In this talk, we present a continuous time extension of the framework for modeling market microstructure, developed in our previous work. We use this extension to model the shape and dynamics of the Limit Order Book (LOB) between two consecutive trades. In this model, the LOB arises as an outcome of an equilibrium between multiple agents who have different beliefs about the future demand for the asset. These beliefs may change according to the information observed by the agents (e.g. represented by a relevant stochastic factor), implying a change in the shape of the LOB. This model is consistent with the empirical observation that most changes in the LOB are not due to trades. More importantly, it allows one to see how changing the relevant information signal affects the LOB. If the relevant signal is a function of the LOB itself, then, our approach allows one to model the "indirect" market impact (as opposed to the "direct" impact that a market order makes on the LOB, by eliminating certain limit orders instantaneously), showing how any change to the LOB causes further changes to it. On the mathematical side, we formulate the problem as a mixed control-stopping game, with a continuum of players. We manage to split the equilibrium problem into two parts, and represent one of them through a two-dimensional system of Reflected Backward Stochastic Differential Equations, and the other one with an infinite-dimensional fixed-point equation. We prove the existence of the solutions to both problems and show how they can be computed in a simple example.
Endogenous Formation of Limit Order Books: Dynamics Between Trades. (arXiv:1605.09720v1 [q-fin.TR])
A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting. (arXiv:1605.09484v1 [q-fin.ST])
This paper explores and develops alternative statistical representations and estimation approaches for dynamic mortality models. The framework we adopt is to reinterpret popular mortality models such as the Lee-Carter class of models in a general state-space modelling methodology, which allows modelling, estimation and forecasting of mortality under a unified framework. Furthermore, we propose an alternative class of model identification constraints which is more suited to statistical inference in filtering and parameter estimation settings based on maximization of the marginalized likelihood or in Bayesian inference. We then develop a novel class of Bayesian state-space models which incorporate apriori beliefs about the mortality model characteristics as well as for more flexible and appropriate assumptions relating to heteroscedasticity that present in observed mortality data. We show that multiple period and cohort effect can be cast under a state-space structure. To study long term mortality dynamics, we introduce stochastic volatility to the period effect. The estimation of the resulting stochastic volatility model of mortality is performed using a recent class of Monte Carlo procedure specifically designed for state and parameter estimation in Bayesian state-space models, known as the class of particle Markov chain Monte Carlo methods. We illustrate the framework we have developed using Danish male mortality data, and show that incorporating heteroscedasticity and stochastic volatility markedly improves model fit despite an increase of model complexity. Forecasting properties of the enhanced models are examined with long term and short term calibration periods on the reconstruction of life tables.
CFTCâs Division Of Clearing And Risk Issues No-Action Letter For Shanghai Clearing House
The U.S. Commodity Futures Trading Commission’s (CFTC) Division of Clearing and Risk (DCR) today issued a time-limited no-action letter stating that DCR will not recommend that the CFTC take enforcement action against Shanghai Clearing House (SHCH) for failing to register as a derivatives clearing organization (DCO) pursuant to the Commodity Exchange Act (CEA).
read more...BOX Options Exchange: Changes To The BOX Fee Schedule
Click here to download details of changes to the BOX fee schedule.
Statement Of CFTC Chairman Timothy Massad On No-Action Letter Shanghai Clearing House
I am pleased that CFTC staff has granted important no-action relief to Shanghai Clearing House. As of today, Shanghai Clearing House will be allowed to temporarily clear certain swaps that are subject to mandatory clearing in China. This relief is intended as an interim measure, as Shanghai Clearing House intends to seek a permanent order exempting it from registration with respect to such swap clearing. It follows months of work between our respective staffs as well as the staff of the People’s Bank of China (PBOC). We welcome this new relationship and look forward to continued collaboration.
read more...SEC Halts Ponzi Scheme Aimed At Middle Class
Dalian Commodity Exchange: Plastics Futures To Contribute To Structural Reform On Supply Side
CalPERS Comments On Federal Sentencing Of Former CEO Fred Buenrostro
The California Public Employees' Retirement System (CalPERS) today issued the following statements on the sentencing of its former Chief Executive Officer (CEO), Fred Buenrostro, in federal court in San Francisco on bribery charges. Mr. Buenrostro served as CEO of CalPERS from 2002 to 2008.
read more...CalPERS Comments On Federal Sentencing Of Former CEO Fred Buenrostro
The California Public Employees' Retirement System (CalPERS) today issued the following statements on the sentencing of its former Chief Executive Officer (CEO), Fred Buenrostro, in federal court in San Francisco on bribery charges. Mr. Buenrostro served as CEO of CalPERS from 2002 to 2008.
read more...Tokyo Commodity Exchange: Final Settlement Price Of Dubai Crude Oil For May 2016 Contract
MNI China Car Purchase Indicator: Chinese Car Buying Sentiment Slips - Plans To Buy Bounce Back Despite Higher Expectations For Fuel Price
The continued recovery in oil prices and heightened uncertainty about the economy left Chinese consumer sentiment towards the car market lower in May, relinquishing all of the gains notched in the month before. The fall in sentiment didn’t deter potential buyers though with plans to buy a car rising to an 11 month high.
The MNI China Car Purchase Indicator, a composite indicator designed to gauge overall conditions in the car market, fell 5.6% to 91.5 in May from 96.9 in April. The fall in the indicator, which is made up of two components, was the result of higher expectations for fuel prices and a perceived deterioration in the current buying conditions for cars. As oil prices flirted with the $50 per barrel level, the Price of Gasoline Expectations component rose to 118.1, indicating that most consumers expect fuel costs to increase in the coming year.
