Dissecting cross-impact on stock markets: An empirical analysis....
The vast majority of recent studies in market impact assess each product individually, and the interactions between their order flows are disregarded. This strong approximation may lead to an...
View ArticleStochastic Tail Exponent For Asymmetric Power Laws. (arXiv:1609.02369v1...
We examine random variables in the power law/slowly varying class with stochastic tail exponent, the exponent $\alpha$ having its own distribution. We show the effect of stochasticity of $\alpha$ on...
View ArticleGeneralized Autoregressive Score Models in R: The GAS Package....
This paper presents the R package GAS for the analysis of time series under the Generalized Autoregressive Score (GAS) framework of Creal et al. (2013) and Harvey (2013). The distinctive feature of the...
View ArticleA superhedging approach to stochastic integration. (arXiv:1609.02349v1...
Using Vovk's outer measure, which corresponds to a minimal superhedging price, the existence of quadratic variation is shown for "typical price paths" in the space of non-negative c\`adl\`ag functions....
View ArticleThe interaction between trade and FDI: the CEE countries experience....
Inside the EU, the commercial integration of the CEE countries has gained remarkable momentum before the crisis appearance, but it has slightly slowed down afterwards. Consequently, the interest in...
View ArticleTehran Stock Exchange Weekly Market Review
Click here to download Tehran Stock Exchange's weekly market review.
View ArticleBulgarian Stock Exchange Monthly Summary August 2016
Click here to doenlosd the BSE Market Statistics for August 2016.
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11Sep/Governors and Heads of Supervision announce progress in finalising...
Press release about Governors and Heads of Supervision announcing progress in finalising post-crisis regulatory reforms (11 September 2016). Progress is being made in finalising post-crisis regulatory...
View ArticleThe Coming Collapse Of Scientific RationalismâSomething Is Wrong With...
Hello to the many tens of thousands of readers, or maybe I should say former readers of this blog and my writings elsewhere. Or, what is left of you, which Iâm assuming isnât a lot. Iâm not dead...
View ArticleCanonical Supermartingale Couplings. (arXiv:1609.02867v1 [math.PR])
Two probability distributions $\mu$ and $\nu$ in second stochastic order can be coupled by a supermartingale, and in fact by many. Is there a canonical choice? We construct and investigate two...
View ArticleValue at risk and the diversification dogma. (arXiv:1609.02774v1 [q-fin.RM])
The so-called risk diversification principle is analyzed, showing that its convenience depends on individual characteristics of the risks involved and the dependence relationship among them. read more...
View Articleâ9th International Corn Industry Conference (ICIC)â To Kick Off...
Sponsored by Dalian Commodity Exchange (DCE), the “9th International Corn Industry Conference (ICIC)” will be held in Dalian on September 13. With the theme of “Development Opportunities in the...
View Article12Sep/Regional pull vs global push factors: China and US influence on...
This paper compares spillovers from the US and Chinese financial markets to the rest of Asia-Pacific. Structural VAR analysis points to the growing influence of Chinese equities and currency movements....
View ArticleTokyo Commodity Exchange: Good Delivery Material Price Differential For...
The price differential of the Good Delivery material for the September 2016 contract month in the Rubber market has be determined as follows,read more...
View ArticleMEFF Launches Future Contracts On The IBEX 35 Bank And IBEX 35 Energy Indices...
The contracts that can be traded as of this date are on the IBEX 35 BANK and on IBEX 35 ENERGY indices, once, in July, the Spanish stock market regulator (CNMV), approved the amendment of the General...
View ArticleHKEX: Special Intra-Day Margin Call In Respect Of The Day Following The...
The Traded Options Market will be closed for business on 16 September 2016. In order to assure that safeguards are in place against potential market risk that may arise during the aforesaid period when...
View ArticleThai Bourse Market Report For August 2016
The Stock Exchange of Thailand (SET) Index, with upbeat results, continuously increased to 1,548.44, underpinned by the ongoing capital inflows into Asia. Consequently, foreign investors were net...
View ArticleRussia's National Settlement Depository Opens Account With Georgian CSD
On 9 September 2016, National Settlement Depository (NSD), Russia’s central securities depository, and the Georgian Central Securities Depository (GCSD) signed an agreement to open an account of NSD...
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