We study the notion of Nash equilibrium in a general nonzero-sum impulse game for two players. The main mathematical contribution of the paper is a verification theorem which provides, under some regularity conditions, the system of quasi-variational inequalities identifying the value functions and the optimal strategies of the two players.
read more...Nonzero-sum stochastic differential games with impulse controls and applications to retail energy markets. (arXiv:1605.00039v1 [math.PR])
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PMP Project Management Professional Exam Certification Kit, 3rd Edition
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ISE Holdings Reports Business Activity For April 2016
- ISE’s options exchanges combined to represent 16.1% of equity options market share, excluding dividend trades.
- ISE’s options exchanges reported a combined ADV of 2.3 million contracts.
- Dividend trades made up 0.7% of industry volume in April 2016.
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New Zealand's Financial Markets Authority Issues Formal Warning To Craigs
Section 22 of the AML/CFT Act requires reporting entities to conduct enhanced due diligence on clients where the level of risk involved is such that this higher standard of customer due diligence should apply.
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SGX Welcomes Second Perennial Real Estate Retail Bond Offering
Singapore Exchange (SGX) today welcomed the listing of Perennial Real Estate Holdings Limited’s four-year retail bonds with a coupon rate of 4.55% per annum on the Mainboard under the stock code “BSKZ”.
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UBS's First-Quarter 2016 Results - UBS 1Q Adjusted Profit Before Tax CHF 1.4 Billion
- Net profit attributable to UBS Group AG shareholders CHF 707 million; diluted earnings per share CHF 0.18
- Fully applied CET1 capital ratio 14.0%; Swiss SRB fully applied leverage ratio 5.4%
- UBS raises record USD 471 million Oncology Impact Fund to develop cancer treatments
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European Commission - EUROSTAT: Early Estimates Of CO2 Emissions From Energy Use - In 2015, CO2 Emissions In The EU Estimated To Have Slightly Increased Compared With 2014
Eurostat estimates that in 2015 carbon dioxide (CO2) emissions from fossil fuel combustion increased by 0.7% in the European Union (EU), compared with the previous year. CO2 emissions are a major contributor to global warming and account for around 80% of all EU greenhouse gas emissions. They are influenced by factors such as climate conditions, economic growth, size of the population, transport and industrial activities. Various EU energy efficiency initiatives aim to reduce emissions of CO2 and other greenhouse gases.
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ISDA Issues Invitation To Tender For Determinations Committees Secretary Role
The International Swaps and Derivatives Association, Inc. (ISDA) today announced that it has issued an invitation to tender for the secretarial role on the credit derivatives Determinations Committees (DCs).
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Post-Trade Distributed Ledger (PTDL) Group Appoints Three External Advisers And Announces New Membership Numbers
The Post-Trade Distributed Ledger (PTDL) Group, which brings together major post-trade industry participants and regulators to share information and ideas about how distributed ledger technologies could transform the post-trade landscape, has announced the appointment of three external advisers.
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Factor Models for Cancer Signatures. (arXiv:1604.08743v1 [q-bio.GN] CROSS LISTED)
We present a novel method for extracting cancer signatures by applying statistical risk models (this http URL) from quantitative finance to cancer genome data. Using 1389 whole genome sequenced samples from 14 cancers, we identify an "overall" mode of somatic mutational noise. We give a prescription for factoring out this noise and source code for fixing the number of signatures. We apply nonnegative matrix factorization (NMF) to genome data aggregated by cancer subtype and filtered using our method. The resultant signatures have substantially lower variability than those from unfiltered data. Also, the computational cost of signature extraction is cut by about a factor of 10. We find 3 novel cancer signatures, including a liver cancer dominant signature (96% contribution) and a renal cell carcinoma signature (70% contribution). Our method accelerates finding new cancer signatures and improves their overall stability. Reciprocally, the methods for extracting cancer signatures could have interesting applications in quantitative finance.
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On Optimal Retirement (How to Retire Early). (arXiv:1605.01028v1 [q-fin.ST])
We pose an optimal control problem arising in a perhaps new model for retirement investing. Given a control function $f$ and our current net worth as $X(t)$ for any $t$, we invest an amount $f(X(t))$ in the market. We need a fortune of $M$ "superdollars" to retire and want to retire as early as possible. We model our change in net worth over each infinitesimal time interval by the Ito process $dX(t)= (1+f(X(t))dt+ f(X(t))dW(t)$. We show how to choose the optimal $f=f_0$ and show that the choice of $f_0$ is optimal among all nonanticipative investment strategies, not just among Markovian ones.
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The Local Fractional Bootstrap. (arXiv:1605.00868v1 [math.ST])
We introduce a bootstrap procedure for high-frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample paths of Brownian semistationary processes, which uses an estimator based on a ratio of realized power variations. Our new resampling method, the local fractional bootstrap, relies on simulating an auxiliary fractional Brownian motion that mimics the fine properties of high frequency differences of the Brownian semistationary process under the null hypothesis. We prove the first order validity of the bootstrap method and in simulations we observe that the bootstrap-based hypothesis test provides considerable finite-sample improvements over an existing test that is based on a central limit theorem. This is important when studying the roughness properties of time series data; we illustrate this by applying the bootstrap method to two empirical data sets: we assess the roughness of a time series of high-frequency asset prices and we test the validity of Kolmogorov's scaling law in atmospheric turbulence data.
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Revisiting a Theorem of L.A. Shepp on Optimal Stopping. (arXiv:1605.00762v1 [q-fin.MF])
Using a bondholder who seeks to determine when to sell his bond as our motivating example, we revisit one of Larry Shepp's classical theorems on optimal stopping. We offer a novel proof of Theorem 1 from from \cite{Shepp}. Our approach is that of guessing the optimal control function and proving its optimality with martingales. Without martingale theory one could hardly prove our guess to be correct.
