Biggest One-Day Fall For The Dow Jones Industrial Average
A sell-off in U.S. stocks sent the Dow Jones industrial average down more than 1,000 points today, erasing all the gains made so far this year.read more...
View ArticleASX Monthly Activity Report - January 2018
Trading – Cash Markets (including equities, interest rate and warrant trades) read more...
View ArticleGame-Theoretic Capital Asset Pricing in Continuous Time. (arXiv:1802.01556v1...
We derive formulas for the performance of capital assets in continuous time from an efficient market hypothesis, with no stochastic assumptions and no assumptions about the beliefs or preferences of...
View ArticleIndexed Markov Chains for financial data: testing for the number of states of...
A new branch based on Markov processes is developing in the recent literature of financial time series modeling. In this paper, an Indexed Markov Chain has been used to model high frequency price...
View ArticleThe Samuelson Effect and Seasonal Stochastic Volatility in Agricultural...
We introduce a multi-factor stochastic volatility model based on the CIR/Heston variance process that incorporates seasonality and the Samuelson effect. Conditions on the seasonal term under which the...
View ArticleAsian Option Pricing with Orthogonal Polynomials. (arXiv:1802.01307v1...
In this paper we derive a series expansion for the price of a continuously sampled arithmetic Asian option in the Black-Scholes setting. The expansion is based on polynomials that are orthogonal with...
View ArticleA game-theoretic derivation of the $\sqrt{dt}$ effect. (arXiv:1802.01219v1...
We study the origins of the $\sqrt{dt}$ effect in finance and SDE. In particular, we show, in the game-theoretic framework, that market volatility is a consequence of the absence of riskless...
View ArticleThe Power of Trading Polarity: Evidence from China Stock Market Crash....
The imbalance of buying and selling functions profoundly in the formation of market trends, however, a fine-granularity investigation of the imbalance is still missing. This paper investigates a unique...
View ArticleOn the interplay between multiscaling and average cross-correlation....
We find a nonlinear dependence between an indicator of the degree of multiscaling of log-returns time series of a stock and the average correlation of it with the other stocks traded in the same...
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January 2018 Data Update 10: The Price is Right!
In my first nine posts on my data update for 2018, I focused on the costs that companies face in raising equity and debt, and their investment, financing and dividend decisions. In assessing those...
View ArticleStartup Raises $20 Million to Build 'YouTube on the Blockchain'
Silicon Valley startup Lino has raised $20 million to take on YouTube with a decentralized, blockchain-based platform.
View ArticleSanctions Showdown Looms for US and Cryptocurrency
If OFAC turns its eye toward cryptocurrencies, it could be only a matter of time before it makes an example of one or more entities to send a message.
View ArticleBitcoin's Price Has Nearly Unwound Its Futures Boost
Futures may have boosted bitcoin above $10k, but it appears that rally has all but unwound.
View ArticleTaiwan Official: Government Should Prepare for Crypto Collapse
A senior official from Taiwan's executive branch has cautioned on the potential impact of cryptocurrencies on the island's financial stability.
View ArticleEEX Group Unveils Innovative Solutions For Energy And Commodity Markets...
Today, EEX Group outlined a programme of innovations for the energy and commodity markets of the future at the E-world energy & water conference in Essen. Four of the Group’s Chief Executive...
View ArticleEEX, Innogy And Süwag Launch Enermarket B2B Portal For Online...
The European Energy Exchange (EEX), innogy and Süwag have set up the joint venture - enermarket GmbH. Via the enermarket B2B platform, business customers can quickly and easily find the right power and...
View ArticleTehran Stock Exchange Lists A Detergent Manufacturer
The 6th IPO at TSE in the Iranian year was accomplished on 6 February 2018.read more...
View ArticleMDXT Connect App Now Available On Symphony Market
MDX Technology Ltd is today pleased to announce the official launch of the MDXT Connect Symphony App on the Symphony Market, part of Symphony, the secure workflow and collaboration platform of choice...
View ArticleTMX Group Consolidated Trading Statistics â January 2018
TMX Group Limited today announced January 2018 trading statistics for its marketplaces – Toronto Stock Exchange, TSX Venture Exchange, TSX Alpha Exchange (Alpha) and Montréal Exchange (MX).read more...
View ArticlePurdue University/CME Group Ag Economy Barometer: Producers More Optimistic...
Agricultural producers said in January that they were more optimistic about the agricultural economy than a month prior, according to the Purdue University/CME Group Ag Economy Barometer.read more...
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