CFTC Financial Data For Futures Commission Merchants Update
Futures commission merchants (FCMs) and retail foreign exchange dealers (RFEDs) must file monthly financial reports with the CFTC's Division of Swap Dealer and Intermediary Oversight (DSIO) within 17...
View ArticleTechnological Innovation In The Financial Sector - Autorité Des...
The Autorité des marchés financiers (the “AMF”) has announced the creation of a fintech working group. Its primary mandate is to analyze technological innovations in the financial sector and anticipate...
View ArticleBritish Columbia Securities Commission Releases 2016 Annual Compliance Report...
The British Columbia Securities Commission (BCSC) today published its 2016 Annual Compliance Report Card. The report card summarizes the compliance strengths and weaknesses found in B.C.-based...
View ArticleNew York State Department of Financial Services Grants Virtual Currency...
Maria T. Vullo, Acting Superintendent of Financial Services, today announced that the New York State Department of Financial Services (DFS) has approved the application of XRP II, LLC, an affiliate of...
View ArticleHSBC Entities Settle With British Columbia Securities Commission For Charging...
In a settlement agreement with the British Columbia Securities Commission (BCSC), HSBC Investment Funds (Canada) Inc. (HIFC) and HSBC Private Wealth Services (Canada) Inc. (HPWS) have agreed they...
View ArticleMIAX Options Exchange: MIAX Options - Introducing Additional Report Types
The MIAX Options Exchange is pleased to announce that beginning with the June 2016 billing period, MIAX is introducing the following new reports/transmissions:read more...
View ArticleThe Sound of Silence: equilibrium filtering and optimal censoring in...
Following the approach of standard filtering theory, we analyse investor-valuation of firms, when these are modelled as geometric-Brownian state processes that are privately and partially observed, at...
View ArticleKolmogorov Space in Time Series Data. (arXiv:1606.03901v1 [q-fin.MF])
We provide the proof that the space of time series data is a Kolmogorov space with $T_{0}$-separation axiom using the loop space of time series data. In our approach we define a cyclic coordinate of...
View ArticleExact Smooth Term Structure Estimation. (arXiv:1606.03899v1 [q-fin.MF])
We introduce a novel method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse such that 1) the market quotes are exactly replicated, 2) the curve has maximal...
View ArticleMean field games of timing and models for bank runs. (arXiv:1606.03709v1...
The goal of the paper is to introduce a set of problems which we call mean field games of timing. We motivate the formulation by a dynamic model of bank run in a continuous-time setting. We briefly...
View ArticleUnravelling the Asymmetric Volatility Puzzle: A Novel Explanation of...
This paper discusses a novel explanation for asymmetric volatility based on the anchoring behavioral pattern. Anchoring as a heuristic bias causes investors focusing on recent price changes and price...
View ArticleIncentivizing Resilience in Financial Networks. (arXiv:1606.03595v1 [q-fin.EC])
When banks extend loans to each other, they generate a negative externality in the form of systemic risk. They create a network of interbank exposures by which they expose other banks to potential...
View ArticleMarket Microstructure During Financial Crisis: Dynamics of Informed and...
We implement a market microstructure model including informed, uninformed and heuristic-driven investors, which latter behave in line with loss-aversion and mental accounting. We show that the...
View ArticleOsaka Securities Exchange: Latest Update Of Deliverable Bonds And Conversion...
Deliverable bonds and conversion factors of JGB Futures (5-year, 10-year & 20-year)read more...
View ArticleHong Kong's Securities And Futures Commission: Keynote Speech At ASIFMA-GFMA...
A speech entitled “Liquidity Risk Management of Investment Funds" delivered by Ms Julia Leung on 14 June 2016 was posted on the SFC website today.
View ArticleASIC Reports On ASX's Listing Standards
ASIC has today released its assessment report on the listing standards of the Australian Securities Exchange Limited (ASX), which concludes that up to this point in time ASX has met its statutory...
View ArticleREVISION: Pricing Under Rough Volatility
From an analysis of the time series of volatility using recent high frequency data, Gatheral, Jaisson and Rosenbaum previously showed that log-volatility behaves essentially as a fractional Brownian...
View ArticleMIAX Options - Announcement Of Secondary MIAX Options Trading System...
As previously communicated in the April 1st, 2016 alert announcing MIAX’s comprehensive data center migration and cable equalization plan, MIAX will commence the first phase of its data center...
View ArticleFinancial Stability Oversight Council To Meet June 21
On Tuesday, June 21, U.S Secretary of the Treasury Jacob J. Lew will preside over a meeting of the Financial Stability Oversight Council (Council) at the Treasury Department. The agenda will include...
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