The Office of the Comptroller of the Currency (OCC) released economic and financial market scenarios that will be used in the upcoming stress tests for covered institutions with more than $10 billion in assets. The supervisory scenarios include baseline, adverse, and severely adverse scenarios, as described in the OCC’s final rules that implement stress test requirements of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010.
read more...Office Of The Comptroller Of The Currency Releases Dodd-Frank Stress Test Scenarios For 2016
↧
↧
Critical value of the total debt in view of the debts durations. (arXiv:1601.07900v1 [q-fin.ST])
The parastatistic distribution of a total debt owed to a large number of creditors is considered in relation to the duration of these debts. Calculation debt process depends from the fractal dimension of economic system in which this process takes place. Two actual variants of these dimensions are investigated. Critical values for these variants are determined. Such values are representing the levels after that borrower bankruptcy occurs. The calculation of the critical value is performed by two independent methods: as the point where the entropy of the system reaches its maximum value, and as the point where the chemical potential is zero, which corresponds to the termination of payments on the debt. Both methods lead to the same critical value. When the velocity of money circulation decreases, it is found for what dimensions critical debt value increases and for what decreases with decrease.
read more...↧
On construction of positivity preserving numerical schemes. (arXiv:1601.07864v1 [math.NA])
Our aim in this note is to construct explicit numerical schemes by using a splitting step method combined with the semi discrete technique. We apply our results to the Ait-Sahalia model and propose an explicit and positivity preserving numerical scheme.
read more...↧
Predicting Human Cooperation. (arXiv:1601.07792v1 [cs.GT])
The Prisoner's Dilemma has been a subject of extensive research due to its importance in understanding the ever-present tension between individual self-interest and social benefit. A strictly dominant strategy in a Prisoner's Dilemma (defection), when played by both players, is mutually harmful. Repetition of the Prisoner's Dilemma can give rise to cooperation as an equilibrium, but defection is as well, and this ambiguity is difficult to resolve. The numerous behavioral experiments investigating the Prisoner's Dilemma highlight that players often cooperate, but the level of cooperation varies significantly with the specifics of the experimental predicament. We present the first computational model of human behavior in repeated Prisoner's Dilemma games that unifies the diversity of experimental observations in a systematic and quantitatively reliable manner. Our model relies on data we integrated from many experiments, comprising 168,386 individual decisions. The computational model is composed of two pieces: the first predicts the first-period action using solely the structural game parameters, while the second predicts dynamic actions using both game parameters and history of play. Our model is extremely successful not merely at fitting the data, but in predicting behavior at multiple scales in experimental designs not used for calibration, using only information about the game structure. We demonstrate the power of our approach through a simulation analysis revealing how to best promote human cooperation.
read more...↧
The ecology of social interactions in online and offline environments. (arXiv:1601.07776v1 [cs.SI])
The rise in online social networking has brought about a revolution in social relations. However, its effects on offline interactions and its implications for collective well-being are still not clear and are under-investigated. We study the ecology of online and offline interaction in an evolutionary game framework where individuals can adopt different strategies of socialization. Our main result is that the spreading of self-protective behaviors to cope with hostile social environments can lead the economy to non-socially optimal stationary states.
read more...↧
↧
Regional Oil Extraction and Consumption: A simple production model for the next 35 years Part I. (arXiv:1601.07716v1 [physics.soc-ph])
The growing conflicts in and about oil exporting regions and speculations about volatile oil prices during the last decade have renewed the public interest in predictions for the near future oil production and consumption. Unfortunately, studies from only 10 years ago, which tried to forecast the oil production during the next 20-30 years, failed to make accurate predictions for today's global oil production and consumption. Forecasts using economic growth scenarios, overestimated the actual oil production, while models which tried to estimate the maximum future oil production/year, using the official country oil reserve data, predicted a too low production.
read more...↧
Micro-foundation using percolation theory of the finite-time singular behavior of the crash hazard rate in a class of rational expectation bubbles. (arXiv:1601.07707v1 [q-fin.TR])
We present a plausible micro-founded model for the previously postulated power law finite time singular form of the crash hazard rate in the Johansen-Ledoit-Sornette model of rational expectation bubbles. The model is based on a percolation picture of the network of traders and the concept that clusters of connected traders share the same opinion. The key ingredient is the notion that a shift of position from buyer to seller of a sufficiently large group of traders can trigger a crash. This provides a formula to estimate the crash hazard rate by summation over percolation clusters above a minimum size of a power sa (with a > 1) of the cluster sizes s, similarly to a generalized percolation susceptibility. The power sa of cluster sizes emerges from the super-linear dependence of group activity as a function of group size, previously documented in the literature. The crash hazard rate exhibits explosive finite-time singular behaviors when the control parameter (fraction of occupied sites, or density of traders in the network) approaches the percolation threshold pc. Realistic dynamics are generated by modelling the density of traders on the percolation network by an Ornstein-Uhlenbeck process, whose memory controls the spontaneous excursion of the control parameter close to the critical region of bubble formation. Our numerical simulations recover the main stylized properties of the JLS model with intermittent explosive super-exponential bubbles interrupted by crashes.
