Non-parametric and semi-parametric asset pricing. (arXiv:1703.09500v1...
We find that the CAPM fails to explain the small firm effect even if its non-parametric form is used which allows time-varying risk and non-linearity in the pricing function. Furthermore, the linearity...
View ArticleAnalysis of Realized Volatility for Nikkei Stock Average on the Tokyo Stock...
We calculate realized volatility of the Nikkei Stock Average (Nikkei225) Index on the Tokyo Stock Exchange and investigate the return dynamics. To avoid the bias on the realized volatility from the...
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The Best of the Aleph Blog, Part 26
Photo Credit: richard winchell || No, don’t study the Kabbalah…read more...
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Enhancements to the Pillar 3 disclosure framework issued by the Basel Committee
Press release about enhancements to the Pillar 3 disclosure framework issued by the Basel Committee, 29 March 2017.
View ArticleRegulatory treatment of accounting provisions
Press release about the Basel Committee publishing a paper on regulatory treatment of accounting provisions, 29 March 2017.
View ArticlePillar 3 disclosure requirements - consolidated and enhanced framework
"Pillar 3 disclosure requirements - consolidated and enhanced framework" published by the Basel Committee, March 2017
View ArticleEPEX SPOT SE: 30-Minute Continuous Intraday Trading Successfully Launched In...
The European Power Exchange EPEX SPOT and the clearing house European Commodity Clearing (ECC) have successfully introduced 30-minute continuous trading of power spot contracts in the intraday markets...
View ArticleUBS MTF Market Notice: Trading Holidays
This market notice is to inform you that UBS MTF will be closed on the following days in 2017:read more...
View ArticleESMA Updates List Of Recognised Third-Country CCPs
The European Securities and Markets Authority (ESMA) has updated today its list of recognised central counterparties (CCPs) based in third countries. Today’s update concerns the recognition of six...
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BCBS 239 Progress Report: Is Risk Data Aggregation and Reporting a One-time...
James Jockle, Chief Marketing Officerread more...
View ArticleCFTC Acting Chairman Giancarlo Appoints James McDonald As Enforcement Director
U.S. Commodity Futures Trading Commission (CFTC) Acting Chairman J. Christopher Giancarlo today announced the appointment of James McDonald to be the Director of the agency’s Enforcement Division. Mr....
View ArticleSEC Names Sagar S. Teotia As Deputy Chief Accountant
The Securities and Exchange Commission today announced the appointment of Sagar S. Teotia as a Deputy Chief Accountant in the agency's Office of the Chief Accountant.read more...
View ArticleRemarks Of Acting Chairman J. Christopher Giancarlo Before The 11th Annual...
Good morning, thank you for that kind introduction. I want to thank David Hirschmann, the US Chamber and the CCMC for inviting me to speak this morning. It is an honor to be with you.read more...
View ArticleVTB And Skolkovo Foundation Select The Best In Russian FinTech Innovations
VTB held its quarterly FinTech project selection event together with the Skolkovo Foundation, the principal agency responsible for the Russian Skolkovo Innovation Center, a scientific and technological...
View ArticleSEC Charges Pastor With Defrauding Retirees
The Securities and Exchange Commission today announced fraud charges and an emergency asset freeze obtained against a Michigan-based pastor accused of exploiting church members, retirees, and laid-off...
View ArticleMultiperiod Martingale Transport. (arXiv:1703.10588v1 [math.PR])
Consider a multiperiod optimal transport problem where distributions $\mu_{0},\dots,\mu_{n}$ are prescribed and a transport corresponds to a scalar martingale $X$ with marginals $X_{t}\sim\mu_{t}$. We...
View ArticleHarry Potter and the Goblin Bank of Gringotts. (arXiv:1703.10469v1 [q-fin.GN])
Gringotts Wizarding Bank is well known as the only financial institution in all of the Wizarding UK as documented in the works recounting the heroics of Harry Potter. The concentration of power and...
View ArticleSIFMA Market Close Recommendations In The U.S., The U.K. And Japan For Good...
SIFMA has confirmed its previous holiday recommendations for the U.S., the U.K., and Japan in observance of the Good Friday holiday.read more...
View ArticleMicrosoft Chairman John W. Thompson Among Speakers For Largest U.S. Public...
The California Public Employees' Retirement System (CalPERS) and California State Teachers' Retirement System (CalSTRS) are jointly hosting the 2017 Diversity Forum on May 10. The forum brings together...
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