Research

My research sits at the intersection of finance, econometrics and computational methods. I study how financial markets work, how scientific knowledge is produced and rewarded, and how open data and software can make empirical research more reproducible.

Market microstructure and liquidity

How prices form in Brazilian markets, how liquidity varies across assets and venues, and what high-frequency data reveal about trading and market quality.

liquiditymicrostructuremarket makershigh-frequencytradingliquidity riskprice discovery

Selected papers

Software and data

  • R BatchGetSymbols — Downloads and Organizes Financial Data for Multiple Tickers
  • Python cvm-mcp — An MCP server for the CVM open-data repository (dados.cvm.gov.br), giving MCP clients one interface to Brazilian financial statements, corporate filings, fund data, insider trading and more.

Financial econometrics and volatility

Time-series models for volatility, risk forecasting and the empirical behaviour of financial returns.

garchvolatilityforecastingrisktime serieseconometricreturns

Selected papers

Software and data

  • R BatchGetSymbols — Downloads and Organizes Financial Data for Multiple Tickers
  • R GetTDData — Get Data for Brazilian Bonds (Tesouro Direto)
  • Python bcb-mcp — An MCP server for the time series of the Central Bank of Brazil (BCB-SGS), with a curated series dictionary, a local parquet cache and DuckDB SQL for LLM agents. It is the Python counterpart of the R package GetBCBData.

Science of science and publishing

Bibliometrics, predatory publishing, academic inbreeding and the incentives that shape scientific production.

predatorybibliometricpublishingacademicinbreedingcitationjournalsscientific output

Selected papers

Software and data

  • R GetLattesData — Reading Bibliometric Data from Lattes Platform

Open data, reproducibility and software

Building open-source tools that make Brazilian financial and economic data accessible, reproducible and easy to analyse in R and Python.

open datareproduciblesoftwarepackagefinancial reportscorporate eventstesouro diretoaccessing

Selected papers

Software and data

  • R GetDFPData2 — Reading Annual and Quarterly Financial Reports from B3
  • R GetFREData — Reading FRE Corporate Data of Public Traded Companies from B3
  • R GetTDData — Get Data for Brazilian Bonds (Tesouro Direto)
  • Python cvm-mcp — An MCP server for the CVM open-data repository (dados.cvm.gov.br), giving MCP clients one interface to Brazilian financial statements, corporate filings, fund data, insider trading and more.
  • Python rfbpy — An easy-to-use Python package to download, extract and load the open CNPJ (Brazilian company registry) data published by the Receita Federal into SQLite or parquet files.
  • Python bcb-mcp — An MCP server for the time series of the Central Bank of Brazil (BCB-SGS), with a curated series dictionary, a local parquet cache and DuckDB SQL for LLM agents. It is the Python counterpart of the R package GetBCBData.

Artificial intelligence and LLMs in finance

How large language models and machine learning are changing financial analysis, research and academic publishing.

artificial intelligencechatgptlarge languagemachine learningsentimentgenerativellm

Selected papers

Software and data

  • Python finbert-ai-detector — An easy-to-use Python package for the msperlin/finbert-ai-detector model, designed to detect AI-generated text in financial documents.
  • Python bcb-mcp — An MCP server for the time series of the Central Bank of Brazil (BCB-SGS), with a curated series dictionary, a local parquet cache and DuckDB SQL for LLM agents. It is the Python counterpart of the R package GetBCBData.