CME Group Announces First Trades Of Alumina FOB Australia (Platts) Futures
CME Group, the world's leading and most diverse derivatives marketplace, today announced that the first Alumina FOB Australia (Platts) Futures contracts were traded on Tuesday, Oct. 25, 2016. A total...
View ArticleCFTC Swaps Report Update
CFTC's Weekly Swaps Report has been updated, and is now available.read more...
View ArticleStatement On Exemptions To Facilitate Intrastate And Regional Securities...
Good morning. I want to thank the staff for their hard work on these rules. Specifically, I would like to thank Anthony Barone, Jenny Reigel, Ivan Griswold and Sebastian Gomez in the Office of Small...
View ArticleOffice Of The Comptroller Of The Currency Issues Responsible Innovation...
The Office of the Comptroller of the Currency (OCC) today announced it will establish an office dedicated to responsible innovation and implement a formal framework to improve the agency’s ability to...
View ArticleStatement On The Proposed Rule To Require The Use Of Universal Proxies, SEC...
Good morning. I would like to thank the staff for all of their hard work leading up to this proposal.  The team spent a lot of time listening to and considering a variety of views regarding the issue...
View ArticleCBOE Holdings Declares Fourth-Quarter 2016 Dividend
CBOE Holdings, Inc. (NASDAQ: CBOE) announced today that its Board of Directors has declared a quarterly cash dividend of $0.25 per share of common stock for the fourth quarter of 2016. The...
View ArticleDissenting Statement At Open Meeting On Universal Proxy, SEC Commissioner...
Thank you, Chair White. read more...
View ArticleStatement At Open Meeting On Adoption Of Updated Rules regarding Intrastate...
Thank you, Chair White. Today’s adopting release is a well-crafted and thoughtful adoption of the Commission’s proposal to modernize and improve our rules related to intrastate offerings and Rule 504...
View ArticleâPeak Stateâ Linkfest - The Greatest Evil The World Has Ever Seen
Just some timely links to the incredible pathological evil around the world today. (Although these aer focused on the pathological criminals in the U.S.) Something to contemplate before the November...
View ArticleMinimum spanning tree filtering of correlations for varying time scales and...
Based on a recently proposed $q$-dependent detrended cross-correlation coefficient $\rho_q$ (J.~Kwapie\'n, P.~O\'swi\k{e}cimka, S.~Dro\.zd\.z, Phys. Rev.~E 92, 052815 (2015)), we introduce a family of...
View ArticleA Comparison of Various Electricity Tariff Price Forecasting Techniques in...
It is very vital for suppliers and distributors to predict the deregulated electricity prices for creating their bidding strategies in the competitive market area. Pre requirement of succeeding in this...
View ArticleIncome and wealth distribution of the richest Norwegian individuals: An...
Using the empirical data from the Norwegian tax office, we analyse the wealth and income of the richest individuals in Norway during the period 2010--2013. We find that both annual income and wealth...
View ArticleAsymptotics for rough stochastic volatility models. (arXiv:1610.08878v1...
Using the large deviation principle (LDP) for a re-scaled fractional Brownian motion $B^H_t$ where the rate function is defined via the reproducing kernel Hilbert space, we compute small-time...
View ArticleAgnostic Risk Parity: Taming Known and Unknown-Unknowns. (arXiv:1610.08818v1...
Markowitz' celebrated optimal portfolio theory generally fails to deliver out-of-sample diversification. In this note, we propose a new portfolio construction strategy based on symmetry arguments only,...
View ArticleThe dual representation problem of risk measures. (arXiv:1610.08806v1...
The objective of this paper is to present a comprehensive study of the dual representation problem of risk measures and convex functionals on a Banach lattice $X$. Of particular interest is the case...
View ArticleIntrinsic risk measures. (arXiv:1610.08782v1 [q-fin.RM])
Monetary risk measures are usually interpreted as the smallest amount of external capital that must be added to a financial position to make it acceptable. We propose a new concept: intrinsic risk...
View ArticleEquity Market Impact Modeling: an Empirical Analysis for Chinese Market....
Market impact has become a subject of increasing concern among academics and industry experts. We put forward a price impact model which considers the heteroscedasticity of price in the time dimension...
View ArticleOn exponential functionals of processes with independent increments....
In this paper we study the exponential functionals of the processes $X$ with independent increments , namely$$I\_t= \int \_0^t\exp(-X\_s)ds, \_,\,\, t\geq 0,$$ and also$$I\_{\infty}= \int...
View Article$\kappa$-generalized models of income and wealth distributions: A survey....
The paper provides a survey of results related to the "$\kappa$-generalized distribution", a statistical model for the size distribution of income and wealth. Topics include, among others, discussion...
View ArticleUtility Maximization and Indifference Value under Risk and Information...
In this article we consider an optimization problem of expected utility maximization of continuous-time trading in a financial market. This trading is constrained by a benchmark for a utility-based...
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