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- Published / Preprint: Theoretical and Numerical Analysis of an Optimal Execution Problem with Uncertain Market Impact. (arXiv:1506.02789v1 [q-fin.TR])
- Published / Preprint: The Limits of Leverage. (arXiv:1506.02802v1 [q-fin.PM])
- Published / Preprint: Autoregressive approaches to import-export time series I: basic techniques. (arXiv:1506.02940v1 [stat.AP])
- Blog Post: WealthandCapitalMarketsBlog: OTC derivatives regulations in US and Europe
- Blog Post: iMFdirect: Raising Long-Run Growth in Latin America and the Caribbean'A Complex(ity) Issue
| Posted: 09 Jun 2015 05:47 PM PDT This paper is a continuation of Ishitani and Kato (2015), in which we derive a continuous-time value function corresponding to an optimal execution problem with uncertain market impact as a limit of a discrete-time value function. In this paper, we investigate properties of the value function. Especially, we show continuity and the semigroup property, which are strongly related with... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: The Limits of Leverage. (arXiv:1506.02802v1 [q-fin.PM]) Posted: 09 Jun 2015 05:47 PM PDT When trading incurs proportional costs, leverage can scale an asset's return only up to a maximum multiple, which is sensitive to its volatility and liquidity. In a model with one safe and one risky asset, with constant investment opportunities and proportional costs, we find strategies that maximize long term return given average volatility. As leverage increases, rising rebalancing costs imply... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Jun 2015 05:47 PM PDT This work is the first part of a project dealing with an in-depth study of effective techniques used in econometrics in order to make accurate forecasts in the concrete framework of one of the major economies of the most productive Italian area, namely the province of Verona. In particular, we develop an approach mainly based on vector autoregressions, where lagged values of two or more variables... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: OTC derivatives regulations in US and Europe Posted: 09 Jun 2015 03:07 PM PDT There has been an ongoing dialogue for some time now between the European capital markets regulator European Securities and Markets Authority (ESMA) and the Commodity Futures Trading Commission (CFTC) of the US regarding the requirements for clearing of OTC derivatives. In the opinion of market participants, the lack of agreement, over issues such as margin requirements and the period for which a... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Jun 2015 09:06 AM PDT By Fabiano Rodrigues Bastos and Ke Wangread more... Visit MoneyScience for the Complete Article.    |
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