A Scaling Limit for Limit Order Books Driven by Hawkes Processes....
In this paper we derive a scaling limit for an infinite dimensional limit order book model driven by Hawkes random measures. The dynamics of the incoming order flow is allowed to depend on the current...
View ArticleTensor Representation in High-Frequency Financial Data for Price Change...
Nowadays, with the availability of massive amount of trade data collected, the dynamics of the financial markets pose both a challenge and an opportunity for high frequency traders. In order to take...
View ArticleTime-Varying Extreme Value Dependence with Application to Leading European...
Extremal dependence between international stock markets is of particular interest in today's global financial landscape. However, previous studies have shown this dependence is not necessarily...
View ArticleRisk-Minimizing Hedging of Counterparty Risk. (arXiv:1709.01115v1 [q-fin.RM])
We study dynamic hedging of counterparty risk for a portfolio of credit derivatives. Our empirically driven credit model consists of interacting default intensities which ramp up and then decay after...
View ArticleChecklists and Illustrative Financial Statements 2017: Defined Contribution...
This edition covers plan types, such as 401(k) plans, 403(b) plans, and 11Ks. It contains the most comprehensive U.S. GAAP disclosure guidance available, and identifies the reporting requirements that...
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The Profession of Modeling and Simulation: Discipline, Ethics, Education,...
The definite guide to the theory, knowledge, technical expertise, and ethical considerations that define the M&S professionread more...
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We Dwell on the Negative
New research from Stanford Professor Zakary Tormala and graduate student Aaron Snyder examines how individuals weigh the pros and cons when making a decision. They found that people tend to dwell on...
View ArticleConcurring Statement of Commissioner Sharon Y. Bowen with Respect to the...
Concurring Statement of Commissioner Sharon Y. Bowen with Respect to the Commissionâs Action Filing Civil Complaint Against Monex Deposit Company, its Affiliates, and Their Principals
View ArticleCFTC Charges Monex Deposit Company, its Affiliates, and their Principals in...
The U.S. Commodity Futures Trading Commission (CFTC) announced the filing of a civil injunctive enforcement action in the U.S. District Court for the Northern District of Illinois against three...
View ArticleRostin Behnam Sworn In as a Commissioner of the CFTC
Rostin Behnam was officially sworn in today to serve as a Commissioner of the U.S. Commodity Futures Trading Commission (CFTC), the federal agency that oversees the commodity futures, options and swaps...
View ArticleAICPA Technical Questions and Answers, 2017
CPAs and accountants can the answers to the questions they and their clients are asking in AICPA Technical Questions and Answers. This publication compiles popular Q&As from the AICPA's Technical...
View ArticleChecklists and Illustrative Financial Statements: Not-for-Profit Entities, 2017
New for 2017--ASU No. 2016-14, Not-for-Profit Entities (Topic 958): Presentation of Financial Statements of Not-for-Profit Entities. Questions have been added to the checklist for those entities that...
View ArticlePractice Aid: Audit and Accounting Manual, 2017
Updated as of April 1, 2017, this comprehensive, step-by-step guide provides a plain English approach to conducting an audit. This one-stop-shop summarizes applicable requirements and delivers how-to...
View ArticleModern Portfolio Theory: Foundations, Analysis, and New Developments, +...
Modern Portfolio Theory: Foundations, Analysis, and New Developments @wiley_finance https://t.co/g5lpNmUsh5 â moneyscience (@moneyscience) September 7, 2017
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