Unravelling the trading invariance hypothesis. (arXiv:1602.03011v1 [q-fin.TR])
We confirm and substantially extend the recent empirical result of Andersen et al. (2015), where it is shown that the amount of risk $W$ exchanged in the E-mini S&P futures market (i.e. price times...
View ArticleSimulation of volatility modulated Volterra processes using hyperbolic...
We propose a finite difference scheme to simulate solutions to a certain type of hyperbolic stochastic partial differential equation (HSPDE). These solutions can in turn estimate so called volatility...
View ArticleAn Other Kingdom: Departing the Consumer Culture
Our seduction into beliefs in competition, scarcity, and acquisition are producing too many casualties. We need to depart a kingdom that creates isolation, polarized debate, an exhausted planet, and...
View ArticleBISX Speaks To Sunland Baptist Academy
The Bahamas International Securities Exchange (BISX) spent the Morning of Friday 29th January 2016 with the Grade 11 & 12 classes of the Sunland Baptist Academy. Speaking to the students was BISX...
View ArticleNYSE, NYSE Arca And NYSE MKT Short Interest Reports
NYSE today reported short interest as of the close of business on the settlement date of January 29, 2016.read more...
View ArticleCFTC Chairman Massad To Testify Before The U.S. House Agriculture Committee...
CFTC Chairman Tim Massad’s upcoming Capitol Hill testimony schedule below:read more...
View ArticleNasdaq Announces End-Of-Month Open Short Interest Positions In Nasdaq Stocks...
At the end of the settlement date of January 29, 2016, short interest in 2,297 Nasdaq Global MarketSM securities totaled 8,204,510,918 shares compared with 8,194,947,190 shares in 2,308 Global Market...
View ArticleTokyo Commodity Exchange: Good Delivery Material Price Differential For...
The price differential of the Good Delivery material for the February 2016 contract month in the Rubber market has be determined as follows,read more...
View ArticleTokyo Stock Exchange: Approval Of Initial Listing (TOKYO PRO-BOND Market):...
Today, Tokyo Stock Exchange approved the application by Citigroup Inc. for listing of a Yen-denominated bond with a total value of JPY 81.5 billion (tenor: 5 years, coupon: 0.457%) on the...
View ArticleLinux Foundationâs Hyperledger Project Announces 30 Founding Members...
The Linux Foundation, the nonprofit organization enabling mass innovation through open source, today is announcing new members from across the industry, a formal open governance structure and technical...
View ArticleThe U.S. Commodity Futures Trading Commission And The European Commission:...
The European Commissioner for Financial Stability, Financial Services and Capital Markets Union, Jonathan Hill, and U.S. Commodity Futures Trading Commission (CFTC) Chairman Timothy Massad today...
View ArticleSIFMA Issues 2015 Year In Review
SIFMA today issued its 2015 Year in Review. The full report is available at the following link: http://www.sifma.org/issues/item.aspx?id=8589958792read more...
View ArticleCFTC Swaps Report Update
CFTC's Weekly Swaps Report has been updated, and is now available.read more...
View ArticleStatement From US Treasury Secretary Jacob J. Lew On The Agreement Between...
“The agreement reached by the CFTC and the European Commissioner for Financial Stability is a major milestone in our efforts to reform and strengthen the global derivatives market following the...
View ArticleOffice Of Financial Research Update - Financial Markets Monitor
The OFR released today its latest Financial Markets Monitor. The monitor says prices of equities and other risky assets have declined markedly in 2016 due to concerns about global growth and low oil...
View ArticleCFTC Financial Data For Futures Commission Merchants Update
This information has recently been updated, and is now available.read more...
View ArticleBasel III capital surcharges for G-SIBs fail to control systemic risk and can...
In addition to constraining bilateral exposures of financial institutions, there are essentially two options for future financial regulation of systemic risk (SR): First, financial regulation could...
View ArticlePricing options on forwards in energy markets: the role of mean reversion's...
Consider the problem of pricing options on forwards in energy markets, when spot prices follow a geometric multi-factor model in which several rates of mean reversion appear. In this paper we...
View ArticleA study of co-movements between oil price, stock index and exchange rate...
In this chapter we studied the nonlinear co-movements between the Mexican Crude Oil price, the Mexican Stock Market Index and the USD/MXN Exchange Rate, for the sample period from 1994 to date. We used...
View ArticleValuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit...
A variable annuity contract with Guaranteed Minimum Withdrawal Benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the contract plus the remaining account...
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