Proportionality in banking regulation: a cross-country comparison
Proportionality in banking regulation: a cross-country comparison, FSI insights No 1, 2 August 2017
View ArticleRegulatory approaches to enhance banks' cybersecurity frameworks
Regulatory approaches to enhance banks' cybersecurity frameworks, FSI insights No 2, 2 August 2017
View ArticleWiley: FinTech Innovation: From Robo-Advisors to Goal Based Investing and...
Book - FinTech Innovation: From Robo-Advisors to Goal Based Investing and Gamification @wiley_finance - https://t.co/BY9mVCZdEb â Financial Technologyâ¦
View ArticleWiley: Machine Trading: Deploying Computer Algorithms to Conquer the Markets...
Book - Machine Trading: Deploying Computer Algorithms to Conquer the Markets @wiley_finance - https://t.co/tAJk4uMIuW â Financial Technology (@fin_tech) Augustâ¦
View ArticleBitcoin Cash Soars to $700, Coinbase Customers Threaten to Sue
Bitcoin Cash Soars to $700, @coinbase Customers Threaten to Sue #BitcoinCash https://t.co/Uh8SWxlcr5 â Financial Technology (@fin_tech) August 2, 2017
View ArticleStock-flow consistent macroeconomic model with nonuniform distributional...
We report on results concerning a partially aggregated Stock Flow Consistent (SFC) macroeconomic model in the stationary state where the sectors of banks and firms are aggregated, the sector of...
View ArticleThe "Size Premium" in Equity Markets: Where is the Risk?....
We find that when measured in terms of dollar-turnover, and once $\beta$-neutralised and Low-Vol neutralised, the Size Effect is alive and well. With a long term t-stat of $5.1$, the "Cold-Minus-Hot"...
View ArticleControl-stopping Games for Market Microstructure and Beyond....
In this paper, we present a family of a control-stopping games which arise naturally in equilibrium-based models of market microstructure, as well as in other models with strategic buyers and sellers....
View ArticleU.S. Senate Unanimously Confirms Giancarlo as Chairman, Quintenz and Behnam...
The U.S. Senate today voted unanimously to confirm the nomination of J. Christopher Giancarlo as Chairman for the U.S. Commodity Futures Trading Commission. In addition, Brian D. Quintenz and Rostin...
View ArticleStatement of CFTC Commissioner Sharon Y. Bowen on the Confirmation Russ...
Statement of CFTC Commissioner Sharon Y. Bowen on the Confirmation Russ Behnam and Brian Quintenz as CFTC Commissioners
View ArticleStatement of CFTC Commissioner Sharon Y. Bowen on the Confirmation of J....
Statement of CFTC Commissioner Sharon Y. Bowen on the Confirmation of J. Christopher Giancarlo as Chairman
View ArticleWhy we like the ECI+ algorithm. (arXiv:1708.01161v1 [q-fin.EC])
Recently a measure for Economic Complexity named ECI+ has been proposed by Albeaik et al. We like the ECI+ algorithm because it is mathematically identical to the Fitness algorithm, the measure for...
View ArticleWhy the Scariest Nuclear Threat May Be Coming from Inside the White House
Terrifying long read about the current state of play at the US Dept of Energy. https://t.co/B9mczrc3ej â moneyscience (@moneyscience) August 10, 2017
View ArticleCFTC Staff Grants Relief to Market Participants from Certain Position...
The U.S. Commodity Futures Trading Commissionâs (CFTC) Division of Market Oversight (DMO) today granted relief to market participants in complying with certain position aggregation requirements. This...
View ArticleConditional-Mean Hedging Under Transaction Costs in Gaussian Models....
We consider so-called regular invertible Gaussian Volterra processes and derive a formula for their prediction laws. Examples of such processes include the fractional Brownian motions and the mixed...
View ArticleSure profits via flash strategies and the impossibility of predictable jumps....
In an arbitrage-free financial market, asset prices should not exhibit jumps of a predictable magnitude at predictable times. We provide a rigorous formulation of this result in a fully general...
View ArticleDecoding Stock Market with Quant Alphas. (arXiv:1708.02984v1 [q-fin.PM])
We give an explicit algorithm and source code for extracting expected returns for stocks from expected returns for alphas. Our algorithm altogether bypasses combining alphas with weights into "alpha...
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