Optimal Portfolios of Illiquid Assets. (arXiv:1610.00395v1 [q-fin.MF])
This paper investigates the investment behaviour of a large unregulated financial institution (FI) with CARA risk preferences. It shows how the FI optimizes its trading to account for market...
View ArticleDecoupling the short- and long-term behavior of stochastic volatility....
We study the empirical properties of realized volatility of the E-mini S&P 500 futures contract at various time scales, ranging from a few minutes to one day. Our main finding is that intraday...
View ArticleVolatility Inference and Return Dependencies in Stochastic Volatility Models....
Stochastic volatility models describe stock returns $r_t$ as driven by an unobserved process capturing the random dynamics of volatility $v_t$. The present paper quantifies how much information about...
View ArticleThe complex dynamics of products and its asymptotic properties....
We analyze global export data within the Economic Complexity framework. We couple the new economic dimension Complexity, which captures how sophisticated products are, with an index called logPRODY, a...
View ArticleLimit Order Strategic Placement with Adverse Selection Risk and the Role of...
This paper is split in three parts: first we use labelled trade data to exhibit how market participants accept or not transactions via limit orders as a function of liquidity imbalance; then we develop...
View ArticleHysteresis and Duration Dependence of Financial Crises in the US: Evidence...
This study analyses the duration dependence of events that trigger volatility persistence in stock markets. Such events, in our context, are monthly spells of contiguous price decline or negative...
View ArticleXVA at the Exercise Boundary. (arXiv:1610.00256v1 [q-fin.PR])
XVA is a material component of a trade valuation and hence it must impact the decision to exercise options within a given netting set. This is true for both unsecured trades and secured / cleared...
View ArticleChina Construction Bank Lists USD 600 Million Bond On Nasdaq Dubai
The Hong Kong branch of China Construction Bank (CCB) listed a 600 million US dollar bond today on Nasdaq Dubai, the region’s international financial exchange. read more...
View ArticleChi-X Japan Launches New Venue - Kai-X To Deliver Japanâs First...
Chi-X Japan will launch a new venue, Kai-X, on October 17, 2016, having gained final regulatory approvals and registration with Japan’s Financial Services Agency.read more...
View ArticleEPEX SPOT Power Trading Results Of September 2016 - Members Extend Trading...
In September 2016, a total volume of 40 TWh was traded on EPEX SPOT’s Day-Ahead and Intraday power markets (September 2015: 43 TWh).Day-Ahead marketsIn September 2016, power trading on the Day-Ahead...
View ArticleThirteen Listed Companies To Update International Fund Managers On Growth...
Dubai Financial Market (DFM) will hold its International Investor Roadshow on Monday and Tuesday 17 – 18 October 2016 in New York with co-sponsorship from Bank of America Merrill Lynch (BofAML). The...
View ArticleVienna Stock Exchange: ATX Outperforms Major Western European Indices In 3Q
The ATX surged by 14.76% in the third quarter, thereby offsetting the setbacks of the first half-year (including dividends ATX TR: 15.48%). The start of the year 2016 was marked by declining oil...
View ArticleACER Stakeholdersâ Workshop On The Agencyâs Draft Work Programme...
The EU Agency for the Cooperation of Energy Regulators has kicked-off preparations for its Annual Work Programme 2018. On 17 October 2016 at 15.00 Alberto Pototschnig, Director of the Agency, will...
View ArticleMoscow Exchange Increases Capital Of Central Counterparty
Moscow Exchange has increased the dedicated capital of NCC Clearing Bank, its central counterparty (CCP), to RUB 9.5 billion (from RUB 6.5 billion) to add an extra layer of security for participants in...
View ArticleBörse Berlin Reaches A Turnover Of â¬15.7 Billion In...
The statistics below show an increase of almost 31% in Xontro’s turnover from Q3 2015. Equiduct has seen an increase of 4% in the number of trades in comparison to the previous year.read more...
View ArticleTradovate And Jigsaw Trading Partner To Benefit Clients - Tradovateâs...
Tradovate, LLC, an online brokerage firm for active, self-directed futures traders that opened for business in April, today announced the successful launch of its first third-party integration. The...
View ArticleUnited Kingdom Parliament Treasury Committee Update: Chair Responds To...
The Treasury Committee Chair, Rt Hon. Andrew Tyrie MP, responds to the Chancellor's speech at the Conservative Party Conference. read more...
View ArticleThe Long Bond, Long Forward Measure and Long-Term Factorization in...
This paper proves existence of the long bond, long forward measure and long-term factorization of the stochastic discount factor (SDF) of Alvarez and Jermann (2005) and Hansen and Scheinkman (2009) in...
View ArticleA hybrid approach to assess systemic risk in financial networks....
We propose a credit risk approach in which financial institutions, modelled as a portfolio of risky assets characterized by a probability of default and a correlation matrix, are the nodes of a network...
View ArticleLong-Term Factorization of Affine Pricing Kernels. (arXiv:1610.00778v1...
This paper constructs and studies the long-term factorization of affine pricing kernels into discounting at the rate of return on the long bond and the martingale component that accomplishes the change...
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