Naive Risk Parity Portfolio with Fractal Estimation of Volatility....
A fractal approach to long-only portfolio optimization is proposed. The quantitative system is based on naive risk parity approach. The core of the optimization scheme is a fractal distribution of...
View ArticleNon-parametric and semi-parametric asset pricing. (arXiv:1703.09500v1...
We find that the CAPM fails to explain the small firm effect even if its non-parametric form is used which allows time-varying risk and non-linearity in the pricing function. Furthermore, the linearity...
View ArticleAnalysis of Realized Volatility for Nikkei Stock Average on the Tokyo Stock...
We calculate realized volatility of the Nikkei Stock Average (Nikkei225) Index on the Tokyo Stock Exchange and investigate the return dynamics. To avoid the bias on the realized volatility from the...
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The Best of the Aleph Blog, Part 26
Photo Credit: richard winchell || No, don’t study the Kabbalah…read more...
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Enhancements to the Pillar 3 disclosure framework issued by the Basel Committee
Press release about enhancements to the Pillar 3 disclosure framework issued by the Basel Committee, 29 March 2017.
View ArticleRegulatory treatment of accounting provisions
Press release about the Basel Committee publishing a paper on regulatory treatment of accounting provisions, 29 March 2017.
View ArticlePillar 3 disclosure requirements - consolidated and enhanced framework
"Pillar 3 disclosure requirements - consolidated and enhanced framework" published by the Basel Committee, March 2017
View ArticleRegulatory treatment of accounting provisions - interim approach and...
"Regulatory treatment of accounting provisions - interim approach and transitional arrangements" published by the Basel Committee, March 2017
View ArticleVideo Statement By European Council EU27 Leaders following UK Brexit...
Press statement by President Tuskread more...
View ArticleMillennium Exchange Releae 9.2 - MiFID II Oslo Børs - New...
Millennium Exchange Release 9.2, MiFID II Oslo Børs, will be implemented by the end of 2017 and will consist of adaptations to ensure MiFID II compliance. read more...
View ArticleMIAX Options - Postponed Activation Of Complex Market Orders And MIAX Price...
MIAX Options has postponed the activation of Complex Market Order Functionality and MIAX Price Collars (MPC) for Complex Orders and Complex eQuotes as previously announced in the March 21, 2017 Alert....
View ArticleCBOE Holdings Announces First Stages Of Technology Integration Plan - CFE To...
CBOE Holdings, Inc. (BATS: CBOE | NASDAQ: CBOE) today announced that the CBOE Futures Exchange (CFE) will be the first of the CBOE Holdings exchanges to migrate onto the Bats technology platform, with...
View ArticleFeri EuroRating Services AG CRA Registration Withdrawn Following Acquisition
The European Securities and Markets Authority (ESMA) has today withdrawn the credit rating agency (CRA) registration of Feri EuroRating Services AG (Feri EuroRating).read more...
View ArticleSIX Swiss Exchange Welcomes A New Company - Today The Shares Of Rapid...
The shares of Rapid Nutrition PLC (“Rapid Nutrition”) were listed today under the “International Reporting Standard” on SIX Swiss Exchange. The issued share capital of Rapid Nutrition comprises...
View ArticleOTC Marketsâ Transfer Agent Verified Shares Program Expands With...
OTC Markets Group Inc. (OTCQX: OTCM), operator of financial markets for 10,000 U.S. and global securities, today announced Colonial Stock Transfer Co. Inc. and Transfer Online, Inc. have joined OTC...
View ArticleCorrection: DTCCâs Omgeo ALERT Completes Enhancements To Become...
The Depository Trust & Clearing Corporation (DTCC), the premier post-trade market infrastructure for the global financial services industry, today announced that its Omgeo ALERT (ALERT) solution, a...
View ArticleEuropean Commission - Fact Sheet - Article 50 Of The Treaty On European Union...
What is Article 50?read more...
View ArticleRWE Extends EEX Market Making Agreement To Spanish, French And Italian Power
The European Energy Exchange (EEX) has welcomed RWE Supply & Trading GmbH as a market maker for the Spanish, French and Italian Power Futures Markets. Under the new agreement RWE Supply &...
View ArticleFIEMS: Fast Italian Energy Market Simulator. (arXiv:1703.09782v1 [q-fin.CP])
The article describes the algorithm used to define the electricity price in day-ahead and itraday energy markets in Italy. Details of Matlab implementation of one of its simplified versions, capable of...
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