Marcelo S. Perlin

Marcelo S. Perlin

Associate Professor of Finance

EA-UFRGS

Biography

I recently published the second edition of my R book “Analyzing Financial and Economic Data with R”. See this blog post for more details.

I work as an associate professor of Finance at Federal University of Rio Grande do Sul (UFRGS), south of Brazil. I love doing research and using R. You can find more details about my past and current work in tabs Publications and Code. My CV is available as pdf and Lattes link.

In this blog I will write about my CRAN packages and any other ideas about finance and R or research papers that I’m currently working on. The content, however, will be mostly about R.

Got a question? Fell free to reach me at marceloperlin@gmail.com.

Interests

  • R
  • financial econometrics
  • Scientometrics
  • big and messy data

Education

  • PhD in Finance, 2010

    Reading University

  • Msc in Business Finance, 2007

    EA-UFRGS

Recent Posts

Call for papers on data reuse

Myself and Henrique Martins (PUC Rio) organized a call for papers on data reuse, for publication in RAC – Revista de Administração Contemporanea. The deadline for submission is 10th october 2020, with expected publication date in july 2021.

New online book available - Poupando e Investindo em Renda Fixa

Back in early 2019 I decided to try a new writing style, resulting in my book about investing. The main innovation is the use of real data to make conclusions about the best way to invest money in the fixed income market in Brazil.

Financial Datasets Available in the Website

I’ve been researching financial data for over 10 years and gathered a great deal of compiled tables. Most of these comes from my R packages and have been used for creating class material, doing research and even writing a book.

New R package: GetCVMData

Package GetCVMData is an alternative to GetDFPData. Both have the same objective: fetch corporate data of Brazilian companies trading at B3, but diverge in their source. While GetDFPData imports data directly from the DFP and FRE systems, GetCVMData uses the CVM ftp site for grabbing compiled .

Update on GetDFPData tables -- 2019's DFP and FRE data

After battling B3’s website for days, I finally managed to gather a master table for all corporate data. I’m happy to report that the 2019’s data is now included in GetDFPData, the CRAN package and shiny interface.

Recent Publications

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Does algorithmic trading harm liquidity? Evidence from Brazil

This paper provides the first evidence of algorithmic …

Analyzing Financial and Economic Data with R

Where to buy it You can purchase the book from Amazon as an ebook or paperback. An online version of the book, with the first seven chapters is available here.

Accessing Financial Reports and Corporate Events with GetDFPData

This paper presents and discusses the contributions and …

A consumer credit risk structural model based on affordability: balance at risk

This paper introduces an approach designed for personal …

Poupando e Investindo em Renda Fixa: Uma Abordagem Baseada em Dados

Descrição Este livro apresenta uma forma de investir com foco no longo prazo, resiliência e na qualidade de vida do investidor. Contrário a crença popular, investir para o longo prazo é fácil e pode ser feito por qualquer pessoa com vontade de aprender.

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