read more...↧
Portfolio Optimization in the Stochastic Portfolio Theory Framework. (arXiv:1601.07628v1 [q-fin.PM])
I discuss some theoretical results with a view to motivate some practical choices in portfolio optimization. Even though the setting is not completely general (for example, the covariance matrix is assumed to be non-singular), I attempt to highlight the features that have practical relevance. The mathematical setting is Stochastic Portfolio Theory, which is flexible enough to describe most realistic assets, and it has been successfully employed for managing equity portfolios since 1987.
read more...↧
Trading-profit attribution for the size factor. (arXiv:1601.07626v1 [q-fin.PM])
An algorithm was recently introduced by INTECH for the purposes of estimating the trading-profit contribution of systematic rebalancing to the relative return of rules-based investment strategies. We apply this methodology to analyze the size factor through the use of equal-weighted portfolios. These strategies combine a natural exposure to the size factor with a simple understanding within the framework of Stochastic Portfolio Theory, furnishing a natural test subject for the attribution algorithm.
read more...↧
↧
Sufficiency on the Stock Market. (arXiv:1601.07593v1 [cs.IT])
It is well-known that there are a number of relations between theoretical finance theory and information theory. Some of these relations are exact and some are approximate. In this paper we will explore some of these relations and determine under which conditions the relations are exact. It turns out that portfolio theory always leads to Bregman divergences. The Bregman divergence is only proportional to information divergence in situations that are essentially equal to the type of gambling studied by Kelly. This can be related an abstract sufficiency condition.
read more...↧
Financial Stability Oversight Council Meeting January 28, 2016
U.S. Secretary of the Treasury Jacob J. Lew today convened a meeting of the Financial Stability Oversight Council (Council) in an executive session at the Treasury Department.
read more...↧
âAt A Pivotal Pointâ - Bermuda Stock Exchange (âBSXâ) CEO Comments On The Insurance-Linked Securities Market
The article entitled, At a pivotal point by Bermuda:Re+ILS can be found using the following link: http://www.bermudareinsurancemagazine.com/article/at-a-pivotal-point?utm_sou
↧
Business Forecasting: Practical Problems and Solutions
Business Forecasting compiles some of the field's important and influential literature into a single, comprehensive reference for forecast modeling and process improvement. It is packed with provocative ideas from forecasting researchers and practitioners, on topics including accuracy metrics, benchmarking, modeling of problem data, and overcoming dysfunctional behaviors
read more...↧
↧
Japan Exchange Group, Inc. And Consolidated Subsidiaries Consolidated Financial Results For The Nine Months Ended December 31, 2015 - Based On IFRS, Unaudited
During the consolidated cumulative third quarter (from April 1, 2015 to December 31, 2015), the Group recorded operating revenue of ¥85,284 million (8.1% increase from the same period of the previous fiscal year (i.e. year-on-year)) due to factors such as year-on-year increases in cash equity trading value and derivatives trading volume, while operating expenses were ¥36,103 million (9.4% year-on-year decrease). As a result, the Group recorded operating income of ¥51,745 million (28.9% year-on-year increase) and income before income tax of ¥52,971 million (28.4% year-on-year increase).
read more...↧
NZX: Issue Of Shares On SuperLife Acquisition
↧
United Kingdom Parliament Treasury Committee Update: Financial Regulatory Bodies Examine UK's EU mMembership
↧
NZX Annual 2015 Operational & Regulation Metrics
NZX’s full year 2015 operating metrics released today highlight the continued resilience of New Zealand’s capital markets in 2015 and the progression of a range of market development activities to broaden and deepen our capital markets.
read more...↧
↧
Moscow Exchange: The Additional Trading Session Starts Later On 01, 17 And 18 February 2016
Please note that the Derivatives market evening trading session will begin five minutes later, i.e. at 7:05 pm MSK, on 01, 17 and 18 February 2016, as these are the last trading days for options contracts (in accordance with clause 7.2 of the Rules of organized trading for the Moscow Exchange Derivatives Market).
↧
TOCOM Dubai Crude Oil Volume Renewed Monthly Records For Two Consecutive Months
The Tokyo Commodity Exchange, Inc. announced today that Dubai Crude Oil futures volume for January 2016 was 703,313 contracts, which renewed an all-time high reached in December 2015 at 503,119 contracts.
Dubai's January volume surpassed that of Gold Standard futures (XXX,XXX contracts), and became the largest contract among TOCOM listed commodities for the first time since its launch in September 2001.
Visit TOCOM's website at http://www.tocom.or.jp/historical/dekidaka.html for the historical volume data.
↧
Osaka Exchange: Go-Live Date Of Next Generation Derivatives Trading System (Next J-GATE)
OSE is pleased to announce the go-live date of Next J-GATE. Steady progress has been made on Next J-GATE, which is being developed to expand market liquidity and further improve reliability and convenience for investors, trading participants, and other market users.
Based on the progress of our preparations, we hereby announce the scheduled date as below.
↧
More Pages to Explore .....
