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Articles on this Page
- 12/15/15--17:25: _Rate rise: What dif...
- 12/15/15--17:26: _What is the World T...
- 12/15/15--17:27: _VIDEO: Making an 'e...
- 12/15/15--17:28: _VIDEO: What's chang...
- 12/15/15--17:47: _Deep Learning Stock...
- 12/15/15--17:48: _The Multivariate Mi...
- 12/15/15--17:49: _Edgeworth expansion...
- 12/15/15--17:50: _Heath-Jarrow-Morton...
- 12/15/15--17:51: _Constrained Quadrat...
- 12/15/15--18:10: _Domino's buys bigge...
- 12/15/15--18:11: _Rolls-Royce sacks t...
- 12/15/15--18:40: _Think tank floats '...
- 12/15/15--19:22: _Shares in Asia up a...
- 12/15/15--22:34: _US Justice Departme...
- 12/15/15--22:35: _US Financial Servic...
- 12/15/15--23:12: _Indonesia forest fi...
- 12/15/15--23:29: _KRX Has Signed An M...
- 12/15/15--23:30: _When the Fed last r...
- 12/16/15--00:18: _Things worth readin...
- 12/16/15--00:30: _2015: putting data ...
- 12/15/15--17:25: Rate rise: What difference can it make?
- 12/15/15--17:26: What is the World Trade Organization?
- 12/15/15--17:27: VIDEO: Making an 'ethical' smart-phone
- 12/15/15--17:28: VIDEO: What's changed since last Fed rate rise?
- 12/15/15--18:10: Domino's buys biggest German pizza chain
- 12/15/15--18:11: Rolls-Royce sacks two top managers
- 12/15/15--18:40: Think tank floats 'basic income' idea
- 12/15/15--19:22: Shares in Asia up ahead of Fed decision
- 12/15/15--23:12: Indonesia forest fires cost $15.7bn
- 12/15/15--23:29: KRX Has Signed An MOU With Taiwan Stock Exchange For Cooperation
- 12/15/15--23:30: When the Fed last raised rates
- 12/16/15--00:18: Things worth reading: 16th December 2015
- 12/16/15--00:30: 2015: putting data in context
Would ordinary Americans be affected by a rate rise?
What is the World Trade Organization?
Dutch start-up Fairphone explains its vision of an 'ethical' mobile phone.
As the US Federal Reserve decides what do about interest rates, BBC News looks at how life has changed since the last rise.
We have applied the Long Short-Term Memory neural network to model S&P 500
volatilities incorporating Google domestic trends as indicators of the public
mood and macroeconomic factors. In the 30% testing data, our Long Short-Term
Memory model gives a mean absolute percentage error of 24.2%, outperforming
linear Ridge/Lasso and autoregressive Garch benchmarks by at least 31%. This
evaluation is done on the optimal observation and normalization scheme which
maximizes the mutual information. Our preliminary investigation shows strong
potential to better understand stock behaviors using deep learning neural
The Multi Variate Mixture Dynamics model is a tractable, dynamical,
arbitrage-free multivariate model characterized by transparency on the
dependence structure, since closed form formulae for terminal correlations,
average correlations and copula function are available. It also allows for
complete decorrelation between assets and instantaneous variances. Each single
asset is modelled according to a lognormal mixture dynamics model, and this
univariate version is widely used in the industry due to its flexibility and
accuracy. The same property holds for the multivariate process of all assets,
whose density is a mixture of multivariate basic densities. This allows for
consistency of single asset and index/portfolio smile. In this paper, we
generalize the MVMD model by introducing shifted dynamics and we propose a
definition of implied correlation under this model. We investigate whether the
model is able to consistently reproduce the implied volatility of FX cross
rates, once the single components are calibrated to univariate shifted
lognormal mixture dynamics models. We compare the performance of the shifted
MVMD model in terms of implied correlation with those of the shifted Simply
Correlated Mixture Dynamics model where the dynamics of the single assets are
connected naively by introducing correlation among their Brownian motions.
Finally, we introduce a model with uncertain volatilities and correlation. The
Markovian projection of this model is a generalization of the shifted MVMD
In this paper, we study the Edgeworth expansion for a pre-averaging estimator
of quadratic variation in the framework of continuous diffusion models observed
with noise. More specifically, we obtain a second order expansion for the joint
density of the estimators of quadratic variation and its asymptotic variance.
Our approach is based on martingale embedding, Malliavin calculus and stable
central limit theorems for continuous diffusions. Moreover, we derive the
density expansion for the studentized statistic, which might be applied to
construct asymptotic confidence regions.
The paper studies the Heath-Jarrow-Morton-Musiela equation of the bond
market. The equation is analyzed in weighted spaces of functions defined on
$[0,+\infty)$. Sufficient conditions for local and global existence are
obtained . For equation with the linear diffusion term the conditions for
global existence are close to the necessary ones.
In this paper we study a continuous-time stochastic linear quadratic control
problem arising from mathematical finance. We model the asset dynamics with
random market coefficients and portfolio strategies with convex constraints.
Following the convex duality approach, we show that the necessary and
sufficient optimality conditions for both the primal and dual problems can be
written in terms of processes satisfying a system of FBSDEs together with other
conditions. We characterise explicitly the optimal wealth and portfolio
processes as functions of adjoint processes from the dual FBSDEs in a dynamic
fashion and vice versa. We apply the results to solve quadratic risk
minimization problems with cone-constraints and derive the explicit
representations of solutions to the extended stochastic Riccati equations for
The companies that own Domino's Pizza in the UK and Australia have set up a joint venture to buy Germany's biggest pizza chain.
Rolls-Royce will revamp its management structure and recruit a chief operating officer as Warren East strives to revive the ailing company.
A think tank is calling for fundamental change to the system of tax and benefits in the UK.
Shares in Asia are in positive territory on Wednesday, following Wall Street higher ahead of the US Federal Reserve's interest rate decision.
The Department of Justice announced today that Crédit Agricole (Suisse) SA (CAS), Dreyfus Sons & Co Ltd, Banquiers (Dreyfus), and Baumann & Cie, Banquiers (Baumann), reached resolutions under the department’s Swiss Bank Program. These banks collectively will pay penalties of more than $130 million.read more...
The Working Group on Payments and Transaction Banking of the Financial System Council will hold its seventh meeting on December 17, 2015 as follows.read more...
Indonesia's forest fires and haze pollution have cost the country "more than twice" the amount spent on reconstruction efforts after the 2004 Aceh tsunami.
The Korea Exchange (KRX) has entered an MOU* with the Taiwan Stock Exchange (TWSE) for a comprehensive cooperation in the ETF markets on December 11, 2015. * This MOU is the second one between the KRX and the TWSE since 2000. In the MOU agreement ceremony, Mr. Tseng Ming-chung, Chairman of Taiwan Financial Supervisory Commission, has attended and delivered the congratulatory speech. For more details, please refer to the attached file. File 20151215 KRX and TWSE signed an MOU for cooperation(revised).pdf
Has the world changed its tune since the last US rate rise?
Things we're reading today include ...read more...
The other big trend in 2015 has been the noticeable move of banks away from Big Data to Data Analytics. Some say itâs all about the Small Data, but itâs more about the Context of Data. read more...