Federal Reserve Chair Janet L. Yellen, At "The Elusive 'Great' Recovery: Causes And Implications For Future Business Cycle Dynamics" 60th Annual Economic Conference Sponsored By The Federal Reserve Bank Of Boston, Boston, Massachusetts, October 14, 2016, Macroeconomic Research After The Crisis
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Nigerian Stock Exchange Weekly Report - Week Ending 14 October 2016
A turnover of 1.163 billion shares worth N9.251 billion in 14,992 deals were traded this week by investors on the floor of the Exchange in contrast to a total of 934.905 million shares valued at N6.357 billion that exchanged hands last week in 12,352 deals.
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Euronext Rapeseed Futures Contract Hits New Record
With the November 2016 expiry approaching, Euronext rapeseed futures contract hit a new daily record volume with 21,369 lots traded on 13 October.
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Results Of The September 2016 Survey On Credit Terms And Conditions In Euro-Denominated Securities Financing And Over-The-Counter Derivatives Markets (SESFOD)
Credit terms offered to counterparties in both the provision of finance that is collateralised by euro-denominated securities and over-the-counter (OTC) derivatives markets became somewhat less favourable for hedge funds and banks over the three-month reference period ending in August 2016. Credit terms are expected to tighten further over the next three-month reference period between September and November 2016.
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Deutsche Boerse Group: Unscheduled Adjustment In TecDAX - Share class Of AIXTRON SE To Be Replaced - Changes To Be Effective As Of 20 October 2016
On Monday, Deutsche Börse announced an unscheduled change to TecDAX. As a result of the expected acquisition of AIXTRON SE by Grand Chip Investment GmbH, the AIXTRON SE current share class (ISIN DE000A0WMPJ6) in the index will be replaced with the tendered share class of AIXTRON SE (ISIN DE000A2BPYT0). These changes will become effective on 20 October 2016.
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FIA SEF Tracker: September Data Now Available In SEF Tracker Online
The interactive version of the FIA SEF Tracker service now includes data from the month of September. Please click the links below to access the data visualizations available through this online service.
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MIAX Options - Additional Limited Service MEI Ports Available - Effective Immediately
Effective immediately, the MIAX Options Fee Schedule will be amended.
The Exchange proposes to offer to Market Makers the ability to purchase an additional two (2) Limited Service MEI Ports per matching engine over and above the current four (4) additional Limited Service MEI Ports per matching engine that are available for purchase by Market Makers. Market Makers will now be limited to purchasing six (6) additional Limited Service MEI Ports per matching engine, for a maximum of eight (8) per matching engine. The Exchange proposes to charge the same amount that it currently charges, $50 per month, for each extra Limited Service MEI Port per matching engine. All other fees and maximum port counts related to MEI Ports shall remain unchanged.
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Urban-rural gap and poverty traps in China: A prefecture level analysis. (arXiv:1610.05171v1 [q-fin.EC])
Urban-rural gap and regional inequality are long standing problems in China and result in considerable number of studies. This paper examines the dynamic behaviors of incomes for both urban and rural areas with a prefectural data set. The analysis is conducted by using a distribution dynamics approach, which have advantages in examination on persistence, polarization and convergence clubs. The results show that persistence and immobility are the dominant characteristics in the income distribution dynamics. The prefectural urban and rural areas converge into their own steady states differentiated in income levels. This pattern of urban-rural gap also exists in three regional groups, namely the eastern, central and western regions. Examination on the dynamics of the poorest areas shows that geographical poverty traps exist in both urban and rural prefectural areas. Our results indicate that more policy interventions are required to narrow down the urban-rural gap and to eliminate the poverty traps in China.
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An explicit formula for optimal portfolios in complete Wiener driven markets: a functional It\^o calculus approach. (arXiv:1610.05018v1 [q-fin.MF])
The optimal investment problem is one of the most important problems in mathematical finance. The main contribution of the present paper is an explicit formula for the optimal portfolio process. Our optimal investment problem is that of maximizing the expected value of a standard general utility function of terminal wealth in a standard complete Wiener driven financial market. In order to derive the formula for the optimal portfolio we use the recently developed functional It\^o calculus and more specifically an explicit martingale representation theorem. A main component in the formula for the optimal portfolio is a vertical derivative with respect to the driving Wiener process. The vertical derivative is an important component of functional It\^o calculus.
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Uncertainty Estimates in the Heston Model via Fisher Information. (arXiv:1610.04760v1 [q-fin.ST])
We address the information content of European option prices about volatility in terms of the Fisher information matrix. We assume that observed option prices are centred on the theoretical price provided by Heston's model disturbed by additive Gaussian noise. We fit the likelihood function on the components of the VIX, i.e., near- and next-term put and call options on the S&P 500 with more than 23 days and less than 37 days to expiration and non-vanishing bid, and compute their Fisher information matrices from the Greeks in the Heston model. We find that option prices allow reliable estimates of volatility with negligible uncertainty as long as volatility is large enough. Interestingly, if volatility drops below a critical value, inferences from option prices become impossible because Vega, the derivative of a European option w.r.t. volatility, nearly vanishes.
