A Joint Quantile and Expected Shortfall Regression Framework....
We introduce a novel regression framework which simultaneously models the quantile and the Expected Shortfall of a response variable given a set of covariates. The foundation for this joint regression...
View ArticleA systemic shock model for too big to fail financial institutions....
In this paper we study the distributional properties of a vector of lifetimes in which each lifetime is modeled as the first arrival time between an idiosyncratic shock and a common systemic shock....
View ArticleOn a pricing problem for a multi-asset option with general transaction costs....
We consider a Black-Scholes type equation arising on a pricing model for a multi-asset option with general transaction costs. The pioneering work of Leland is thus extended in two different ways: on...
View ArticleTehran Stock Exchange Bulletin - March 2017
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View ArticleDGCX Opens-Up Access To The Chinese Bullion Market With The Historic Launch...
The Dubai Gold and Commodities Exchange (DGCX) today announced the historic launch of DGCX Shanghai Gold Futures (DSGC), following the signing of a landmark deal with the Shanghai Gold Exchange (SGE)...
View ArticleThe Saudi Stock Exchange Announces The Publication Of The Weekly Stock Market...
The total value of shares traded for the week ending 6 April 2017 amounted to SAR 15.14 billion, increasing by 5.70% over the previous week; while total stock market capitalization reached SAR...
View ArticleCan We Avoid Another Financial Crisis?
The Great Financial Crash had cataclysmic effects on the global economy, and took conventional economists completely by surprise. Many leading commentators declared shortly before the crisis that the...
View ArticleMNI PINCH - Probabilty Of INterest Rate CHange
Following last week's Central Banks paper releases and members comments, MNI PINCH sees markets pricing in a lower probability of interest rates rising in the Eurozone and UK, while slightly higher in...
View ArticleFidessa Named Best Front-Office Execution Platform In Waters Sell-Side...
Fidessa group plc (LSE: FDSA) today announced that it has been named Best Front-Office Execution Platform in the 2017 Waters Sell-side Technology Awards, the third consecutive win for Fidessa in this...
View ArticlePEGAS Market Trading Around Good Friday And Easter Monday 2017
PEGAS Futures Markets (including the OTC Clearing web platform and STP) will be closed on Good Friday (April 14) and Easter Monday (April 17).read more...
View ArticleLondon Stock Exchange Group Plc Transaction In Own Shares
London Stock Exchange Group plc (the "Company") announces that it has purchased through Barclays Capital Securities Limited, in accordance with the authority granted by shareholders at the Company's...
View ArticleFTSE Russell Launches New Global Sector Indexes Hedged To Canadian Dollar
FTSE Russell announces the launch of four new benchmarks within the Russell Global Indexes. The Russell Developed Large Cap 100% Hedged to CAD indices are designed for Canadian market participants and...
View ArticleESMA Clarifies CCPs’ Portfolio Margining Under EMIR
The European Securities and Markets Authority (ESMA) has issued today an opinion regarding the implementation on portfolio margining requirements for central counterparties (CCPs) under the European...
View ArticleFINRA: National Adjudicatory Council Introduces New Sanction Guidelines
The Financial Industry Regulatory Authority (FINRA) today announced that the National Adjudicatory Council (NAC) revised the Sanction Guidelines to include a new principal consideration that...
View ArticleCity, University Of London’s HCID Open Day, April 27th 2017
On 27th April 2017, City, University of London’s Centre for Human Computer Interaction Design (HCID) will be hosting its annual HCID Open Day.read more...
View ArticleNasdaq March 2017 Volumes, 1Q17 Estimated Revenue Capture And Listings...
Nasdaq (Nasdaq:NDAQ) today reported monthly volumes for March 2017, as well as quarterly volumes, number of listings and estimated revenue capture for the quarter ending March 31, 2017, on its investor...
View ArticleCFTC’s Market Risk Advisory Committee Announces Agenda For April 25...
The U.S. Commodity Futures Trading Commission’s (Commission) Market Risk Advisory Committee (MRAC) will hold a public meeting on April 25, 2017 at the CFTC's Washington, DC, headquarters (see CFTC...
View ArticleA fractional reaction-diffusion description of supply and demand....
We suggest that the broad distribution of time scales in financial markets could be a crucial ingredient to reproduce realistic price dynamics in stylised Agent-Based Models. We propose a fractional...
View ArticleGood Deal Hedging and Valuation under Combined Uncertainty about Drift and...
We study robust notions of good-deal hedging and valuation under combined uncertainty about the drifts and volatilities of asset prices. Good-deal bounds are determined by a subset of risk-neutral...
View ArticleOn absence of steady state in the Bouchaud-M\'ezard network model....
In the limit of infinite number of nodes (agents), the It\^o-reduced Bouchaud-M\'ezard network model of economic exchange has a time-independent mean and a steady-state inverse gamma distribution. We...
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