Modelling income, wealth, and expenditure data by use of Econophysics....
In the present paper, we identify several distributions from Physics and study their applicability to phenomena such as distribution of income, wealth, and expenditure. Firstly, we apply logistic...
View ArticleThe unresolved mystery of the great divergence is solved. (arXiv:1603.08344v1...
The so-called great divergence in the income per capita is described in the Unified Growth Theory as one of the mind-boggling and unresolved mysteries about the growth process. This mystery has now...
View ArticleInterest Rates and Inflation. (arXiv:1603.08311v1 [q-fin.EC])
This article is an extension of the work of one of us (Coopersmith, 2011) in deriving the relationship between certain interest rates and the inflation rate of a two component economic system. We use...
View ArticlePricing variance swaps in a hybrid model of stochastic volatility and...
In this paper, we consider the problem of pricing discretely-sampled variance swaps based on a hybrid model of stochastic volatility and stochastic interest rate with regime-switching. Our modelling...
View ArticleTrading Strategies Generated by Lyapunov Functions. (arXiv:1603.08245v1...
Functional portfolio generation, initiated by E.R. Fernholz almost twenty years ago, is a methodology for constructing trading strategies with controlled behavior. It is based on very weak and...
View ArticleA Flexible Galerkin Scheme for Option Pricing in L\'evy Models....
One popular approach to option pricing in L\'evy models is through solving the related partial integro differential equation (PIDE). For the numerical solution of such equations powerful Galerkin...
View ArticleRobust Optimization of Credit Portfolios. (arXiv:1603.08169v1 [q-fin.PM])
We introduce a dynamic credit portfolio framework where optimal investment strategies are robust against misspecifications of the reference credit model. The risk-averse investor models his fear of...
View ArticleConjoint axiomatization of the Choquet integral for heterogeneous product...
We propose an axiomatization of the Choquet integral model for the general case of a heterogeneous product set $X = X_1 \times \ldots \times X_n$. In MCDA elements of $X$ are interpreted as...
View ArticleGPU Computing in Bayesian Inference of Realized Stochastic Volatility Model....
The realized stochastic volatility (RSV) model that utilizes the realized volatility as additional information has been proposed to infer volatility of financial time series. We consider the Bayesian...
View ArticleMNI India Business Sentiment Indicator: India Business Confidence Falls In...
Indian business sentiment fell for the first time in three months in March as companies faced lower demand amid rising input prices on the back of the weak rupee. The MNI India Business Sentiment...
View ArticleThree ETFs Tracking Indiaâs Nifty Index Debut On Taiwan Stock Exchange
Taiwan’s first-ever ETFs tracking the burgeoning Indian market debuted on the Taiwan Stock Exchange (TWSE) on 29 March 2016, providing investors with more strategic options to hedge risk and to enrich...
View ArticleASIC Facilitates Easier Electronic Disclosure Under The ePayments Code
ASIC has today announced changes to the ePayments Code that will make it easier for businesses to give information to their customers in a digital form.read more...
View ArticleDalian Commodity Exchange: Notice On Conducting The Second Round Of...
In order to meet the demand of the market investors, further optimize the configuration for the after-hours trading and flexibly set the trading suspension for different futures products during the...
View ArticleIntercontinental Exchange, Inc. Rule 2.10 Announcement
Intercontinental Exchange, Inc. (“ICE”) (NYSE: ICE), a leading operator of global exchanges and clearing houses and provider of data and listings services, confirms, in accordance with Rule 2.10 of the...
View ArticleSolactive Launches The Global Family Owned Companies Index - Licensed To UBS...
By launching the Solactive Global Family Owned Companies Index, Solactive AG introduces another index that focuses on the positive effects of certain ownership structures on the long-term development...
View ArticleMotor Neurone Disease Association - City Vs MND Launch â April 18
A new initiative is being set up to encourage financial market participants to raise funds for, and awareness of, the pernicious effects of Motor Neurone Disease (MND). The City against MND Network is...
View ArticleGPW Extends Reduced Transaction Fees
GPW stays on course to further develop the capital market: reduced transaction fees on trade in WIG20 futures will apply until the end of H1 2016. Furthermore, GPW waives fees charged to market makers...
View ArticleHKFE Announces Revised Margins For Futures Contracts
Please be advised that pursuant to Exchange Rule 617(d) and HKCC Rule 402, the Exchange and the Clearing House have determined that with effect from the commencement of trading on Friday, 1 April 2016,...
View ArticleAbu Dhabi Securities Exchange Organizes The Experimental Practical Exercise...
As part of Abu Dhabi Securities Exchange’s efforts to fulfill the strategies of emergency cases that might interrupt its overall functioning, the Exchanges management recently organized a successful...
View ArticleDubai Commodities Clearing Corporation Expands Collateral Basket To Include...
The Dubai Commodities Clearing Corporation (DCCC), the central counter-party (CCP) for the Dubai Gold & Commodities Exchange (DGCX), on Monday announced that Clearing members will now be able to...
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