Chris Cummings, Chief Executive, TheCityUK, said, “Swift confirmation of the referendum date as 23 June is welcome news for voters, business and international investors. It is now up to the British people to decide whether to support the Prime Minister’s package of reforms that deliver a special deal for the UK in Europe; or to choose an alternate path and work towards a different future relationship with the EU.
read more...TheCityUK Responds To Confirmation Of UK-EU Referendum Date
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Integrated Securities Joins Nasdaq Dubaiâs Expanding Market To Trade Equities
Integrated Securities, one of the UAE’s renowned brokerage firms and a subsidiary of Abu Dhabi Financial Group (ADFG), has become a Member of Nasdaq Dubai, providing its clients with the opportunity to trade equities on the region’s rapidly expanding international stock exchange.
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DFM Highlights Its Cutting-Edge Governance, Surveillance And Audit Capabilities During The ACFE Middle East Fraud Conference
Dubai Financial Market (DFM) has successfully participated in the Middle East Fraud Conference hosted by the Financial Audit Department of Dubai Government on 14 and 15 February 2016 in cooperation with the Association of Certified Fraud Examiners (ACFE). The conference was held under the patronage of His Highness Sheikh Maktoum bin Mohammed bin Rashid Al Maktoum, Deputy Ruler of Dubai and Chairman of the Financial Audit Department.
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Laughterâthe Worst Medicine
Like many commentators, I regard August 9 2007 as the start of the âGlobal Financial Crisisâ. On that day, BNP Paribas declared that several of its funds were being closed because liquidity in those markets had completely evaporated:
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The Saudi Stock Exchange Announces The Publication Of The Weekly Stock Market Ownership And Trading Activity Report (By Nationality And Investor Type)
The total value of shares traded for the week ending 18 February 2016 amounted to SAR 28.86 billion, increasing by 1.10% over the previous week; while total stock market capitalization reached SAR 1,353.79 billion at the end of this period, increasing by 4.14% over the previous week.
* The total value of shares purchased by "Saudi Investors" during this period amounted to SAR 27.51 billion representing 95.32% of total buying activity, and sales of SAR 27.53 billion representing 95.40% of total selling activity. Total ownership of "Saudi Investors" stood at 93.33 of total market capitalization as of 18 February 2016, representing an increase of 0.13% from the previous week.
* The total value of shares purchased by "GCC Investors" during this period amounted to SAR 0.617 billion representing 2.14% of total buying activity, and sales of SAR 0.457 billion representing 1.58% of total selling activity. Total ownership of "GCC Investors" stood at 2.38% of total market capitalization as of 18 February 2016, representing a decrease of 0.01% from the previous week.
* The total value of shares purchased by "Foreign Investors" during this period amounted to SAR 0.734 billion representing 2.54% of total buying activity, and sales of SAR 0.871 billion representing 3.02% of total selling activity. Total ownership of "Foreign Investors" stood at 4.29% of total market capitalization as of 18 February 2016, representing a decrease of 0.12% from the previous week.
To view the detailed Weekly Stock Market Ownership and Trading Activity Report please Click Here
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Quantile Cross-Spectral Measures of Dependence between Economic Variables. (arXiv:1510.06946v1 [math.ST] CROSS LISTED)
In this paper we introduce quantile cross-spectral analysis of multiple time series which is designed to detect general dependence structures emerging in quantiles of the joint distribution in the frequency domain. We argue that this type of dependence is natural for economic time series but remains invisible when the traditional analysis is employed. To illustrate how such dependence structures can arise between variables in different parts of the joint distribution and across frequencies, we consider quantile vector autoregression processes. We define new estimators which capture the general dependence structure, provide a detailed analysis of their asymptotic properties and discuss how to conduct inference for a general class of possibly nonlinear processes. In an empirical illustration we examine one of the most prominent time series in economics and shed new light on the dependence of bivariate stock market returns.
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Household Income Distribution in the USA. (arXiv:1602.06234v1 [q-fin.GN])
In this article we present an alternative model for the distribution of household incomes in the United States. We provide arguments from two differing perspectives which both yield the proposed income distribution curve, and then fit this curve to empirical data on household income distribution obtained from the United States Census Bureau.
