorithmic complexity theory. We employ such an approach in order to rank 36 stock exchanges and 20 US dollar exchange r...

Financial economists usually assess market efficiency in absolute terms. This is a shortcoming. One way of dealing with the relative efficiency of markets is to resort to the efficiency interpretation provided by algorithmic complexity theory. This paper employs such an approach in order to rank 36 stock exchanges and 37 individual company stocks i...

Financial economists usually assess market efficiency in absolute terms. This is to be viewed as a shortcoming. One way of dealing with the relative efficiency of markets is to resort to the efficiency interpretation provided by algorithmic complexity theory. We employ such an approach in order to rank 36 stock exchanges and 20 US dollar exchange r...

We employ the Lévy sections theorem in the analysis of selected dollar exchange rate time series. The theorem is an extension of the classical central limit theorem and offers an alternative to the most usual analysis of the sum variable. We find that the presence of fat tails can be related to the local volatility pattern of the series.

This paper shows that we can improve the statistical efficiency of dichotomous choice contingent valuation surveys by asking a second open question (anchored open-ended approach) instead of the traditional double-bounded approach. The former approach is shown to be more efficient than conventional single and double-bounded approaches using a Monte...

We sought to evaluate factors relating to adherence to antiretroviral treatment in the Federal District. Out of 150 patients interviewed at seven reference centers; 35 non-adherent subjects were considered to be cases; we selected 70 age-matched adherent individuals as controls. Variables relating to sociodemographics, habits, social support, quali...

We assess the biological basis of expected utility anomalies through an experiment of the Allais paradox. A questionnaire study of 120 subjects replicates the anomalies and further gathers information about the respondents’ bio-characteristics, such as gender, age, parenthood, handedness, second to fourth digit ratio, current emotional state, past...

We sought to evaluate factors relating to adherence to antiretroviral treatment in the Federal District. Out of 150 patients interviewed at seven reference centers; 35 non-adherent subjects were considered to be cases; we selected 70 age-matched adherent individuals as controls. Variables relating to sociodemographics, habits, social support, quali...

Neste texto fazemos um apanhado inicial e geral das principais id¥eias relacionadas a teoria dos sistemas complexos.

The yuan-dollar returns prior to the 2005 revaluation show a Sierpinski triangle in an iterated function system clumpiness test. Yet the fractal vanishes after the revaluation. The Sierpinski commonly emerges in the chaos game, where randomness coexists with deterministic rules (M.F. Barnsley, Fractals Everywhere, Academic Press, San Diego, 1988; H...

We find evidence of weak informational efficiency in the Brazilian daily foreign exchange market using Hurst exponents (Hurst 1951, 1955, Feder 1988), which offer an alternative (from statistical physics) to traditional econometric gauges. We show that a trend toward efficiency has been reverted since the crisis of 1999. We also find power laws (Ma...

Based on long range dependence, some analysts claim that the exchange rate time series of the pound sterling and of an artificially extended euro have been locked together for years despite daily changes [1, 9]. They conclude that pound and euro are in practice the same currency. We assess the long range dependence over time through Hurst exponents...

Complex systems under anomalous diffusive regime can be modelled by approximating sequences of random walks, Sn=X1+X2+⋯+XnSn=X1+X2+⋯+Xn, where the i.i.d. random variables XjXj's have fat-tailed distribution. Such random walks are referred by physicists as Lévy flights or motions and have been used to model financial data. For better adjustment to r...

To improve the management of the Employment Time Guarantee Fund (Fundo de Garantia do Tempo de Servico - FGTS), a study in Brazil is conducted to analyze past data and anticipate the future trends of this fund. In this paper, Nonlinear Principal Component Analysis (NLPCA) - with the Artificial Neural Network architecture and Back-Propagation algori...

This paper revisits the Levy sections theorem. We extend the scope of the theorem to time series and apply it to historical daily returns of selected dollar exchange rates. The elevated kurtosis usually observed in such series is then explained by their volatility patterns. And the duration of exchange rate pegs explains the extra elevated kurtosis...

This paper puts forward a technique based on the characteristic function to tackle the problem of the sum of stochastic variables. We consider independent processes whose reduced variables are identically distributed, including those that violate the conditions for the central limit theorem to hold. We also consider processes that are correlated an...

This paper revisits the Levy sections theorem. We extend the scope of the theorem to time series and apply it to historical daily returns of selected dollar exchange rates. The elevated kurtosis usually observed in such series is then explained by their volatility patterns. And the duration of exchange rate pegs explains the extra elevated kurtosis...

