Identifying universal behavior is a challenging task for far-from-equilibrium complex systems. Here we investigate the collective dynamics of the international currency exchange market and show the existence of a semi-invariant signature masked by the high degree of heterogeneity in this complex system. The cumulative fluctuation distribution in the exchange rates of different currencies possess heavy tails characterized by exponents varying around a median value of 2. The systematic deviation of individual currencies from this putative universal form (the "inverse square law") can be partly ascribed to the differences in their economic prosperity and diversity of export products. The distinct nature of the fluctuation dynamics for currencies of developed, emerging and frontier economies are characterized in detail by detrended fluctuation analysis and variance-ratio tests, which shows that less developed economies are associated with sub-diffusive random walk processes. We hierarchically cluster the currencies into similarity groups based on differences between their fluctuation distributions as measured by Jensen-Shannon divergence. These clusters are consistent with the nature of the underlying economies - but also show striking divergences during economic crises. Indeed a temporally resolved analysis of the fluctuations indicates significant disruption during the crisis of 2008-09 underlining its severity.
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An "inverse square law" for the currency market: Uncovering hidden universality in heterogeneous complex systems. (arXiv:1606.06111v1 [q-fin.ST])
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Using String Invariants for Prediction Searching for Optimal Parameters. (arXiv:1606.06003v1 [q-fin.ST])
We have developed a novel prediction method based on string invariants. The method does not require learning but a small set of parameters must be set to achieve optimal performance. We have implemented an evolutionary algorithm for the parametric optimization. We have tested the performance of the method on artificial and real world data and compared the performance to statistical methods and to a number of artificial intelligence methods. We have used data and the results of a prediction competition as a benchmark. The results show that the method performs well in single step prediction but the methods performance for multiple step prediction needs to be improved. The method works well for a wide range of parameters.
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A new decomposition of portfolio return. (arXiv:1606.05877v1 [q-fin.MF])
For a functionally generated portfolio, there is a natural decomposition of the relative log-return into the log-change in the generating function and a drift process. In this note, this decomposition is extended to arbitrary stock portfolios by an application of Fisk-Stratonovich integration. With the extended methodology, the generating function is represented by a structural process, and the drift process is subsumed into a trading process that measures the profit and loss to the portfolio from trading.
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CalPERS Names Douglas Hoffner Interim CEO
The California Public Employees' Retirement System (CalPERS) Board of Administration today appointed Douglas Hoffner as the Pension Fund's Interim Chief Executive Officer (CEO) as it completes its process for a new CEO.
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International Customer Trades Increased To 52.1% Of Total Volulme At Tokyo Commodity Exchange In May - a New Record
The Tokyo Commodity Exchange, Inc announced today that the May 2016 monthly volume of customer trades (combined sell & buy sides) originating overseas was 2,172,946 contracts, accounting for 52.1 percent of the total trades of 4,174,664 contracts. This renewed the previous record ratio of 51.6 percent in April 2016. The highest volume of international customer trades to date is 2,677,075 contracts recorded in February 2016.
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SGX Welcomes Frasers Logistics & Industrial Trust To Mainboard
Singapore Exchange (SGX) today welcomed Frasers Logistics & Industrial Trust to its Mainboard under the stock code “BUOU”.
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Network Service Interruption At SIX
As already outlined in our statement yesterday, there have been a number of network disruptions to our services. Though various services from different divisions have been affected, the processing of card payments has been particularly affected. It is possible that certain services may not be available today in the way we would wish them to be. We regret this situation and continue to focus our efforts on resolving the issues.
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Fidessa and Commcise solve industry MiFID II unbundling conundrum
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June 21, 2016 - SS&C GlobeOp Forward Redemption Indicator: June notifications 4.88%
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Fidessa And Commcise Solve Industry MiFID II Unbundling Conundrum - New Partnership To Evidence Transparency When Using Dealing Commissions To Fund RPAs
Fidessa group plc (LSE: FDSA) has today announced a new partnership with Commcise that brings to the market a transactional method for funding Research Payment Accounts (RPAs). This allows the industry to support evolving MiFID II regulatory requirements whilst at the same time improving operational efficiency.
