The winners of the 2016 Published Accounts Awards (PAA) were announced on Friday, 19 November. The Awards, which took place in The Mansion House in Dublin, saw 26 public and private companies, including not-for-profit organisations, compete as finalists across eight distinct award categories.
read more...Irish Stock Exchange: Winners Of The 2016 Published Accounts Awards Announced
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Athens Exchange Group: Semi - Annual Review Of ATHEX Index Series
From the session of Monday November 28th, 2016 are effective all changes in the composition of the FTSE/ATHEX Index Series in the context of the regular semi-annual review of their composition.
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US Treasury’s Federal Insurance Office Releases First Annual Consumer Report
The U.S. Department of the Treasury’s Federal Insurance Office (FIO) today released its first annual “Report on the Protection of Consumers and Access to Insurance.” The first-of-its-kind report addresses a range of consumer protection issues that are critical to the functioning of a stable and fair insurance marketplace.
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Athens Exchange Group: Semi - Annual Review Of ATHEX Index Series - Capping Factors - ATHEX Composite Index
From the session of Monday November 28th, 2016 are effective all changes in the composition of the ATHEX Index Series in the context of the regular semi-annual review of their composition.
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BISX Launches New Website
The Bahamas International Securities Exchange (BISX) is pleased and excited to officially announce the launch of its new website. The newly redesigned website is located at www.bisxbahamas.com
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DTCC Adds New Canadian Trade Reporting Capabilities To Its Global Trade Repository Service
The Depository Trust & Clearing Corporation (DTCC), the premier post-trade market infrastructure for the global financial services industry, announces that its Global Trade Repository (GTR), through its locally registered trade repository, has added trade repository services for Newfoundland and Labrador. With this addition, GTR now supports all Canadian provinces and territories, with existing support for Alberta, British Columbia, Manitoba, New Brunswick, Nova Scotia, Ontario, Quebec, Saskatchewan, Nunavut, Northwest Territories, Prince Edward Island and Yukon.
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CFTC Releases Annual Enforcement Results For Fiscal Year 2016 - Agency Filed 68 Enforcement Cases And Achieved $1.29 Billion In Monetary Sanctions Ordered - Highlights Include Successful Bench And Jury Trials, Issuance Of Largest Whistleblower Award, And Significant Cases Brought Pursuant To Dodd-Frank Authority
The U.S. Commodity Futures Trading Commission (CFTC) today released the agency’s enforcement results for fiscal year (FY) 2016. In the fiscal year that ended in September, the CFTC filed 68 enforcement actions, which addressed a sweeping range of misconduct and market harm, and obtained orders totaling approximately $1.29 billion in restitution, disgorgement, and penalties.
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CFTC Staff Issues Time-Limited Extension Of Swap Data Reporting Relief For Certain Swap Dealers And Major Swap Participants Established Under The Laws Of Australia, Canada, The European Union, Japan Or Switzerland
The U.S. Commodity Futures Trading Commission’s (CFTC) Division of Market Oversight (Division) issued a time-limited no-action letter today that extends relief provided to certain CFTC-registered swap dealers (SD) and major swap participants (MSP) in CFTC Letter No. 15-61.
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Chief Litigation Counsel Matthew C. Solomon To Leave SEC
The Securities and Exchange Commission today announced that Matthew C. Solomon, the Chief Litigation Counsel for the SEC’s Enforcement Division, will leave the agency early next month.
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TMX Group Statement On Competition Bureau Announcement
TMX Group welcomes today's announcement that the Commissioner of Competition has discontinued his investigation into allegations that TMX Group engaged in conduct contrary to the provisions of the Competition Act. TMX Group cooperated fully during the investigation and remains firmly committed to conducting business with integrity in full compliance with the Competition Act and in keeping with our public interest mandate.
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Canada's Competition Bureau Statement Regarding Its Investigation Into Alleged Anti-Competitive Conduct By TMX Group Limited
Today, the Commissioner of Competition (the “Commissioner”) announced that he has discontinued his investigation into allegations that TMX Group Limited (“TMX Group”) engaged in conduct contrary to the restrictive trade practices provisions of the Competition Act (the “Act”). This statement summarizes the Competition Bureau’s (the “Bureau”) approach in respect of this investigation.
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Trading And Markets Director Stephen Luparello To Leave SEC
The Securities and Exchange Commission today announced that Stephen Luparello, Director of the Division of Trading and Markets, will leave the agency by the first of the year. He was named director of the office in February 2014.
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Dynamical Stationarity as a Result of Sustained Random Growth. (arXiv:1611.06698v1 [cond-mat.stat-mech])
In sustained growth with random dynamics stationary distributions can exist without detailed balance. This suggests thermodynamical behavior in fast growing complex systems. In order to model such phenomena we apply both a discrete and a continuous master equation. The derivation of elementary rates from known stationary distributions is a generalization of the fluctuation--dissipation theorem. Entropic distance evolution is given for such systems. We reconstruct distributions obtained for growing networks, particle production, scientific citations and income distribution.