This paper puts forward a technique based on the characteristic function to tackle the problem of the sum of stochastic variables. We consider independent processes whose reduced variables are identically distributed, including those that violate the conditions for the central limit theorem to hold. We also consider processes that are correlated an...

This paper considers independently distributed stochastic processes that are also nonidentically distributed. We find that an identically distributed process with autocorrelations can be obtained from an independent, yet nonidentically distributed, random generator. Our approach is illustrated with a time series from the British pound–US dollar rat...

Based on long-range dependence, some analysts claim that the exchange rate time series of the pound sterling and of an artificially extended euro have been locked together for years despite daily changes [M. Ausloos, K. Ivanova, Physica A 286 (2000) 353; K. Ivanova, M. Ausloos, False EUR exchange rates vs DKK, CHF, JPY and USD. What is a strong cur...

This paper surveys the developments in the field of international finance, in particular the research of economists on foreign exchange rates. That might be of interest to physicists working on the econophysics of exchange rates. We show how the econophysics agenda might follow naturally from the economists' research. We also present our own work o...

The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing severity and uncertain duration has led and is continuing to lead to massive losses and damage for billions of people. Heavy central bank intervention...

We have previously examined the role of autocorrelations in the sum of stochastic variables together with the existence of scaling power laws (Physica A 323 (2003) 601). Here we employ such an approach to analyze the sluggish convergence [2] in data coming from the S&P500 index. We also employ our suggested exponentially damped Lévy flight [3] to a...

Given that financial series are poorly described by Gaussian distributions, how can the volatility behavior of such series be explained? Here we put forward a possible explanation to add the existing ones. We focus on a class of reduced variables that are independent and identically distributed. These variables together with an extra exponential la...

We study the statistical physics properties of the rate of exchange of the Brazilian real against the US dollar from both a daily and fifteen-minute perspective. We find several regularities in the form of power laws in the study of returns of the series for increasing time lags. We also evaluate the fitting of the data sets to variants of the Lévy...

We employ our previously suggested exponentially damped Lévy flight (Physica A 326 (2003) 544) to study the multiscaling properties of 30 daily exchange rates against the US dollar together with a fictitious euro-dollar rate (Physica A 286 (2000) 353). Though multiscaling is not theoretically seen in either stable Lévy processes or abruptly truncat...

Previously we have put forward that the sluggish convergence of truncated Lévy flights to a Gaussian (Phys. Rev. Lett. 73 (1994) 2946) together with the scaling power laws in their probability of return to the origin (Nature 376 (1995) 46) can be explained by autocorrelation in data (Physica A 323 (2003) 601; Phys. Lett. A 315 (2003) 51). A purpose...

We suggest that the ultraslow speed of convergence associated with truncated Lévy flights (Phys. Rev. Lett. 73 (1994) 2946) may well be explained by autocorrelations in data. We show how a particular type of autocorrelation generates power laws consistent with a truncated Lévy flight. Stock exchanges have been suggested to be modeled by a truncated...

We show that truncated Lévy flights appear due to the presence of particular features of autocorrelation in data. We present and analyze ‘physical’ reasons sufficient to ensure the scaling power laws and sluggish convergence associated with truncated Lévy flights. Our approach is exemplified with currency data for the British pound and Chinese yuan...

We examine the role of nonlinear autocorrelations in the convergence to the Gaus-sian equilibrium and put forward an attempt to generalize the central limit theorem. Our results are illustrated with data coming from the British pound-US dollar rate.

The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing severity and uncertain duration has led and is continuing to lead to massive losses and damage for billions of people. Heavy central bank intervention...

Neste texto fazemos um apanhado inicial e geral das principais idéias relacionadas à teoria dos sistemas complexos.

Since real processes seem to departure from standard Lévy distributions, modifications to the latter have been suggested in literature. These include (abruptly) truncated (Phys. Rev. Lett. 73 (1994) 2946), smoothly truncated (Phys. Rev. E 52 (1995) 1197; Phys. Lett. A 266 (2000) 282) and gradually truncated Lévy flights (Physica A 268 (1999) 231; P...

Price changes of the Chinese yuan/US dollar rate are found to display a Sierpinski triangle in an Iterative Function System clumpiness test. This fractal structure commonly emerges in “the chaos gameâ€, where randomness coexists with deterministic rules. We show that a threshold model with four states, two deterministic and two stochastic is able...

The scaling of the probability distribution of the Sao Paulo Stock Exchange index is shown to be described by a Levy stable stochastic process for the modal region of the distribution. Data refer to daily records for the 30-year period 1968-1998. The truncated Levy process is characterized by a scaling index of 1.66. Scaling power laws are also sho...