A Vision For Data At The SEC - Commissioner Kara M. Stein - Keynote Address...
Thank you, Michael [Barr], for that kind introduction. Thank you also to the University of Michigan and the Office of Financial Research for organizing this important conference. I am pleased to be...
View ArticleMIAX Options Exchange: MIAX Options - Updated November 1, 2016 Fee Changes
Effective November 1, 2016, pending SEC approval, the MIAX Options Fee Schedule will be amended. In addition to what was announced in the MIAX Fee Alert October 27, 2016, MIAX will remove Alcoa Inc....
View ArticleOptimal retirement income tontines. (arXiv:1610.10078v1 [q-fin.MF])
Tontines were once a popular type of mortality-linked investment pool. They promised enormous rewards to the last survivors at the expense of those died early. And, while this design appealed to the...
View ArticleMeta-CTA Trading Strategies based on the Kelly Criterion. (arXiv:1610.10029v1...
The influence of Commodity Trading Advisors (CTA) on the price process is explored with the help of a simple model. CTA managers are taken to be Kelly optimisers, which invest a fixed proportion of...
View ArticleMean Field Game of Controls and An Application To Trade Crowding....
In this paper we formulate the now classical problem of optimal liquidation (or optimal trading) inside a Mean Field Game (MFG). This is a noticeable change since usually mathematical frameworks focus...
View ArticleLoading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type...
Catastrophe risk is a major threat faced by individuals, companies, and entire economies. Catastrophe (CAT) bonds have emerged as a method to offset this risk and a corresponding literature has...
View ArticleLong-range Correlation and Market Segmentation in Bond Market....
This paper looks into the analysis of the long-range auto-correlations and cross-correlations in bond market. Based on Detrended Moving Average (DMA) method, empirical results present a clear evidence...
View ArticleModel-free bounds on Value-at-Risk using partial dependence information....
We derive bounds on the distribution function, therefore also on the Value-at-Risk, of $\varphi(\mathbf X)$ where $\varphi$ is an aggregation function and $\mathbf X = (X_1,...,X_d)$ is a random vector...
View ArticlePricing variance swaps with stochastic volatility and stochastic interest...
This paper considers the pricing of discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity which follows the dynamics of...
View ArticleNumerical study of splitting methods for American option valuation....
This paper deals with the numerical approximation of American-style option values governed by partial differential complementarity problems. For a variety of one- and two-asset American options we...
View ArticleManaging Systemic Risk in Financial Networks. (arXiv:1610.09542v1 [q-fin.RM])
To quantify and manage systemic risk in the interbank market, we propose a weighted, directed random network model. The vertices in the network are financial institutions and the weighted edges...
View ArticleMultifractal cross wavelet analysis. (arXiv:1610.09519v1 [q-fin.ST])
Complex systems are composed of mutually interacting components and the output values of these components are usually long-range cross-correlated. We propose a method to characterize the joint...
View ArticleUnderstanding the Tracking Errors of Commodity Leveraged ETFs....
Commodity exchange-traded funds (ETFs) are a significant part of the rapidly growing ETF market. They have become popular in recent years as they provide investors access to a great variety of...
View ArticleUnderstanding the Non-Convergence of Agricultural Futures via Stochastic...
This paper studies the market phenomenon of non-convergence between futures and spot prices in the grains market. We postulate that the positive basis observed at maturity stems from the futures...
View ArticleEquitable retirement income tontines: Mixing cohorts without discriminating....
There is growing interest in the design of pension annuities that insure against idiosyncratic longevity risk while pooling and sharing systematic risk. This is partially motivated by the desire to...
View ArticleShenzhen Stock Exchange Market Bulletin 31 October, 2016, Issue 36
Shenzhen Stock Exchange recently organized the first training session for lecturers of Shenzhen-Hong Kong Stock Connect Program in Shenzhen together with Hong Kong Exchanges and Clearing Limited and...
View ArticleJPX Published An English Version Of JPX Working Papers, Vol.14...
JPX Working Papers highlight research and studies on changes in the market and regulatory environment with the aim of raising competitiveness. Conducted by officers and employees of JPX, its...
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Japan's Financial Services Agency: Sixth Issue Of The GLOPAC Newsletter
The Global Financial Partnership Center (GLOPAC) announces the sixth issue of the Newsletter. Please see the GLOPAC Newsletter (vol.6) (PDF:277KB) for details.
View ArticleJapan Exchange Group: Status Of Acquisition Of Own Shares
Japan Exchange Group, Inc. hereby announces the status of matters regarding acquisition of own shares pursuant to the provisions of its Articles of Incorporation and Article 459, Paragraph 1 of the...
View ArticleTokyo Financial Exchange: Trading Volume In October 2016
The trading volume of Three-month Euroyen futures in October was 133,954 ( â³ 48.5% MoM / â³ 16.3% YoY) and its average daily volume was 6,698 . See the TABLE 1 for the composition of the trading...
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