Elad L. Roisman has been sworn into office as an SEC Commissioner by SEC Chairman Jay Clayton.
read more...Elad Roisman Sworn In As SEC Commissioner
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Elad Roisman Sworn In As SEC Commissioner
Elad L. Roisman has been sworn into office as an SEC Commissioner by SEC Chairman Jay Clayton.
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Major Crypto Companies Form DC Lobbying Group
A number of major cryptocurrency firms are forming the Blockchain Association to lobby Washington, D.C. lawmakers on regulations in the space.
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ICO Funding Falls to Lowest Point in a Year Due to Crypto Bear Market
The cryptocurrency bear market of 2018 has unsurprisingly affected crypto startups looking to raise funds via initial coin offerings (ICO), with two research papers noting a disappointing performance for the novel fundraising method this year.
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FINRA Charges Broker With Fraud And Unlawful Distribution Of Unregistered Cryptocurrency Securities - First Disciplinary Action By FINRA Involving Cryptocurrencies
FINRA announced today that it filed a complaint against Timothy Tilton Ayre of Agawam, Massachusetts, charging him with securities fraud and the unlawful distribution of an unregistered cryptocurrency security called HempCoin. This case represents FINRA’s first disciplinary action involving cryptocurrencies.
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Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization. (arXiv:1803.11467v2 [q-fin.PM] UPDATED)
The least squares Monte Carlo algorithm has become popular for solving portfolio optimization problems. A simple approach is to approximate the value functions on a discrete grid of portfolio weights, then use control regression to generalize the discrete estimates. However, the classical global control regression can be expensive and inaccurate. To overcome this difficulty, we introduce a local control regression technique, combined with adaptive grids. We show that choosing a coarse grid for local regression can produce sufficiently accurate results.
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Hyperbolic normal stochastic volatility model. (arXiv:1809.04035v1 [q-fin.MF])
For option pricing models and heavy-tailed distributions, this study proposes a continuous-time stochastic volatility model based on an arithmetic Brownian motion: a one-parameter extension of the normal stochastic alpha-beta-rho (SABR) model. Using two generalized Bougerol's identities in the literature, the study shows that our model has a closed-form Monte-Carlo simulation scheme and that the transition probability for one special case follows Johnson's $S_U$ distribution---a popular heavy-tailed distribution originally proposed without stochastic process. It is argued that the $S_U$ distribution serves as an analytically superior alternative to the normal SABR model because the two distributions are empirically similar.
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An alternative quality of life ranking on the basis of remittances. (arXiv:1809.03977v1 [econ.GN])
Remittances mean an important connection between people working abroad and their home countries. This paper considers them as a measure of preferences revealed by workers, underlying a ranking of countries around the world. We use the World Bank bilateral remittances data between 2010 and 2015 to compare European countries. The database contains international salaries and interpersonal transfers. The suggested least squares method makes the ranking invariant to country sizes and satisfies the property of bridge country independence. Our ranking reveals a crucial aspect of quality of life and may become an alternative to various composite indices.
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Fast calibration of two-factor models for energy option pricing. (arXiv:1809.03941v1 [q-fin.PR])
Deregulation of energy markets in the 90s boosted the interest in energy derivatives. Over the last two decades, more and more complex financial instruments were developed. Pricing exotic derivatives often involves Monte Carlo simulations, which rely on stochastic processes to model the underlyings. It is thus critical to choose appropriate models and precisely calibrate them, so that they reflect the market scenario. Several models have been proposed in the literature, from the simple Geometric Brownian motion to more complex mean-reverting, multi-factor models. To enable their calibration against listed vanilla options, it is required to compute the variance of their states. This paper presents a simple and general method to compute the covariance matrix of the state though a matrix Lyapunov differential equation, and discusses its numerical and analytical solutions. In terms of computational speed, the latter is found to be 30 to 40 times faster. The availability of an analytical solution paves the way to an efficient market calibration of model parameters. As case studies, EEX German electricity and TTF Dutch gas markets were considered. Two different single-factor models and a two-factor one were calibrated against market prices: out-of-sample validation showed that a two-factor model outperforms the other two approaches.
