Thiago de Oliveira Souza
Ph.D. Candidate in Finance and Economics
Queen Mary, University of London — School of Economics and Finance
Université libre de Bruxelles, ULB — Solvay Brussels School of Economics and Management / ECARES
I will be available for interviews at the ASSA meetings in January 6-8, 2012 in Chicago, IL and in the RES meetings in January 21-22, 2012 in London - UK.
- Finance and Financial Econometrics
- Portfolio Choice, Return Forecasting, Asset Pricing
- PhD in Finance — School of Finance and Economics, Queen Mary, University of London
- PhD in Management Science and Economics — ECARES, Solvay Brussels School of Economics and Management — Université libre de Bruxelles
- MSc in Economics — EPGE, Getulio Vargas Foundation / Rio de Janeiro
- BSc in Engineering of Production — UFRJ, Federal University of Rio de Janeiro
My interest is to explain why asset prices move as they do, and how to optimally use this information for portfolio selection purposes, especially when there is a large number of assets.
First, I discuss broad market movements and how long-horizon investors form expectations about prices. I focus on a particular setting in which heterogeneous agents choose trading strategies looking at their past performance, adopting the agnostic view of changing them if the market tells them wrong.
Later, I focus on the more practical issues of portfolio selection within a context of a large number of assets. In particular, I study how grouping the assets according to a given (exogenous) rule improves the performance of the resulting portfolios within a constrained estimation framework.
In my third paper, I use the same constrained estimation framework to obtain better forecasts of investment-grade credit-spreads. Within this framework it is possible to use (much) smaller estimation windows that better capture changing regimes in this market.
- Training Brazilian Jiu-Jitsu, playing football and volleyball, trading stocks, travelling.
Email: t.souza at qmul.ac.uk
Phone: +55 32 3216-5213
School of Economics and Finance
Queen Mary, University of London
327, Mile End road
London - UK