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Systemic Risk and Interbank Lending. (arXiv:1611.06672v1 [q-fin.MF])
We propose a simple model of inter-bank lending and borrowing incorporating a game feature where the evolution of monetary reserve is described by a system of coupled Feller diffusions. The optimization subject to the quadratic cost reflects the desire of each bank to borrow from or lend to a central bank through manipulating its lending preference and the intention of each bank to deposit in the central bank in order to control the volatility for cost minimization. We observe that the adding liquidity creates a flocking effect leading to stability or systemic risk depending on the level of the growth rate. The deposit rate diminishes the growth of the total monetary reserve causing a large number of bank defaults. The central bank acts as a central deposit corporation. In addition, the corresponding Mean Field Game in the case of the number of banks $N$ large and the infinite time horizon stochastic game with the discount factor are also discussed.
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Quantifying immediate price impact of trades based on the $k$-shell decomposition of stock trading networks. (arXiv:1611.06666v1 [q-fin.TR])
Traders in a stock market exchange stock shares and form a stock trading network. Trades at different positions of the stock trading network may contain different information. We construct stock trading networks based on the limit order book data and classify traders into $k$ classes using the $k$-shell decomposition method. We investigate the influences of trading behaviors on the price impact by comparing a closed national market (A-shares) with an international market (B-shares), individuals and institutions, partially filled and filled trades, buyer-initiated and seller-initiated trades, and trades at different positions of a trading network. Institutional traders professionally use some trading strategies to reduce the price impact and individuals at the same positions in the trading network have a higher price impact than institutions. We also find that trades in the core have higher price impacts than those in the peripheral shell.
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Model reduction for calibration of American options. (arXiv:1611.06452v1 [math.NA])
American put options are among the most frequently traded single stock options, and their calibration is computationally challenging since no closed-form expression is available. Due to the higher flexibility in comparison to European options, the mathematical model involves additional constraints, and a variational inequality is obtained. We use the Heston stochastic volatility model to describe the price of a single stock option. In order to speed up the calibration process, we apply two model reduction strategies. Firstly, a reduced basis method (RBM) is used to define a suitable low-dimensional basis for the numerical approximation of the parameter-dependent partial differential equation ($\mu$PDE) model. By doing so the computational complexity for solving the $\mu$PDE is drastically reduced, and applications of standard minimization algorithms for the calibration are significantly faster than working with a high-dimensional finite element basis. Secondly, so-called de-Americanization strategies are applied. Here, the main idea is to reformulate the calibration problem for American options as a problem for European options and to exploit closed-form solutions. Both reduction techniques are systematically compared and tested for both synthetic and market data sets.
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Interplay between endogenous and exogenous fluctuations in financial markets. (arXiv:1611.06407v1 [q-fin.ST])
We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary mechanism responsible for the observed long-range dependence and statistical properties of high volatility return intervals. By exogenous noise we mean information flow or/and order flow fluctuations. Numerical results based on the proposed model reveal that the exogenous fluctuations have to be considered as indispensable part of comprehensive modeling of the financial markets.
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Regression-based complexity reduction of the dual nested Monte Carlo methods. (arXiv:1611.06344v1 [q-fin.CP])
In this paper we propose a novel dual regression-based approach for pricing American options. This approach reduces the complexity of the nested Monte Carlo method and has especially simple form for time discretised diffusion processes. We analyse the complexity of the proposed approach both in the case of fixed and increasing number of exercise dates. The method is illustrated by several numerical examples.
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Shenzhen Stock Exchange Market Bulletin 21 November, 2016, Issue 39
SZSE promulgated the Guidelines on Information Disclosure of three industries: seed and planting, construction machinery, and decoration industry. Taking industrial characteristics, investor demand and information disclosure cost of listed companies into consideration, the Guidelines clearly regulated disclosure requirements of periodic report and interim report, first disclosure and continuous disclosure obligations, industrial characteristics and business scope, industrial chain and core competitiveness, value and risk, financial and non-financial information by emphasizing industrial characteristics and risks respectively. In addition, the Guidelines expanded the flexibility of specific rules based on industrial characteristics.
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Predicting the rise of right-wing populism in response to unbalanced immigration. (arXiv:1612.00270v2 [physics.soc-ph] CROSS LISTED)
Among the central tenets of globalization is free migration of labor. Although much has been written about its benefits, little is known about the limitations of globalization, including how immigration affects the anti-globalist sentiment. Analyzing polls data, we find that over the last three years in a group of EU countries affected by the recent migrant crisis, the percentage of right-wing (RW) populist voters in a given country depends on the prevalence of immigrants in this country's population and the total immigration inflow into the entire EU. The latter is likely due to the EU resembling a supranational state, where the lack of inner borders causes that "somebody else's problem" easily turns into "my problem". We further find that the increase in the percentage of RW voters substantially surpasses the immigration inflow, implying that if this process continues, RW populism may democratically prevail and eventually lead to a demise of globalization. We present evidence for tipping points in relation to the rise of RW populism. Finally, we model these empirical findings using a complex network framework wherein the success of globalization largely rests on the balance between immigration and immigrant integration.
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