Beyond the carry trade: Optimal currency portfolios

Author's Pre-print

Severe coinfection of melioidosis and dengue fever in northeastern Brazil: first case report

This report focuses on a fatality involving severe dengue fever and melioidosis in a 28-year-old truck driver residing in Pacoti in northeastern Brazil. He exhibited long-term respiratory symptoms (48 days) and went through a wide-ranging clinical investigation at three hospitals, after initial clinical diagnoses of pneumonia, visceral leishmaniasis, tuberculosis, and fungal sepsis. After death, Burkholderia pseudomallei was isolated in a culture of ascitic fluid. Dengue virus type 1 was detected by polymerase chain reaction in cerebrospinal fluid (CSF); this infection was the cause of death. This description reinforces the need to consider melioidosis among the reported differential diagnoses of community-acquired infections where both melioidosis and dengue fever are endemic.

Getting the carry trade's jackpot

This Working Project studies five portfolios of currency carry trades formed with the G10 currencies. Performance varies among strategies and the most basic one presents the worst results. I also study the equity and Pure FX risk factors which can explain the portfolios’ returns. Equity factors do not explain these returns while the Pure FX do for some of the strategies. Downside risk measures indicate the importance of using regime indicators to avoid losses. I conclude that although using VAR and threshold regression models with a variety of regime indicators do not allow the perception of different regimes, with a defined exogenous threshold on real exchange rates, an indicator of liquidity and the volatilities of the spot exchange rates it is possible to increase the average returns and reduce drawdowns of the carry trades

Earnings management and stock price crashes post-crossdelisting

We test whether cross-delisted firms from the major U.S. stock exchanges experience an increase in crash risk associated with earnings management. Consistent with our prediction, we find that earnings management have a greater positive impact on stock price crash risk post-cross-delisting when compared to a sample of still cross-listed firms. Moreover, our results suggest that this effect is more pronounced for crossdelisted firms from countries with weaker investor protection and poorer quality of their information environment. We further examine whether managers’ ability to manipulate earnings increases post-cross-delisting around seasoned equity offerings. Our evidence shows that cross-delisted firms that engage in earnings management to inflate reported earnings prior to a seasoned equity offering are more likely to observe a subsequent stock price crash.

Development of an intelligent earthwork optimization system

Tese de Doutoramento em Engenharia Civil.

Programación de un robot autónomo: diseño, construcción, programación e integración de un robot autónomo en el entorno Pyro

En aquest projecte, s'ha dissenyat, construït i programat un robot autònom, dotat de sistema de locomoció i sensors que li permeten navegar sense impactar en un entorn controlat. Per assolir aquests objectius s'ha dissenyat i programat una unitat de control que gestiona el hardware de baix volum de dades amb diferents modes d'operació, abstraient-lo en una única interfície. Posteriorment s'ha integrat aquest sistema en l'entorn de robòtica Pyro. Aquest entorn permet usar i adaptar, segons es necessiti, eines d'intel·ligència artificial ja desenvolupades.