Periodic 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 Dubai’s 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 “Social Impact Gym” 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 ArticleWiley FINRA Series 4 Exam Review 2017: The Registered Options Principal...
The Registered Options Principal Qualification Examination (Series 4) was designed to test a candidate's knowledge of the rules and statutory provisions applicable to the supervisory management of a...
View ArticleWiley FINRA Series 6 Exam Review 2017: The Investment Company and Variable...
Passing the Series 6 Exam qualifies an individual to function as an agent of a broker dealer and allows the limited representative to transact business in mutual funds (closed-end funds on the initial...
View ArticleWiley FINRA Series 24 Exam Review 2017: The General Securities Principal...
Passing the General Securities Principal Qualification Examination (Series 24) qualifies an individual to act as a principal of a general securities broker-dealer and to supervise the firm and its...
View ArticleBanking Systems Simulation: Theory, Practice, and Application of Modeling...
Presents information sources and methodologies for modeling and simulating banking system stabilityread more...
View ArticleOCC Congratulates Clayton On Confirmation As SEC Chairman, Looks Forward To...
OCC, the world’s largest equity derivatives clearing organization, today congratulated Jay Clayton upon his confirmation by the U.S. Senate as Chairman of the U.S. Securities and Exchange Commission...
View ArticleSIFMA Statement On Confirmation Of SEC Chairman Clayton
SIFMA today released the following statement from Kenneth E. Bentsen, Jr., SIFMA president and CEO, on the Senate confirmation of Jay Clayton as Chairman of the U.S. Securities and Exchange Commission...
View ArticleDalian Commodity Exchange: Deepened Services Provide Petrochemical Industry...
On April 20, sponsored by China Petroleum and Chemical Industry Federation (CPCIF), the 2017 Petrochemical Industry Development Conference was held in Dalian. At the conference, Jiang Wei, director of...
View ArticleFINRA Statement On Confirmation Of Walter J. "Jay" Clayton III As...
The Financial Industry Regulatory Authority (FINRA) today issued the following statement on the confirmation of Walter J. “Jay” Clayton III as Chairman of the Securities and Exchange Commission.read...
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