How to improve accuracy for DFA technique. (arXiv:1602.00629v1 [q-fin.ST])
This paper extends the existing literature on empirical estimation of the confidence intervals associated to the Detrended Fluctuation Analysis (DFA). We used Montecarlo simulation to evaluate the...
View ArticleStock loans with liquidation. (arXiv:1602.00619v1 [q-fin.PR])
We derive a semi-analytic solution for a stock loan driven by a hyper-exponential model (HEM) in which the lender is allowed to liquidate when the stock drops to a sufficiently low price. To do so, we...
View ArticlePortfolio optimization under dynamic risk constraints. (arXiv:1602.00570v1...
We consider an investor faced with the classical portfolio problem of optimal investment in a log- Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption...
View ArticleTrading Strategy with Stochastic Volatility in a Limit Order Book Market....
In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security...
View ArticleSome Contra-Arguments for the Use of Stable Distributions in Financial...
In the present paper, we discuss contra-arguments concerning the use of Pareto-Lev\'y distributions for modeling in Finance. It appears that such probability laws do not provide sufficient number of...
View ArticleModel-Free Discretisation-Invariant Swap Contracts. (arXiv:1602.00235v1...
The realised characteristics for Discretisation-Invariant (DI) swaps satisfy the aggregation property when restricted to multivariate processes that are deterministic functions of martingales. Hence DI...
View ArticleEmpirical Methods for Dynamic Power Law Distributions in the Social Sciences....
This paper introduces nonparametric econometric methods that characterize general power law distributions under basic stability conditions. These methods extend the literature on power laws in the...
View ArticleMarket correlation structure changes around the Great Crash....
We perform a comparative analysis of the Chinese stock market around the occurrence of the 2008 crisis based on the random matrix analysis of high-frequency stock returns of 1228 stocks listed on the...
View ArticleCoCos under short-term uncertainty. (arXiv:1602.00094v1 [q-fin.MF])
In this paper we analyze an extension of the Jeanblanc and Valchev (2005) model by considering a short-term uncertainty model with two noises. It is a combination of the ideas of Duffie and Lando...
View ArticleA Simple extension of Dematerialization Theory: Incorporation of Technical...
Dematerialization is the reduction in the quantity of materials needed to produce something useful over time. Dematerialization fundamentally derives from ongoing increases in technical performance but...
View ArticleShenzhen Stock Exchange Signs MOU With Tel Aviv Stock Exchange
Tel Aviv Stock Exchange (TASE) and Shenzhen Stock Exchange (SZSE) recently signed a Memorandum of Understanding (MOU) in Shenzhen. Mr. Wu Lijun, Chairman of SZSE and Mr. Amnon Neubach, Chairman of TASE...
View ArticleWorld Bank Expects Iron Ore To Be Worst-Performing Metal In Year
According to the prediction of the World Bank, the iron ore prices are likely to record the largest drops among all metals this year. The institution pointed out that the low-cost supplies have...
View ArticleTokyo Stock Exchange: Registered On The Lead Managing Underwriter List Of...
Today, Tokyo Stock Exchange registered J.P. Morgan Securities plc on the Lead Managing Underwriter List of the professional-oriented bond market, i.e. TOKYO PRO-BOND Market. According to this time’s...
View ArticleBursa Malaysia Registers Profit After Tax And Minority Interest Of RM198.6...
Key Financial & Market Highlights(FY2015 vs FY2014)read more...
View ArticleBursa Malaysia Securities Advises Investors To Exercise Caution In The...
Bursa Malaysia Securities wishes to draw investors' attention to the recent sharp rise in the price of LAYHONG shares and to the Company’s responses to the Unusual Market Activity queries issued by...
View Article02Feb/What drives inflation expectations in Brazil? Public versus private...
This article applies a noisy information model with strategic interactions à la Morris and Shin (2002) to a panel from the Central Bank of Brazil Market Expectations System to provide evidence of how...
View ArticleEurex Clearing Receives U.S. Regulatory Approval
Eurex Clearing, Europe’s leading clearing house and part of Deutsche Börse Group, has been approved by the Commodity Futures Trading Commission (CFTC) as a registered Derivatives Clearing Organization...
View ArticleUllensaker Kommune Lists Its First Bond Issues On Oslo Børs
The municipality of Ullensaker lists its first bond issues on Oslo Børs today.read more...
View ArticleINDATA Launches Compliance As A Service - iPM Epic Clients Offered New Global...
INDATA, a leading industry provider of software, technology and services for buy-side firms delivered via its iPM Epic platform, today announced that it has launched a Compliance-as-a-Service offering...
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