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Modeling Stock Price Dynamics with Fuzzy Opinion Networks. (arXiv:1602.06213v1 [q-fin.TR])
We propose a mathematical model for the word-of-mouth communications among stock investors through social networks and explore how the changes of the investors' social networks influence the stock price dynamics and vice versa. An investor is modeled as a Gaussian fuzzy set (a fuzzy opinion) with the center and standard deviation as inputs and the fuzzy set itself as output. Investors are connected in the following fashion: the center input of an investor is taken as the average of the neighbors' outputs, where two investors are neighbors if their fuzzy opinions are close enough to each other, and the standard deviation (uncertainty) input is taken with local, global or external reference schemes to model different scenarios of how investors define uncertainties. The centers and standard deviations of the fuzzy opinions are the expected prices and their uncertainties, respectively, that are used as inputs to the price dynamic equation. We prove that with the local reference scheme the investors converge to different groups in finite time, while with the global or external reference schemes all investors converge to a consensus within finite time and the consensus may change with time in the external reference case. We show how to model trend followers, contrarians and manipulators within this mathematical framework and prove that the biggest enemy of a manipulator is the other manipulators. We perform Monte Carlo simulations to show how the model parameters influence the price dynamics, and we apply a modified version of the model to the daily closing prices of fifteen top banking and real estate stocks in Hong Kong for the recent two years from Dec. 5, 2013 to Dec. 4, 2015 and discover that a sharp increase of the combined uncertainty is a reliable signal to predict the reversal of the current price trend.
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Accrual valuation and mark to market adjustment. (arXiv:1602.06189v1 [q-fin.PR])
This paper provides intuition on the relationship of accrual and mark-to-market valuation for cash and forward interest rate trades. Discounted cashflow valuation is compared to spread-based valuation for forward trades, which explains the trader's view on valuation. This is followed by Taylor series approximation for cash trades, uncovering simple intuition behind accrual valuation and mark-to-market adjustment. It is followed by the PNL example modelled in R. Within the Taylor approximation framework, theta and delta are explained. The concept of deferral is explained taking Forward Rate Agreement (FRA) as an example.
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Blunt Honesty, Incentives, and Knowledge Exchange. (arXiv:1602.06188v1 [q-fin.EC])
We propose a simple mechanism to facilitate the buying and selling of useful, bluntly honest information. The for-profit, arm's length knowledge exchange this mechanism enables may dramatically increase the pace of scientific progress.
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Noise Fit, Estimation Error and a Sharpe Information Criterion. (arXiv:1602.06186v1 [q-fin.ST])
When optimizing the Sharpe ratio over a k-dimensional parameter space the thus obtained in-sample Sharpe ratio tends to be higher than what will be captured out-of-sample. For two reasons: the estimated parameter will be skewed towards the noise in the in-sample data (noise fitting) and, second, the estimated parameter will deviate from the optimal parameter (estimation error). This article derives a simple correction for both. Selecting a model with the highest corrected Sharpe selects the model with the highest expected out-of-sample Sharpe in the same way as selection by Akaike Information Criterion does for the log-likelihood as measure of fit.
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Duality formulas for robust pricing and hedging in discrete time. (arXiv:1602.06177v1 [q-fin.MF])
In this paper we derive robust super- and subhedging dualities for contingent claims that can depend on several underlying assets. In addition to strict super- and subhedging, we also consider relaxed versions which, instead of eliminating the shortfall risk completely, aim to reduce it to an acceptable level. This yields robust price bounds with tighter spreads. As applications we study strict super- and subhedging with general convex transaction costs and trading constraints as well as risk based hedging with respect to robust versions of the average value at risk and entropic risk measure. Our approach is based on representation results for increasing convex functionals and allows for general financial market structures. As a side result it yields a robust version of the fundamental theorem of asset pricing.
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Density analysis of non-Markovian BSDEs and applications to biology and finance. (arXiv:1602.06101v1 [math.PR])
In this paper, we provide conditions which ensure that stochastic Lipschitz BSDEs admit Malliavin differentiable solutions. We investigate the problem of existence of densities for the first components of solutions to general path-dependent stochastic Lipschitz BSDEs and obtain results for the second components in particular cases. We apply these results to both the study of a gene expression model in biology and to the classical pricing problems in mathematical finance.
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Funding, Repo and Credit Inclusion in Option Pricing via Dividends. (arXiv:1602.05998v1 [q-fin.PR])
This paper specializes a number of earlier contributions to the theory of valuation of financial products in presence of credit risk, repurchase agreements and funding costs. Earlier works, including our own, pointed to the need of tools such as Backward Stochastic Differential Equations (BSDEs) or semi-linear Partial Differential Equations (PDEs), which in practice translate to ad-hoc numerical methods that are time-consuming and which render the full valuation and risk analysis difficult. We specialize here the valuation framework to benchmark derivatives and we show that, under a number of simplifying assumptions, the valuation paradigm can be recast as a Black-Scholes model with dividends. In turn, this allows for a detailed valuation analysis, stress testing and risk analysis via sensitivities. We refer to the full paper [5] for a more complete mathematical treatment.
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CME Group Announces The Launch Of LNG DES Japan (Rim) Futures Contract
CME Group, the world's leading and most diverse derivatives marketplace, today announced that it has expanded its suite of energy product offerings with the introduction of a new LNG DES Japan (Rim) futures contract to begin trading effective today. The new contract is now available for trading through Japan OTC Exchange and other OTC brokers, and for submission to CME Clearing through CME ClearPort. It is listed with and subject to the rules and regulations of NYMEX.
