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Alves Portela Santos, Andre
Quantitative Methods
PhD: Universidad Carlos III
Office D4-28
Biography
André Portela Santos is an Associate Professor in the Department of Quantitative Methods at CUNEF Universidad. Before joining CUNEF Universidad, he worked as a Lecturer at the University of Edinburgh Business School (UK) and as a Turing Fellow at the Alan Turing Institute in the UK. His research interests focus on financial econometrics and quantitative finance, and his articles have been published in prestigious international journals such as Journal of Financial Economics, Journal of Financial Econometrics, Journal of Banking and Finance, Journal of Empirical Finance, Quantitative Finance, Journal of Economic Behavior & Organization, Finance Research Letters, Computational Statistics & Data Analysis and Journal of Forecasting. Andre Portela Santos has 2 six-year research periods (sexenios de investigación). He is also the PI of two reserch projects.
Education
PhD in Quantitative Methods, Universidad Carlos III de Madrid (2011)
MSc in Quantitative Methods, Universidad Carlos III de Madrid (2008)
BA in Economics, Universidade Federal de Santa Catarina (2002)
Research Interests
Financial econometrics, quantitative finance, financial risk management
Most relevant publications
Zaharieva, M. D., Virbickaite, A., & Portela Santos, A. (2025). Intraday volatility transmission in global energy markets: A Bayesian nonparametric approach. Journal of Commodity Markets, 100496.
De Azevedo Takara, L., Portela Santos, A., Mariani, V. C., & dos Santos Coelho, L. (2024). Deep reinforcement learning applied to a sparse-reward trading environment with intraday data. Expert Systems with Applications, 238, 121897.
De Miguel, V., Gil-Bazo, J., Nogales, F., & Portela Santos, A. (2023). Machine learning and fund characteristics help to select mutual funds with positive alpha. Journal of Financial Economics.
Caldeira, J. F., Portela Santos, A., & Torrent, H. S. (2023). Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics. Economic Modelling, 122, 106239.
Moura, G. V., Portela Santos, A., & Ruiz, E. (2020). Comparing high dimensional conditional covariance matrices: Implications for portfolio selection. Journal of Banking and Finance, 118, 105882.
Otros profesores
