Spatial firm competition in two dimensions with linear transportation costs:...
Models of spatial firm competition assume that customers are distributed in space and transportation costs are associated with their purchases of products from a small number of firms that are also...
View ArticleAsset Pricing in a Semi-Markov Modulated Market with Time-dependent...
This project attempts to address the problem of asset pricing in a financial market, where the interest rates and volatilities exhibit regime switching. This is an extension of the Black-Scholes model....
View ArticleMicroscopic Understanding of Cross-Responses between Stocks: a Two-Component...
We construct a price impact model between stocks in a correlated market. For the price change of a given stock induced by the short-run liquidity of this stock itself and of the information about other...
View ArticleShenzhen Stock Exchange Signed A Strategic Cooperation Agreement With Inner...
On September 12, 2016, Shenzhen Stock Exchange (‘SZSE’) signed a strategic cooperation agreement with Inner Mongolia Autonomous Region in Hohhot, both parties reported their own recent development...
View ArticleTokyo Commodity Exchange: Go-Live Date Of Next Generation Derivatives Trading...
TOCOM has been preparing for the go-live of new trading system, which is developed to expand market liquidity and further improve reliability and convenience for investors, trading participants, and...
View ArticleASIC Reports On Review Of Marketing Practices In IPOs
ASIC has warned firms and issuers involved in initial public offerings (IPOs) in Australia to ensure their marketing campaigns comply with the letter and spirit of the law, particularly when using...
View ArticleSIX Swiss Exchange Sponsored Funds: More Than 400 Products Tradable
Bank Julius Baer admits another 40 products to trading on SIX Swiss Exchange, including the first fund on the new SPI Multi Premia Index.read more...
View ArticleESMA Adds ICE Clear Europe Ltd To List Of Authorised CCPS Under EMIR
ESMA has today added ICE Clear Europe Ltd to its list of authorised central counterparties (CCPs) under the European Markets Infrastructure Regulation (EMIR). EMIR requires EU-based CCPs to be...
View ArticleOne Small-Firm Industry Governor Elected to FINRA Board, Two New Governors...
The Financial Industry Regulatory Authority (FINRA) announced the results of voting that took place at its 2016 Annual Meeting today in Washington, D.C. In accordance with FINRA By-Laws, small firms...
View ArticleClik here to view.
The Happy, Healthy Nonprofit: Strategies for Impact Without Burnout
Steer your organization away from burnout while boosting all-around performance Read More...
View ArticleMIAX Options Exchange - October 1, 2016 Fee Changes
Effective October 1, 2016, pending SEC approval, the MIAX Options Fee Schedule will be amended. The Exchange proposes to offer to Market Makers the ability to purchase an additional two (2) Limited...
View ArticleCFTC Orders JSC VTB Bank and VTB Capital PLC Jointly to Pay a $5 Million...
The U.S. Commodity Futures Trading Commission (CFTC) issued an Order filing and simultaneously settling charges against banking institutions JSC VTB Bank, headquartered in St. Petersburg, Russia, and...
View ArticleCFTC Orders JSC VTB Bank And VTB Capital PLC Jointly To Pay A $5 Million...
The U.S. Commodity Futures Trading Commission (CFTC) today issued an Order filing and simultaneously settling charges against banking institutions JSC VTB Bank (VTB), headquartered in St. Petersburg,...
View ArticleNeurensic Partners With Vine Street Trading To Provide Compliance And...
Neurensic, a fintech artificial intelligence (AI) startup, today announced that its CORE™ product has been selected by Vine Street Trading for its market surveillance and compliance capabilities. Vine...
View ArticleThe MiG Report - TSX, TSX Venture Exchange
Please click here for the August 2016 MiG Report. read more...
View ArticleAsymptotic properties of maximum likelihood estimator for the growth rate for...
We consider a jump-type Cox-Ingersoll-Ross (CIR) process driven by a subordinator, and we study asymptotic properties of the maximum likelihood estimator (MLE) for its growth rate. We distinguish three...
View ArticleBounds for VIX Futures given S&P 500 Smiles. (arXiv:1609.05832v1 [q-fin.PR])
We derive sharp bounds for the prices of VIX futures using the full information of S&P 500 smiles. To that end, we formulate the model-free sub/superreplication of the VIX by trading in the S&P...
View ArticleStatic vs adapted optimal execution strategies in two benchmark trading...
We consider the optimal solutions to the trade execution problem in the two different classes of i) fully adapted or adaptive and ii) deterministic or static strategies, comparing them. We do this in...
View ArticleReplica Analysis for the Duality of the Portfolio Optimization Problem....
In the present paper, the primal-dual problem consisting of the investment risk minimization problem and the expected return maximization problem in the mean-variance model is discussed using replica...
View ArticlePredicting Future Shanghai Stock Market Price using ANN in the Period...
Predicting the prices of stocks at any stock market remains a quest for many investors and researchers. Those who trade at the stock market tend to use technical, fundamental or time series analysis in...
View Article