Stratonovich representation of semimartingale rank processes....
Suppose that $X_1, \ldots , X_n$ are continuous semimartingales that are reversible and have nondegenerate crossings. Then the corresponding rank processes can be represented by generalized...
View ArticlePeriodic strategies in optimal execution with multiplicative price impact....
In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The...
View ArticleLean derivation of the CRR pricing formula. (arXiv:1705.00212v1 [q-fin.MF])
We provide a lean non-technical exposition on the pricing of path-dependent and European-style derivatives in the Cox-Ross-Rubinstein (CRR) pricing model. The main tool for cleaning up the reasoning is...
View ArticleMulti-Period Trading via Convex Optimization. (arXiv:1705.00109v1 [q-fin.PM])
We consider a basic model of multi-period trading, which can be used to evaluate the performance of a trading strategy. We describe a framework for single-period optimization, where the trades in each...
View ArticleSIFMA Finalizes Muni Issue Price Model Documents
SIFMA today released the final versions of its municipal security issue price model documents. The documents were developed in an effort to aid industry market participants in compliance with the new...
View ArticleMerger Of The Two Stock Exchanges - SIX Swiss Exchange Absorbs SIX Structured...
For 10 years, exchange trading in structured products in Switzerland has been operated by SIX Structured Products Exchange Ltd (or its predecessor), a subsidiary of SIX Swiss Exchange Ltd.read more...
View ArticleTriOptima Launches triCalculate MVA Service As Part Of Its XVA Analytics...
TriOptima, a NEX Group business which lowers costs and mitigates risk in OTC derivatives markets, announces today that it has added MVA (margin valuation adjustment) analytics to its triCalculate XVA...
View ArticleCyprus Stock Exchange Monthly Bulletin March 2017
On the last trading session of March 2017 the General Index reached 68,08 points, repre-senting a relative increase of 2,31% from the previous month. The value of shares traded exhibited an increase of...
View ArticleWith The Participation Of 16 Companies Listed On Dubaiâs Capital...
Dubai Financial Market (DFM) will organize its International Investor Roadshow in London on 17 - 18 of May 2017, as senior representatives from 16 companies listed on DFM and Nasdaq Dubai will update...
View ArticleJon Matonis Joins Blockchain Pioneer nChain As Vice President Of Corporate...
Blockchain pioneer nChain announces the appointment of Bitcoin Foundation Executive Director Jon Matonis as its new Vice President of Corporate Strategy. In this position, Matonis will support...
View ArticleCME Group Reached Average Daily Volume Of 16.3 Million Contracts In April...
CME Group, the world's leading and most diverse derivatives marketplace, today announced that April 2017 average daily volume (ADV) reached 16.3 million contracts, up 18 percent from April 2016. CME...
View ArticleSET Launches âSocial Impact Gymâ To Strengthen Thai Social...
The Stock Exchange of Thailand (SET) joins forces with Market for Alternative Investment (mai) and mai Listed Companies Association (maiA) to launch a new project called “Social Impact Gym by mai...
View ArticleStrategy at McDonald's: Cheaper or More Premium?
Venessa Wong has written an interesting article about McDonald's for Buzzfeed. Here is an excerpt: McDonald's spends a lot of time and money rolling out "premium" products like design-your-own burgers...
View ArticleNasdaq Nordic And Baltic Markets Trading Statistics April 2017
Nasdaq (Nasdaq:NDAQ) today publishes monthly trade statistics for the Nordic1 and Baltic2 markets. Below follows a summary of the statistics for April 2017: read more...
View ArticleEurex Appoints Romanos Daniel As Chief Innovation Officer
Eurex expands its executive management team. On May 1, Romanos Daniel took on the role as Chief Innovation Officer at Europe’s largest derivatives exchange, which is part of Deutsche Börse Group. As a...
View ArticleCyprus Stock Exchange Announcement - Code Of Conduct
The Cyprus Stock Exchange (CSE), represented by the European Central Securities Depositories Association (ECSDA) of which is a member, the European Association of Central Counterparty Clearing Houses...
View ArticleLondon Stock Exchange Group Plc: Transaction In Own Shares
London Stock Exchange Group plc (the "Company") announces that it has purchased through Barclays Capital Securities Limited, in accordance with the authority granted by shareholders at the Company's...
View ArticleFrost & Sullivan Publishes Initiation Coverage Report On Cellect...
Cellect Biotechnology Ltd, based in Israel, has developed an innovative technology which enables the production of stem cells to therapies and treatments that require stem cells as the main ‘raw...
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