The Car Purchase Expectations Component, a measure of consumer perceptions of the current car purchasing environment, declined 7.3% to 101.1 in May, although most of the decline was led by those in the 55-64 age group while the younger cohorts were relatively upbeat. Further detail in the report revealed that uncertain economic prospects have acted as a dampener, offsetting favourable pricing conditions as retailers compete for sales. Of those who thought it was a good time to buy, prices played the dominant role while income and government policy continued their upward trend among those who thought it was a bad time.
Last month, actual ownership and planned purchases decoupled from sentiment. This phenomenon continued in May with both car ownership and plans to buy a car increasing despite the bleaker outlook. 19.3% of respondents said they planned to buy a car in the next 12 months, up from 11.7% in the month before, leaving the percentage at the highest since June 2015. There was a less pronounced increase in the level of car ownership, with 38.1% of respondents saying their household currently owned a car, up slightly from 37.6% in the month before.
Of those planning to buy a car, the planned budget of Chinese families reverted to trend with April’s jump in the more expensive tiers reversing. Most households, at 32.5%, budgeted for a vehicle between CNY 100,000 – CNY 140,000 in May, which is broadly the ‘mid-range’. 27.1% said their budget was above CNY 200,000, down from 35.3% in April.
Cyprus Stock Exchange Bulletin For April 2016
On the last trading session of April 2016 the General Index reached 66,97 points, representinga relative decrease of 0,79% from the previous month. The value of shares traded exhibited a decrease of 95,6% compared to the previous month.
read more...SETL Launches Blockchain-Powered OpenCSD Platform - SETL OpenCSD Enables Market Participants To Run Permissioned Registry Service For Payments, Settlement And Clearing Of Cash And Other Financial Instruments
SETL, the institutional payment and settlement infrastructure based on blockchain technology, has today announced the launch of its blockchain-powered OpenCSD platform. The OpenCSD platform, SETL’s first commercial offering, enables any market participant to commission and run a permissioned registry service for payments, settlement and clearing of cash and other financial instruments. The platform is available today and powered by the SETL blockchain technology, which has been benchmarked to settle billions of transactions a day in real-time.
read more...Driven By Demand For Independent Algorithmic Trading At SIX Swiss Exchange itarle AG Opens Algorithmic Trading Service Bureau In Zurich
itarle AG (itarle), a leading provider of multi asset algorithmic trading and analytics services for the sell-side, today announced it has established an algorithmic trading service bureau at the Equinix ZH4 data centre in Zurich.
This latest service has been introduced in response to demand from Swiss-based market participants who need an electronic presence close to SIX Swiss Exchange, where the majority of trading in Swiss equities continues to be executed.
Paul Lynch, CEO of itarle commented “Opening a service bureau next to the exchange with the most liquidity in Switzerland is a logical extension to our services.” He added, “This expansion continues a strong growth momentum for the company and is an important part of our strategic plans for 2016”.
itarle provides algorithmic trading, smart order routing and transaction cost analysis services to sell-side firms executing transactions on global equity and futures exchanges. The unique itarle service enables clients to trade using their own exchange memberships and existing connectivity channels.
Thomson Reuters Launches 2pm WM/Reuters FX Benchmark For Corporates Valuing Cross-Border Transactions - Calculated On Available Primary Market Data, WM/Reuters Provides An Accurate And Robust FX Rate That Aligns With IOSCO Principles For Financial Benchmarks
Thomson Reuters today launches the WM/Reuters 2pm CET benchmark, a new FX benchmark service designed for corporates looking to value, hedge and settle cross-border transactions. The Thomson Reuters 2pm CET benchmark offers a reliable, transaction-oriented alternative to the European Central Bank (ECB) 2:15pm CET reference rates.
read more...Cyber Security Vulnerabilities Of FTSE 100 Companies Exposed - Threat Intelligence Report From Anomali Pinpoints Significant Security Exposures In The UKâs 100 Largest Companies
Anomali, provider of market-leading threat intelligence platforms, has today revealed the prevalence of suspicious brand spoofing and mass compromised credential exposures of the Financial Times Stock Exchange 100 (FTSE 100). Over the last three months, eighty one companies in the FTSE 100 had potentially malicious domain registrations against them, enabling cyber criminals to create dummy websites that can be used to trick users into supplying private data. The report also discovered that 5,275 employee email and clear text password combinations from FTSE 100 companies were found on a number of sites from which they can be stolen, publicly published or sold. This leaves the UK’s largest businesses open to cyber-attacks and puts critical business content and personal information at risk.
read more...01Jun/The Collateral Trap
British Success And Innovation Prove Attractive To Investors Joining Zenos Cars Equity Crowdfunding Round
British sports car brand Zenos has attracted a broad range of investors, since launching an equity crowdfunding campaign earlier this month. Investors have been drawn to the brand’s British identity and heritage, innovative engineering, customer focus and strong business model.
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Kuwaitâs Boubyan Bank Rings Market-Opening Bell To Celebrate Listing Of USD 250 Million Tier I Sukuk On Nasdaq Dubai - Listing Reinforces Dubaiâs No. 1 Position Globally For Sukuk At 44.06 Billion Dollars
Mr. Adel Abdulwahab AlMajed, Vice Chairman and CEO of Kuwait-based Boubyan Bank, rang the market-opening bell today to celebrate the listing on Nasdaq Dubai of the bank’s first ever Sukuk issuance, valued at 250 million US dollars. The issuance, which was more than five times oversubscribed, marks the first Sukuk out of Kuwait since 2007, first Kuwaiti bank Sukuk and the first Basel III compliant Tier I Sukuk worldwide. It is also the first Tier I Sukuk out of the region in 2016.
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