Is comonotonicity a good property for risk measures?. (arXiv:1602.05477v1...
We study comonotonicity of regulatory risk measures in terms of the primitives of the theory of risk measures: acceptance sets and eligible assets. We show that comonotonicity cannot be characterized...
View ArticleRobust Financial Bubbles. (arXiv:1602.05471v1 [q-fin.MF])
We study the concept of financial bubble in a market model endowed with a set of probability measures, typically mutually singular to each other. In this setting we introduce the notions of robust...
View ArticlePower-law cross-correlations estimation under heavy tails....
We examine the performance of six estimators of the power-law cross-correlations -- the detrended cross-correlation analysis, the detrending moving-average cross-correlation analysis, the height...
View ArticleStudies on Regional Wealth Inequalities: the case of Italy....
The paper contains a short review of techniques examining regional wealth inequalities based on recently published research work but is also presenting unpublished features. read more...
View ArticleFilterbased Stochastic Volatility in Continuous-Time Hidden Markov Models....
Regime-switching models, in particular Hidden Markov Models (HMMs) where the switching is driven by an unobservable Markov chain, are widely-used in financial applications, due to their tractability...
View ArticleHong Kong's Securities And Futures Commission Issues Third-Quarter Report
The Securities and Futures Commission (SFC) today published its Quarterly Report summarising key developments from October to December 2015.read more...
View ArticleCHAIN-FINANCE To Debut Blockchain Finance Workshop In London 16 March, 2016 -...
CHAIN-FINANCE, a provider of news, research & workshops on blockchain technologies for global financial services, today announced the debut of its first Blockchain-Finance Workshop in London on...
View ArticleEuropean Commission: Speech By Commissioner Jonathan Hill At The European...
Ladies and Gentlemen,read more...
View ArticleHKEx: Stock Exchange Participants' Market Share Report
Updated: 18/02/2016 read more...
View ArticleBroadridge Invests In Corporate Governance Solutions Provider To Expand...
Broadridge Financial Solutions, Inc. (NYSE:BR) today announced that it has enhanced its corporate governance solution offering in Europe by taking a minority stake and entering into an exclusive...
View ArticleKingston Uni releases monetarily sound forecast model of US Economy
PERG economists are developing a macroeconometric model to track the evolution of the US economy over the medium term, which is 3-5 years:read more...
View ArticleTokyo Commodity Exchange: Suspension Of Listing New Contracts Of Gold Options
The Tokyo Commodity Exchange, Inc. will update Gold options contract specifications in conjunction with the launch of the new trading system scheduled on September 20. To maintain consistent contract...
View ArticleBISX CEO Addresses Rotary Club Of East Nassau - BISX CEO: âBahamian...
In a decade defined more by economic challenge than growth worldwide, The Bahamas International Securities Exchange (BISX) market has surged nearly 400% from a market capitalization of $820 million at...
View ArticleSIFMA President And CEO Kenneth E. Bentsen, Jr. Named Chairman Of Financial...
SIFMA announced today that the members of the Engage China coalition have agreed the Honorable Kenneth E. Bentsen, Jr. will take over as chairman. Mr. Bentsen is currently the president and CEO of...
View ArticleFederal Reserve Board Issues Interim Final Rule Regarding Dividend Payments...
The Federal Reserve Board on Thursday issued an interim final rule that amends Regulation I to implement provisions of the Fixing America's Surface Transportation (FAST) Act. The FAST Act reduced the...
View ArticleBM&FBOVESPA Announces Results For The Fourth Quarter Of 2015
BM&FBOVESPA S.A. (ticker: BVMF3) today reported its fourth-quarter earnings for the period ending on December 31, 2015 (4Q15). In this quarter, revenues reached R$603.3 million, a 1.8% increase...
View ArticleIIIROC Issues Compliance Priorities Report For 2015/2016 - Signals Key...
The Investment Industry Regulatory Organization of Canada (IIROC) today published its annual Compliance Priorities Report outlining its key compliance and registration priorities for 2016.read more...
View ArticleOntario Securities Commission Releases Results Of Insider Reporting...
The Ontario Securities Commission (OSC) today published OSC Staff Notice 51-726 Report on Staff’s Review of Insider Reporting and User Guides for Insiders and Issuers, which sets out the results of its...
View ArticlePathways towards instability in financial networks. (arXiv:1602.05883v1...
There is growing consensus that processes of market integration and risk diversification may come at the price of more systemic risk. Indeed, financial institutions are interconnected in a network of...
View ArticleOn the Profitability of Optimal Mean Reversion Trading Strategies....
We study the profitability of optimal mean reversion trading strategies in the US equity market. Different from regular pair trading practice, we apply maximum likelihood method to construct the...
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