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See The New Trading Hours For The BOVESPA And BM&F Segments
Due to the start of daylight saving time in Brazil on October 16, 2016 and the end of daylight saving time in the U.S. on November 06, 2016, as of October 17, 2016 BM&FBOVESPA will change the trading hours of BOVESPA segment securities and of the contracts and structured transactions of the BM&F segment in accordance with the three separate time grids.
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Shenzhen Securities Information Co., Ltd. Signed A Cooperation Agreement With Euronext Hong Kong Limited
Shenzhen Securities Information Co., Ltd. recently signed a cooperation agreement with Euronext Hong Kong Limited, both parties aim to carry out innovative cooperation in small and medium-sized technology enterprise investment and financing services and information service platform construction based on their own market and information business advantages. The signing ceremony was held in Shenzhen Stock Exchange (‘SZSE’) with the witness of Mr. Jin Liyang, Vice General Manager of SZSE, and Mr. Matthias Fekl, State Secretary to the Minister of Foreign Affairs and International Development of France, in charge of Foreign Trade, Tourism and Overseas French Affairs, as well as Mr. Maurice Gourdault-Montagne, Ambassador of France to China. Mr. Jin Liyang said that SZSE has been committed to constructing multi-level capital market system and supporting the international development of venture companies, and will carry out cooperation in personnel training and joint road show and actively prepare for cooperation in product business with Euronext. Meanwhile, Mr. Matthias Fekl expressed that French government supports the internationalization of Renminbi and hopes both exchanges to carry out deep cooperation to promote the development of financial markets of both countries.
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Shenzhen Stock Exchange Market Bulletin 17 October, 2016, Issue 35
On Oct 12, 2016, the National Development and Reform Commission (NDRC) released the policy document, which contains 26 measures aimed at promoting investment growth, improving financial services, reducing corporate costs and updating administrative services.The government will further relax market access to private capital and encourage investment in civil airports, telecommunications, oil and gas exploration, electricity, as well as national defense technology. It will also facilitate private capital's participation in the social service sector, expand the public-private partnership (PPP) model and build an online investment project approval and supervision platform, according the document.
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18Oct/Globalisation and financial stability risks: is the residency-based approach of the national accounts old-fashioned?
The Great Financial Crisis of 2007-09 and its aftermath have emphasised the need for a global approach when assessing financial stability risks. One difficulty is that the traditional apparatus, especially the System of National Accounts (SNA), relies on the criterion of residency to capture statistical information within countries' boundaries. This paper analyses how to collect meaningful data to assess ...
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Nasdaq Dubai Expands Equity Futures Market By Adding Two More Leading Companies
Nasdaq Dubai will add Abu Dhabi Commercial Bank (ADCB) and Union Properties (UPP) to its equity futures market, raising the number of leading UAE companies on which futures can be traded to nine.
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UK's Financial Conduct Authority Publishes The Final Report Of Its Investment And Corporate Banking Market Study
The FCA has today published the final findings of its investment and corporate banking market study and set out a targeted package of remedies to ensure effective competition in the market.
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The European Association Of CCP Clearing Houses (EACH) Responds To The FSB Discussion Note On CCP Resolution Planning, 18th October 2016
The EACH response to the Financial Stability Board (FSB) discussion note on ‘Essential Aspects of CCP Resolution Planning’ is published today. In this response, EACH identifies the relevant aspects of CCP resolution that are core to the design of effective resolution strategies, including:
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Europex - Joint Communication On Electricity Disclosure
In the light of the upcoming revision of the Renewable Energy Directive (RED II), seven leading European associations are calling for a change in the way electricity products are differentiated and consumer choice in the electricity market is supported at EU level.
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Borsa Istanbul: BIST-KYD Ground Rules Are Updated
BIST-KYD Indices Ground Rules are reviewed by BIST-KYD Index Committee (Committee) in scope of the market developments, demands of the market participants and needs arose from the index operations in practice. Based on the recommendations of the Committee, Borsa Ä°stanbul Management decided to make following changes in addition to other small changes made for clarification purposes in BIST-KYD Ground Rules which will be effective as from November 1, 2016:
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Rival Systems Adds Connectivity To Nasdaq Futures
Chicago-based Rival Systems (Rival), a leading provider of trading and risk management software, today announced it now offers connectivity to Nasdaq Futures, Inc. (NFX), giving clients expanded access to energy markets and the ability to easily trade and manage like products across multiple exchanges. Rival is the latest software provider accepted into the NFX Preferred Vendor Program.
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