Vibrato and automatic differentiation for high order derivatives and...
This paper deals with the computation of second or higher order greeks of financial securities. It combines two methods, Vibrato and automatic differentiation and compares with other methods. We show...
View ArticleAn "inverse square law" for the currency market: Uncovering hidden...
Identifying universal behavior is a challenging task for far-from-equilibrium complex systems. Here we investigate the collective dynamics of the international currency exchange market and show the...
View ArticleUsing String Invariants for Prediction Searching for Optimal Parameters....
We have developed a novel prediction method based on string invariants. The method does not require learning but a small set of parameters must be set to achieve optimal performance. We have...
View ArticleA new decomposition of portfolio return. (arXiv:1606.05877v1 [q-fin.MF])
For a functionally generated portfolio, there is a natural decomposition of the relative log-return into the log-change in the generating function and a drift process. In this note, this decomposition...
View ArticleCalPERS Names Douglas Hoffner Interim CEO
The California Public Employees' Retirement System (CalPERS) Board of Administration today appointed Douglas Hoffner as the Pension Fund's Interim Chief Executive Officer (CEO) as it completes its...
View ArticleInternational Customer Trades Increased To 52.1% Of Total Volulme At Tokyo...
The Tokyo Commodity Exchange, Inc announced today that the May 2016 monthly volume of customer trades (combined sell & buy sides) originating overseas was 2,172,946 contracts, accounting for 52.1...
View ArticleSGX Welcomes Frasers Logistics & Industrial Trust To Mainboard
Singapore Exchange (SGX) today welcomed Frasers Logistics & Industrial Trust to its Mainboard under the stock code “BUOU”. read more...
View ArticleNetwork Service Interruption At SIX
As already outlined in our statement yesterday, there have been a number of network disruptions to our services. Though various services from different divisions have been affected, the processing of...
View ArticleFidessa And Commcise Solve Industry MiFID II Unbundling Conundrum - New...
Fidessa group plc (LSE: FDSA) has today announced a new partnership with Commcise that brings to the market a transactional method for funding Research Payment Accounts (RPAs). This allows the industry...
View ArticleDeutsche Börse Establishes A Corporate Venture Capital Platform
As an important additional element of its growth strategy “Accelerate”, Deutsche Börse Group today announced the launch of a dedicated corporate venture capital (CVC) platform – DB1 Ventures. The DB1...
View ArticleProject Sentinel: Industry Participants Collaborate On MiFID II...
Project Sentinel, a collaborative initiative by a group of banks to mutualise the cost of MiFID II implementation in the OTC front office, has announced the creation of a normalised regulatory data...
View ArticleJapanâs Financial Services Agency: Publication Of The Report By The...
The “Working Group on Financial Group of the Financial System Council” (chairman Shinsaku IWAHARA, professor, Waseda University Law School) has discussed and deliberated nine times on the institutional...
View ArticleESMA: Steven Maijoor Speaks At European Parliament On MiFID II
Steven Maijoor, Chair of the European Securities and Markets Authority (ESMA), today gave a statement to the European Parliament’s Economic and Monetary Affairs Committee (ECON) on MiFID II during its...
View ArticleJapanâs Financial Services Agency: Publication Of The Final Report By...
The “Working Group on Payment and Transaction Banking” of the Financial System Council (chairman Tetsuo MORISHITA, professor, Sophia University Law School) has discussed and deliberated seven times on...
View ArticleProfessor Michael Dougan on the EU Referendum
Professor of European Law at the University of Liverpool, Professor Dougan provides his viewpoint on the EU referendum, and discussed the facts and figures circulated by both the ‘Leave’ and ‘Remain’...
View ArticleHKEX And KRX Sign Non-Binding Letter Of Intent
Hong Kong Exchanges and Clearing Limited (HKEX) and Korea Exchange (KRX) today (Tuesday) signed a non-binding letter of intent (LOI) to explore the cross-listing of their equity derivatives in each...
View ArticleFirst Independent Chinese Issuer Lists ETF On London Stock Exchange
London Stock Exchange today welcomes a new fixed income ETF from Fullgoal Asset Management (HK) Limited (Fullgoal), a leading Chinese investment firm. The Fullgoal FTSE China Onshore Sovereign and...
View ArticleHKEX: Arrangements For Adjustment Of Hengan Structured Products And Options
Hong Kong Exchanges and Clearing Limited (HKEX) has announced the arrangements for the adjustment to Hengan International Group Company Limited (Hengan) structured products and options to account for...
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