IFDP 2016-1181: Can Learning Explain Boom-Bust Cycles In Asset Prices? An...
Colin Caines | Explaining asset price booms poses a difficult question for researchers in macroeconomics: how can large and persistent price growth be explained in the absence large and persistent...
View ArticleIFDP 2016-1182: Option-Implied Libor Rate Expectations across Currencies
Nick Gebbia | In this paper, I study risk-neutral probability densities regarding future Libor rates denominated in British pounds, euros, and US dollars as implied by option prices. I apply Breeden...
View ArticleSIFMA AMG Statement On Todayâs SEC Rulemakings
SIFMA’s Asset Management Group (AMG) issued the following statement on today’s rulemakings by the Securities and Exchange Commission (SEC) from Timothy Cameron, managing director and head of SIFMA AMG:...
View ArticleStatement On Adoption Of Investment Company Reporting Modernization, SEC...
In 2015, the Commission issued two proposals to modernize reporting requirements for registered investment advisers and registered investment funds. We adopted the first of these proposals in August....
View ArticleThe Impact Of SEC Enforcement On Public Finance, Andrew J. Ceresney,...
Introductionread more...
View ArticleStatement At Open Meeting On Investment Company Liquidity Risk Management...
Thank you, Chair White.read more...
View ArticleMoscow Exchange: Risk Parameters Change For The Securities RUAL And RUALR
The following risk parameters will be changed:read more...
View ArticleSEC: Company To Pay Penalty For Stock Picking Game That Was An Unregistered Swap
The Securities and Exchange Commission today announced that a New York-based company has agreed to pay a $50,000 penalty for illegally offering complex derivatives products to retail investors through...
View ArticleRemarks By US Treasury Secretary Jacob J. Lew On A Press Conference Call...
Today, Treasury is announcing our final earnings stripping regulations. Earnings stripping is commonly used to minimize taxes after an inversion, and a contributing factor to the erosion of the U.S....
View ArticleUS Treasuryâs Issues Final Earnings Stripping Regulations To Narrowly...
Today, the U.S. Department of Treasury and the Internal Revenue Service (IRS) issued final regulations to address earnings stripping. This action will further reduce the benefits of corporate tax...
View ArticleThomson Reuters Launches Specialized Intraday Pricing Service Directed At...
Thomson Reuters has introduced a specialized intraday evaluated pricing service for money market instruments, providing evaluated pricing that is updated throughout the global business day for public...
View ArticleA remark on Gatheral's 'most-likely path approximation' of implied...
We give a new proof of the representation of implied volatility as a time-average of weighted expectations of local or stochastic volatility. With this proof we clarify the question of existence of...
View ArticleThe Fatou Property under Model Uncertainty. (arXiv:1610.04085v1 [math.FA])
We provide a characterization in terms of Fatou property for weakly closed monotone sets in the space of $\Pcal$-quasisure bounded random variables, where $\Pcal$ is a (possibly non-dominated) class of...
View ArticleTime value of extra information against its timely value. (arXiv:1610.04051v1...
We introduce an interactive market setup with sequential auctions where agents receive variegated signals with a known deadline. The effects of differential information and mutual learning on the...
View ArticleOptimal Consumption and Investment with Fixed and Proportional Transaction...
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions...
View ArticleA framework for analyzing contagion in assortative banking networks....
We introduce a probabilistic framework that represents stylized banking networks with the aim of predicting the size of contagion events. Most previous work on random financial networks assumes...
View ArticleShenzhen Stock Exchange Kicks Off Global Roadshows For Shenzhen-Hong Kong...
On October 13, 2016, Shenzhen Stock Exchange (SZSE) and Hong Kong Exchanges and Clearing Limited (HKEx) kicked off their global roadshows for Shenzhen-Hong Kong Stock Connect in Hong Kong. SZSE...
View ArticleASIC's Opening Address To The House Of Representatives Standing Committee On...
Banks play a critical role in supporting economic growth and meeting the financial needs of Australian people.read more...
View ArticleTaiwanâs Road To ASEAN Opens Through Malaysiaâs Stock Market
Invest Malaysia 2016 | Taiwan (IM 2016 Taiwan) capital market roadshow was host to more than 45 Taipei-based institutional fund managers from 29 organisations who met 1-on-1 with leading companies...
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