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MNI China Business Sentiment Survey: Chinese Business Sentiment Weakens Further - Future Expectations Pick Up Despite Subdued Activity
The Chinese business environment wasn’t afforded any festive cheer over the Lunar New Year holiday as a pull back in Production left executives at China’s largest companies less optimistic, according to the latest MNI China Business Sentiment Survey.
The MNI China Business Sentiment Indicator, a gauge of current business confidence, slipped 4.6% to 49.9 in February from 52.3 in January. Confidence has declined in consecutive months during the first two months of 2016, and the indicator stands 5.8% below its level recorded a year ago. The fall leaves sentiment below the 50 breakeven line indicating that more companies felt that business conditions had deteriorated over the month compared with those who saw an improvement. Firms were more upbeat about the coming three months though, with the Future Expectations Indicator rising 1% to 53.1.
After picking up in January, activity measures in the survey fell back in February. Production relinquished all and more of January’s gain, and fell to the lowest since February 2014 while New Orders declined to the lowest since August 2012. After outperforming the main indicator for much of 2015, both indicators have lost momentum in recent months on the back of weak demand and continued spare capacity in certain sectors. There was a pullback in expectations for activity over the coming three months, with companies particularly concerned about the future level of New Orders, which plunged to the lowest since 2009.
An increase in open market operations and lending activities by the PBOC over the holiday period kept credit conditions loose in February, although firms noted a slight tightening compared with last month’s jump. The Availability of Credit Indicator fell to 51.1 in February from 52.2 in January while the Interest Rates Paid Indicator rose to 35.7, meaning that most firms continued to report easier access to credit on better terms.
“The absence of the usual monthly indicators of economic activity make judging the trajectory of the Chinese economy difficult over the Lunar New Year holiday. From a business sentiment standpoint the theme is more of the same; conditions remain subdued as companies weigh a more supportive policy environment with market volatility. The significant fall in activity measures suggests that we’re unlikely to see a jump in economic activity over the festive period”, said Philip Uglow, Chief Economist of MNI Indicators.
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The Korea Exchange (KRX) Has Organized A New Marketing Department
KRX said that the exchange organized the global marketing department on February 15 to carry out proactive marketing of the KOSPI Market to global customers.
The department is planning to promote a wide range of products listed on the KOSPI Market including stocks, bonds, ETFs, and ETNs and boost their liquidity.
The department will also be proactive in attracting promising companies from abroad and making indices in collaboration with other exchanges and listing products with such indices as underlying asset on two markets.
The global marketing department is going to carry out active promotion to provide more investment opportunities in and out of the Korean capital market.
The Korea Exchange will also host various marketing events along with global investment banks and listed companies to enhance understanding of the KOSPI Market for foreign investors.
KRX is planning to provide more information on its market in English. This is expected to contribute to strengthening cooperative.
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Financial Services Regulatory Authority Of Abu Dhabi Global Market Joins The International Organization Of Securities Commissions
Abu Dhabi Global Market (“ADGM”), the international financial centre in Abu Dhabi, is pleased to announce that its Financial Services Regulatory Authority (“FSRA”) is now a recognised member of the International Organisation of Securities Commissions (“IOSCO) as of February 2016. As an associate member, ADGM-FSRA is committed to comply with the international regulatory standards on financial markets and to contribute to the standard setting activity of the IOSCO and its international work.
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Trad-X Strengthens Interest Rate Swaps Market Presence With Eurex Clearing Partnership - Trad-X Launches Central Limit Order Book And Auction Market For EurexOTC Cleared Interest Rate Swaps (IRS) - New CCP Switch Service Established Between Eurex Clearing And LCH.Clearnet - Trad-X To Display New Public Reference Page For EurexOTC Cleared Swap Mid-Market
Trad-X, the market-leading platform for the trading of global interest rate derivatives, has announced a series of initiatives to boost liquidity and strengthen its presence in the global interest rate swap (IRS) market.
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IOSCO plays a key role in responding to global securities marketsâ challenges
Madrid, 22 February 2016 The Board of the International Organization of Securities Commissions (IOSCO) met for two days in Madrid to discuss and respond to the many ongoing and emerging challenges facing global securities markets. âThe meeting again underscored IOSCO's role as the key reference point for global securities regulation, through our work firstly in identifying and responding to emerging risks, secondly in assisting our members in building capacity and co-operating to develop, supervise and enforce laws and thirdly acting as an advocate for the collective interest of our members,' said Board Chairman Greg Medcraft. âThese are exciting and challenging times for securities regulators â and IOSCO is playing a key role in responding,' he added. On identifying and responding to emerging risks, the meeting last week was preceded, firstly, by Round Tables discussing recent market developments and volatility in world capital markets and, secondly, the challenges and opportunities posed by fintech and â more particularly - distributed ledger technology â or block chain.
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