SPDE limit of the global fluctuations in rank-based models....
We consider systems of diffusion processes ("particles") interacting through their ranks (also referred to as "rank-based models" in the mathematical finance literature). We show that, as the number of...
View ArticleOn optimal investment with processes of long or negative memory....
We consider the problem of utility maximization for investors with power utility functions. Building on the earlier work Larsen et al. (2014), we prove that the value of the problem is a...
View ArticleA continuous and efficient fundamental price on the discrete order book grid....
This paper develops a model of liquidity provision in financial markets by adapting the Madhavan, Richardson, and Roomans (1997) price formation model to realistic order books with quote discretization...
View ArticleDalian Commodity Exchange Imposes Regulatory Measure On Client
Recently, a client surnamed Chen conducted self-trade on the relevant contracts of the iron ore futures for the third time, reaching the regulatory criteria of DCE. Based on the relevant requirements...
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Leadership Development through Service-Learning: New Directions for Student...
Explore service learning scholarship, and important elements of program design that achieves both leadership learning and community impact.This volume provides an overview of the most up-to-date...
View ArticleMNI China Auto Purchase Sentiment Report: Chinese Car Buying Sentiment Edges...
Consumers’ perceptions of the car purchase environment deteriorated slightly in July, according to the latest MNI China Auto Purchase Sentiment Report. Despite the fall in sentiment, a larger number of...
View ArticleASX Monthly Activity Report - July 2016
Attached is a copy of the Monthly Activity Report for July 2016. The document contains a combined ASX Group and ASX Compliance monthly activity report and replaces the separate monthly reports provided...
View ArticleTheCityUK Sets Out Post-Brexit Industry Vision For Future Growth & Success
A new report, released today by TheCityUK, sets out a future vision for the UK-based financial and related professional services industry to ensure its long-term growth and success. As an international...
View ArticleUK's Financial Conduct Authority Statement On Redress Methodology For Pension...
The Financial Conduct Authority (FCA) has today announced that it intends to consult in autumn 2016 to update the methodology used to calculate the levels of redress due in cases of unsuitable advice...
View ArticleETFGI Reports Assets Invested In Smart Beta ETFs/ETPs Listed Globally Reached...
ETFGI, the leading independent research and consultancy firm on trends in the global ETF/ETP ecosystem, today reported assets invested in smart beta ETFs/ETPs listed in globally reached a new record...
View ArticleNSD Appoints New Senior Managers
National Settlement Depository (NSD), Russia’s central securities depository, announces new management appointments: Artyom Duvanov was appointed Director for Innovations, Denis Buryakov was named...
View ArticleAlgomi Announces Launch Of Synchronicity SaaS - Bank Data Matching Engine Now...
Algomi, the network company providing information-matching solutions for the optimisation of fixed income liquidity, has announced the roll-out of its award winning sell-side engine, Synchronicity, as...
View ArticleNasdaq Filing Of Quarterly Report For Quarter Ended June 30, 2016
On August 3, 2016, Nasdaq filed its quarterly report on Form 10-Q for the quarter ended June 30, 2016 with the U.S. Securities and Exchange Commission. The Form 10-Q can be accessed on Nasdaq's website...
View ArticleIntercontinental Exchange Plans 5-For-1 Stock Split - Board Approves Third...
Intercontinental Exchange (NYSE: ICE), a leading operator of global exchanges and clearing houses and provider of data and listings services, announced today that its Board of Directors has approved...
View ArticleCFTC Orders Georgia Resident Jonathan A. Parker And His Company QuantX...
The U.S. Commodity Futures Trading Commission (CFTC) today entered an Order requiring Jonathan A. Parker and QuantX Capital, LLC (QuantX), both of Marietta, Georgia, jointly and severally to pay a...
View ArticleIntercontinental Exchange Reports ICE & NYSE July 2016 Statistics
Intercontinental Exchange, Inc. (NYSE:ICE), a leading operator of global exchanges and clearing houses and provider of data and listings services, today reported July 2016 trading volume and related...
View ArticleFINRA Fines Barclays Capital Inc. $1.3 Million For Extensive OATS Reporting...
The Financial Industry Regulatory Authority (FINRA) announced today that it has fined Barclays Capital Inc. $1.3 million for systemic Order Audit Trail System (OATS) reporting violations and related...
View ArticleCFTC Swaps Report Update
CFTC's Weekly Swaps Report has been updated, and is now available.read more...
View ArticleTMX Group Announces Business Integration Initiative - Canada's Premier...
TMX Group Limited today announced a business integration initiative that is designed to advance the company's evolution as a client-driven solutions provider to the Canadian and global capital markets....
View ArticleEfficient exposure computation by risk factor decomposition....
The focus of this paper is the efficient computation of counterparty credit risk exposure on portfolio level. Here, the large number of risk factors rules out traditional PDE-based techniques and...
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