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SIFMA Executive Vice President Randy Snook Remarks At SIFMA 2016 Operations Conference & Exhibit
SIFMA Executive Vice President Randy Snook delivered opening remarks at the 43rd Annual Operations Conference in Miami Beach.
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Dalian Commodity Exchange: Notice On Providing the Material For Issuing The VAT Special Invoices
According to the “Notice on Fully Promoting the Pilot Program for Replacing Business Tax with Value-Added Tax” (Cai-Shui [2016] No. 36) issued by the Ministry of Finance and State Administration of Taxation, starting from May 1, 2016, Dalian Commodity Exchange (DCE) will issue the Value-Added Tax (VAT) special invoices to the general VAT payers. The members in need of the VAT special invoices issued by DCE are requested to provide the following material before May 15:
I. Information Collection Form for Issuing VAT Special Invoice (see attachment);
I. Information Collection Form for Issuing VAT Special Invoice (see attachment);
II. Copy of National Tax Registration Certificate. Those who have achieved the “three certificates into one” shall provide the copy of business license.
III. The documentary evidence of the member units as an general VAT payer (any one of the following documents will be valid):
1. Those who have achieved the “three certificates in one” shall provide the copy of the “Notice on Taxation Issues” issued by the competent tax authorities for approving the special invoice or the copy of the “Qualification Registration Form for Ordinary VAT Payer” sealed by the competent tax authorities.
2. Those who have not achieved the “three certificates into one” or have achieved the “three certificates into one” without completing the information changing of taxpayer recognition code shall provide the copy of the qualification certificate of general VAT payer or the copy of the tax registration certificate sealed with the statement of “Ordinary VAT Payer”.
All the above-mentioned forms and copies shall be stamped with the official seal of the unit, and faxed to the DCE Clearing Department (the original documents shall be mailed afterwards as soon as possible).
Mailing Address: Clearing Department, Floor 7, Futures Building, 129 Huizhan Road, Shahekou District, Dalian City
Tel: 0411-84808583
Fax: 0411-84808840
Tel: 0411-84808583
Fax: 0411-84808840
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ASIC- Innovation Hub: Regulatory Sandbox Proposal
ASIC today provided a further update on its Innovation Hub (see 15-211MR for our previous update). ASIC’s Innovation Hub has now been operating for just over a year and is continuing to assist financial technology (fintech) start-ups navigate the regulatory framework.
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ASX Compliance Monthly Activity Report - April 2016
Attached is a copy of the ASX Compliance Monthly Activity Report for April 2016.
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MNI China Car Purchase Indicator: Chinese Car Buying Sentiment Turns More Optimistic - General Optimism Belies Drop In Ownership And Plans To Buy
Chinese consumers were increasingly optimistic about the car buying environment in April but were less likely to act on this assessment as plans to buy a car over the next 12 months continued the downward movement seen since the start of the year. Meanwhile, a fall in expected running costs helped boost overall sentiment towards the sector.
The MNI China Car Purchase Indicator, a composite indicator designed to gauge overall conditions in the car market, rose 6% to 96.9 in April from 91.4 in March. The gain in the indicator, which is made up of two components, was driven by a combination of a decrease in consumers’ expectations for fuel costs, as well as an improvement in the assessment of the current buying conditions for cars. The Price of Gasoline component fell to 115.2 in April from 120.6 in March, with most consumers still expecting the price of fuel to increase in the coming months while the Car Purchase Expectations component edged up 5.5% to 109.1 in April, the second consecutive rise and the highest outturn since October 2010.
The improved sentiment towards the car market was not matched by actual ownership levels or planned purchases. The level of car ownership fell to 37.6% in April from 44.2% in March and there did not appear to be any plans to revise up this figure, with the proportion of consumers planning to buy a car in the next 12 months falling to 11.7% in April from 13.9% previously. Other detail in the report suggests uncertain economic prospects may have played a role, with 61.4% of respondents who thought it was a good time to buy a car putting it down to low prices rather than brighter income prospects or supportive policies.
Having continued to edge higher since March, the percentage of respondents with a car loan rose notably to 9.4% in April from 4.1% in March. Moreover, those with higher incomes (over CNY 96,000) were more likely to use leverage in April.
Of those still planning to buy a car, the planned budget of Chinese families gravitated towards the more expensive bands in April with the cheaper options falling out of favour. The largest percentage of responses went to the most expensive tier –over CNY 200,000– while there was a scale back in the mid-range of CNY 100,000 – CNY 140,000, which commanded the next highest proportion of responses. The second most expensive tier, CNY 150,000 – CNY 190,000, continued to gain more popularity between March and April.
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ASX Group Monthly Activity Report - April 2016
Attached is a copy of the ASX Group Monthly Activity Report for April 2016.
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Dubai Financial Services Authority Hosts Outreach On Corporate Governance And Investor Relations
The Dubai Financial Services Authority (DFSA), together with Hawkamah, the Dubai International Financial Centre (DIFC) Institute for Corporate Governance, and the Middle East Investor Relations Society (MEIRS), organised an outreach event last week on topics of Corporate Governance and investor relations. Panelists from each of these groups covered key topics, provided market insight and answered questions at the event.
The event was targeted at representatives of companies listed on the DIFC markets, companies considering a listing, advisors and legal professionals advising firms on listing in the DIFC, investment bankers representing the buy-side for such listings, as well as investor relations professionals. Over 60 stakeholders attended the event.
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