Probability density of lognormal fractional SABR model. (arXiv:1702.08081v1...
Instantaneous volatility of logarithmic return in the lognormal fractional SABR model is driven by the exponentiation of a correlated fractional Brownian motion. Due to the mixed nature of driving...
View ArticleThe short-term price impact of trades is universal. (arXiv:1702.08029v1...
We analyze a proprietary dataset of trades by a single asset manager, comparing their price impact with that of the trades of the rest of the market. In the context of a linear propagator model we find...
View ArticleObligations with Physical Delivery in a Multi-Layered Financial Network....
This paper provides a general framework for modeling financial contagion in a system with obligations in multiple illiquid assets. In so doing, we develop a multi-layered financial network that extends...
View ArticleA Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov...
Drawdown (resp. drawup) of a stochastic process, also referred as the reflected process at its supremum (resp. infimum), has wide applications in many areas including financial risk management,...
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 February 15 2017.read more...
View ArticleTehran Stock Exchange's Return In 2016: 7th Globally, 3rd Regionally
World Federation of Exchanges released its members performance in 2016.read more...
View ArticleThomson Reuters Re-Appointed By Bank Negara Malaysia As Calculating Agent For...
Thomson Reuters has been re-appointed by Bank Negara Malaysia (BNM) as the calculating and distribution agent for the industry interest rate benchmark, Kuala Lumpur Interbank Offered Rate (KLIBOR).read...
View ArticleShenzhen Stock Exchange Serves National Development Strategies As Capital...
SF Holding officially debuted on the capital market as the opening bell rang in the listing hall of SZSE on February 24, 2017. This is an amazing turnaround on the company’s road of growth, opening a...
View ArticleSGX Welcomes Hatten Land To Catalist
Singapore Exchange (SGX) today welcomed Hatten Land to Catalist under the stock code “PH0”.read more...
View ArticleJapan Exchange Regulation And Tokyo Stock Exchange: Application Of Artificial...
Japan Exchange Regulation ("JPX-R") and Tokyo Stock Exchange, Inc. ("TSE") have decided to take the groundbreaking move of applying artificial intelligence (AI) to market surveillance operations.JPX-R...
View ArticleETFGI Reports Assets Invested In Active ETFs/ETPs Listed Globally Reached A...
ETFGI, the leading independent research and consultancy firm on trends in the global ETF/ETP ecosystem, today reported assets invested in active ETFs/ETPs listed globally reached a new record high of...
View ArticleNEX Exchange Appoints Mireille Dyrberg To Its Board
NEX Exchange, a NEX Group business which operates a regulated, UK stock exchange for small and medium companies, announces today that it has appointed Mireille Dyrberg to its Board as a Non-Executive...
View ArticleETFGI Reports Assets Invested In Smart Beta Equity ETFs/ETPs Listed Globally...
ETFGI, the leading independent research and consultancy firm on trends in the global ETF/ETP ecosystem, today reported assets invested in smart beta equity ETFs/ETPs listed in globally reached a new...
View ArticleAbu Dhabi Global Market And Citi Choose Abu Dhabi To Host 2017 Global...
Abu Dhabi Global Market (ADGM), the international financial centre in Abu Dhabi, is pleased to partner with Citi for the Citi® Tech for Integrity Challenge (T4I) to take place in Abu Dhabi, the capital...
View ArticleRisk sharing and real exchange rates: the role of non-tradable sector and...
Most of the international macro models, in contrast to the data, imply a very high level of risk sharing across countries and very low real exchange rate (RER) volatility relative to output. In this...
View ArticlePayment Systems Regulator Sets Out How It Will Identify Payment System...
The Payment Systems Regulator (PSR) has today published draft Terms of Reference outlining how it intends to review whether the operators of CHAPS and Faster Payments Scheme (FPS), need to play an...
View ArticleThe Egyptian Exchange (EGX) Monthly Statistical Report January 2017
Listingread more...
View ArticleEPEX SPOT And ECC Chosen To Foster Irish Market Integration - Companies Sign...
The European Power Exchange EPEX SPOT and European Commodity Clearing (ECC) have been chosen by the Irish transmission system operators EirGrid and SONI as service providers for the Integrated Single...
View ArticleHKEX: Report On Initial Public Offering Applications, Delisting And Suspensions
Main Boardread more...
View ArticleConference - MathFinance
This year's @MathFinance Conference is happening 20-21 April in Frankfurt - https://t.co/uHUpYAemZy #quant #finance â moneyscience (@moneyscience) February 28,â¦
View Article