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Deutsche Börse Establishes A Corporate Venture Capital Platform
As an important additional element of its growth strategy “Accelerate”, Deutsche Börse Group today announced the launch of a dedicated corporate venture capital (CVC) platform – DB1 Ventures. The DB1 Ventures team will be primarily based in Frankfurt and will undertake new investments as well as actively manage Deutsche Börse’s existing minority shareholdings. While Deutsche Börse has already made several strategic investments in early stage and mature companies, the new approach allows the Group to actively manage its existing and new portfolio to realize the full potential of these strategic shareholdings.
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Project Sentinel: Industry Participants Collaborate On MiFID II Implementation - Initiative By A Group Of Banks Mutualises The Cost Of MiFID II Implementation In The OTC Front Office
Project Sentinel, a collaborative initiative by a group of banks to mutualise the cost of MiFID II implementation in the OTC front office, has announced the creation of a normalised regulatory data model that assists investment firms to meet their MiFID II OTC sales and trading requirements. This data model is the first piece of a larger puzzle to create a standardised approach for ensuring regulatory conformance for front office OTC sales and trading activities.
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Japanâs Financial Services Agency: Publication Of The Report By The âWorking Group On Financial Groupâ Of The Financial System Council
The “Working Group on Financial Group of the Financial System Council” (chairman Shinsaku IWAHARA, professor, Waseda University Law School) has discussed and deliberated nine times on the institutional framework on financial group since May 2015.
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ESMA: Steven Maijoor Speaks At European Parliament On MiFID II
Steven Maijoor, Chair of the European Securities and Markets Authority (ESMA), today gave a statement to the European Parliament’s Economic and Monetary Affairs Committee (ECON) on MiFID II during its scrutiny session.
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Japanâs Financial Services Agency: Publication Of The Final Report By The âWorking Group On Payment And Transaction Bankingâ Of The Financial System Council
The “Working Group on Payment and Transaction Banking” of the Financial System Council (chairman Tetsuo MORISHITA, professor, Sophia University Law School) has discussed and deliberated seven times on payment and other related financial services as well as the development of platforms supporting such services since July 2015.
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Professor Michael Dougan on the EU Referendum
Professor of European Law at the University of Liverpool, Professor Dougan provides his viewpoint on the EU referendum, and discussed the facts and figures circulated by both the ‘Leave’ and ‘Remain’ campaigns.
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HKEX And KRX Sign Non-Binding Letter Of Intent
Hong Kong Exchanges and Clearing Limited (HKEX) and Korea Exchange (KRX) today (Tuesday) signed a non-binding letter of intent (LOI) to explore the cross-listing of their equity derivatives in each other's market. The equity derivatives under consideration include, but are not limited to, stock index futures and options and single stock futures and options offered in local currency*.
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First Independent Chinese Issuer Lists ETF On London Stock Exchange
London Stock Exchange today welcomes a new fixed income ETF from Fullgoal Asset Management (HK) Limited (Fullgoal), a leading Chinese investment firm. The Fullgoal FTSE China Onshore Sovereign and Policy Bank Bond 1-10 Year Index ETF, is the first ETF by an independent Chinese issuer in Europe and will track the FTSE China Onshore Sovereign and Policy Bank Bond Index, which is designed to reflect the performance of bonds denominated in RMB (CNY), issued by Chinese Government, China Development Bank, Agricultural Development Bank of China, The Export-Import Bank of China and circulated in mainland China.
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HKEX: Arrangements For Adjustment Of Hengan Structured Products And Options
Hong Kong Exchanges and Clearing Limited (HKEX) has announced the arrangements for the adjustment to Hengan International Group Company Limited (Hengan) structured products and options to account for Hengan’s spin-off and separate listing of the QinQin Foodstuffs Group (Cayman) Company Limited on HKEX’s securities market by way of a conditional distribution in specie.
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Professor Michael Dougan on the EU Referendum
Michael Dougan on the EU referendum & the facts and figures circulated by both ‘Leave’ and ‘Remain’ https://t.co/CFHqp3rMwj — Hedge Fund Focus…
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