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Mathematics of Market Microstructure under Asymmetric Information. (arXiv:1809.03885v1 [q-fin.TR])
These are the lecture notes for the summer course given for 2018 Mathematical Finance Summer School at Shandong Unversity. It contains a brief introduction to the Kyle model and the related topics in filtering, enlargement of filtrations and Markov bridges.
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Diversification, Volatility, and Surprising Alpha. (arXiv:1809.03769v1 [q-fin.PM])
It has been widely observed that capitalization-weighted indexes can be beaten by surprisingly simple, systematic investment strategies. Indeed, in the U.S. stock market, equal-weighted portfolios, random-weighted portfolios, and other naive, non- optimized portfolios tend to outperform a capitalization-weighted index over the long term. This outperformance is generally attributed to beneficial factor exposures. Here, we provide a deeper, more general explanation of this phenomenon by decomposing portfolio log-returns into an average growth and an excess growth component. Using a rank-based empirical study we argue that the excess growth component plays the major role in explaining the outperformance of naive portfolios. In particular, individual stock growth rates are not as critical as is traditionally assumed.
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Brazilian Soccer Club Seeks $20 Million In Upcoming ICO
The Avaà Futebol Clube is hoping to raise $20 million in the coming months with an initial coin offering.
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US Department of Defense Office to Transform Into Crypto Mining Farm
A U.S. Department of Defense data center will be transformed into a cryptocurrency mining farm later this by the Chinese investment firm Wuhan General Group, which recently purchased the facility.
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Characteristic-Sorted Portfolios: Estimation and Inference. (arXiv:1809.03584v1 [econ.EM] CROSS LISTED)
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies. Despite its popularity, little attention has been paid to the statistical properties of the procedure. We develop a general framework for portfolio sorting by casting it as a nonparametric estimator. We obtain a valid mean square error expansion of the estimator and develop optimal choices for the number of portfolios. In practical settings, the optimal choice may be much larger than standard choices of 5 or 10. To illustrate the relevance of our results, we revisit the size and momentum anomalies.
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Mean-Field Leader-Follower Games with Terminal State Constraint. (arXiv:1809.04401v1 [q-fin.MF])
We analyze linear McKean-Vlasov forward-backward SDEs arising in leader-follower games with mean-field type control and terminal state constraints on the state process. We establish an existence and uniqueness of solutions result for such systems in time-weighted spaces as well as a {convergence} result of the solutions with respect to certain perturbations of the drivers of both the forward and the backward component. The general results are used to solve a novel single-player model of portfolio liquidation under market impact with expectations feedback as well as a novel Stackelberg game of optimal portfolio liquidation with asymmetrically informed players.
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IOTA: Tangle Tests Show Promising Results for Micropayments and Car Charging Stations
After five months of initial charging and payment tests, a group of researchers is ready to increase the scope of IOTA adoption in the Netherlands following “uplifting” study results, according to Invade.
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Remarks by Chairman J. Christopher Giancarlo at the ISDA Industry and Regulators Forum, Singapore
Thank you for that kind welcome. It is a pleasure to be back in Singapore and to be here at ISDAâs Industry and Regulators Forum. I want to thank Scott Oâ Malia and his team at ISDA for organizing this event. I am looking forward to the fireside chat with my colleagues from Australia, Cathie Armour, and from Singapore, Lee Boon Ngiap, to discuss the next steps in the development and implementation of our global regulatory agenda.
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Manufacturing Giant Rostec to Manage Data on Waves Blockchain Platform
The Russian state-owned conglomerate will develop a blockchain to manage data on its vast holdings, which include car, helicopter and firearms makers.
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Paris Saint-Germain Soccer Club to Launch Its Own Cryptocurrency
Through blockchain and cryptocurrency, it’s becoming easier for communities to interact and exchange value with each other in an efficient, trustless way. In the sports industry, cryptocurrency is enabling fans to participate in the decisions of their favorite teams.
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Nadex Product Schedule For The Japan Holiday On Monday, September 17, 2018
Due to the Japan Holiday on Monday, September 17, 2018, the Japan 225 contracts will have a modified trading schedule. Please refer to the Holiday Product Schedule Guidelines for specific product trading hours.
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