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SGX Welcomes Xandar Capital As Catalist Full Sponsor

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Singapore Exchange (SGX) is pleased to welcome Xandar Capital as a Full Sponsor on Catalist, its sponsor-supervised board for growth companies.

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Deutsche Börse And Taiwan Futures Exchange Enter Into Market Data Partnership - Deutsche Börse To Act As Licensor Of TAIFEX Market Data To International Clients

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Taiwan Futures Exchange (TAIFEX) and Deutsche Börse Market Data + Services signed a market data partnership agreement, under which Deutsche Börse will act as the licensor of TAIFEX market data and information products to all international clients. Therefore, clients will be able to benefit from the state-of-the-art licensing services offered by Deutsche Börse, which already functions as a licensing partner for a whole range of trading venues around the globe such as BSE India, Irish Stock Exchange and Bulgarian Stock Exchange.

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30May/Mobile collateral versus immobile collateral

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The pre-crisis financial architecture was a system of mobile collateral. Safe debt, whether government bonds or privately produced bonds, ie asset-backed securities, could be traded, posted as collateral, and rehypothecated, moving to its highest value use. Since the financial crisis, regulatory changes to the financial architecture have aimed to ...

30May/Expectations and investment

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Using micro data from the Duke University quarterly survey of Chief Financial Officers, we show that corporate investment plans as well as actual investment are well explained by CFOs' expectations of earnings growth. The information in expectations data is not subsumed by traditional variables, such as Tobin's Q or discount rates. We also show that errors in ...

30May/Who supplies liquidity, how and when?

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Who provides liquidity in modern, electronic limit order book, markets? While agency trading can be constrained by conflicts of interest and information asymmetry between customers and traders, prop traders are likely to be less constrained and thus better positioned to carry inventory risk. Moreover, while slow traders' limit orders may be exposed to severe adverse selection, fast trading technology can improve traders' ability to monitor the market and avoid being picked off. To shed light on these points, we rely on ...

Weekly Announcements â May 31, 2016

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La Trobe University Re-Joins LSN Legal Studies Research Papers Series

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SEC: Investment Banker And Plumber Charged With Insider Trading

Stock Markets Steering Committee Of Hellenic Exchanges, Athens Stock Exchanges

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The Stock Markets Steering Committee, during today's session, approved the application of price fluctuation limits of ±10%, for June 2016, for the low turnover velocity Stocks of the Main Market (monthly average velocity of last month less or equal to 0.01%) presented in Table 1, according to the ATHEX Board Decision 22.

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Coca-Cola European Partners Celebrates First Day Of Trading On Euronext

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Coca-Cola European Partners (ticker symbol: CCE), a major European fast-moving consumer goods company and the world’s largest independent Coca-Cola bottler based on net sales, began trading today on the Amsterdam and London markets of Euronext.

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IIROC Publishes Guidance And Resources To Help Protect Senior Investors

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In conjunction with Seniors' Month in June, the Investment Industry Regulatory Organization of Canada (IIROC) is publishing guidance for IIROC-regulated firms as well as educational materials for investors and advisors.

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S&P Dow Jones Indices Market Attributes: Europe Index Dashboard

SEC: Mortgage Company And Executives Settle Fraud Charges

U.S. Department Of The Treasury: Report On Foreign Portfolio Holdings Of U.S. Securities At End-June 2015

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The final results from the annual survey of foreign portfolio holdings of U.S. securities at the end of June 2015 were released today on the Treasury website at http://www.treasury.gov/resource-center/data-chart-center/tic/Pages/fpis.aspx. The survey was undertaken jointly by Treasury, the Federal Reserve Bank of New York, and the Board of Governors of the Federal Reserve System. The next survey will cover holdings at the end of June 2016; preliminary data are expected to be released by February 28, 2017.

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SEC: Nashville Firm Schemed to Collect Extra Fees From Hedge Funds

Statement of Chairman Timothy Massad on No-Action Letter Shanghai Clearing House

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Statement of Chairman Timothy Massad on No-Action Letter Shanghai Clearing House


May 31, 2016 - SS&C Appoints Rainer Fuchsluger to Drive Strategic Growth Plans in Asia

Endogenous Formation of Limit Order Books: Dynamics Between Trades. (arXiv:1605.09720v1 [q-fin.TR])

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In this talk, we present a continuous time extension of the framework for modeling market microstructure, developed in our previous work. We use this extension to model the shape and dynamics of the Limit Order Book (LOB) between two consecutive trades. In this model, the LOB arises as an outcome of an equilibrium between multiple agents who have different beliefs about the future demand for the asset. These beliefs may change according to the information observed by the agents (e.g. represented by a relevant stochastic factor), implying a change in the shape of the LOB. This model is consistent with the empirical observation that most changes in the LOB are not due to trades. More importantly, it allows one to see how changing the relevant information signal affects the LOB. If the relevant signal is a function of the LOB itself, then, our approach allows one to model the "indirect" market impact (as opposed to the "direct" impact that a market order makes on the LOB, by eliminating certain limit orders instantaneously), showing how any change to the LOB causes further changes to it. On the mathematical side, we formulate the problem as a mixed control-stopping game, with a continuum of players. We manage to split the equilibrium problem into two parts, and represent one of them through a two-dimensional system of Reflected Backward Stochastic Differential Equations, and the other one with an infinite-dimensional fixed-point equation. We prove the existence of the solutions to both problems and show how they can be computed in a simple example.

A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting. (arXiv:1605.09484v1 [q-fin.ST])

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This paper explores and develops alternative statistical representations and estimation approaches for dynamic mortality models. The framework we adopt is to reinterpret popular mortality models such as the Lee-Carter class of models in a general state-space modelling methodology, which allows modelling, estimation and forecasting of mortality under a unified framework. Furthermore, we propose an alternative class of model identification constraints which is more suited to statistical inference in filtering and parameter estimation settings based on maximization of the marginalized likelihood or in Bayesian inference. We then develop a novel class of Bayesian state-space models which incorporate apriori beliefs about the mortality model characteristics as well as for more flexible and appropriate assumptions relating to heteroscedasticity that present in observed mortality data. We show that multiple period and cohort effect can be cast under a state-space structure. To study long term mortality dynamics, we introduce stochastic volatility to the period effect. The estimation of the resulting stochastic volatility model of mortality is performed using a recent class of Monte Carlo procedure specifically designed for state and parameter estimation in Bayesian state-space models, known as the class of particle Markov chain Monte Carlo methods. We illustrate the framework we have developed using Danish male mortality data, and show that incorporating heteroscedasticity and stochastic volatility markedly improves model fit despite an increase of model complexity. Forecasting properties of the enhanced models are examined with long term and short term calibration periods on the reconstruction of life tables.

CFTCâs Division Of Clearing And Risk Issues No-Action Letter For Shanghai Clearing House

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The U.S. Commodity Futures Trading Commission’s (CFTC) Division of Clearing and Risk (DCR) today issued a time-limited no-action letter stating that DCR will not recommend that the CFTC take enforcement action against Shanghai Clearing House (SHCH) for failing to register as a derivatives clearing organization (DCO) pursuant to the Commodity Exchange Act (CEA).

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BOX Options Exchange: Changes To The BOX Fee Schedule

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Click here to download details of changes to the BOX fee schedule.

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