“Showed amazing potential. Then he moved to Montana, and blew the competition away.” — Sean MaguireContinue reading on Cantor’s Paradise �...

Mar 16 2020 12:01

We address the issue of market making on electronic markets when taking into account the self exciting property of market order flow. We consider a market with order flows dri...

Mar 16 2020 12:01

Wang Shi, a business mogul who created his empire of wealth from scratch, relished in his fame and basked in the glory of his affluent business. Nothing lasts forever! After m...

Mar 16 2020 12:01

Coronavirus (COVID-19) creates fear and uncertainty, hitting the global economy and amplifying the financial markets volatility. The oil price reaction to COVID-19 was gradual...

Mar 16 2020 12:01

In this paper, enlightened by the asymptotic expansion methodology developed by Li(2013b) and Li and Chen (2016), we propose a Taylor-type approximation for the transition den...

Mar 16 2020 12:01

It is well-known that using delta hedging to hedge financial options is not feasible in practice. Traders often rely on discrete-time hedging strategies based on fixed trading...

Mar 16 2020 12:01

Machine Learning algorithms and Neural Networks are widely applied to many different areas such as stock market prediction, face recognition and population analysis. This pape...

Mar 16 2020 12:01

We present a detailed analysis of emph{observable} moments based parameter estimators for the Heston SDEs jointly driving the rate of returns $R_t$ and the squared volatiliti...

Mar 16 2020 12:01

In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the p...

Mar 16 2020 12:01

How much has changed since 2008? https://t.co/Sxgx7vZWoQ — David R. Koenig (@davidrkoenig) March 15, 2020

Mar 16 2020 12:01

Abstract We propose a multiple optimal stopping model where an investor can sell a divisible asset position at times of her choosing. Investors have (S)-sh...

Mar 16 2020 12:01

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Mar 15 2020 12:00

If you are interested in this book review, you may like to listen to this ‘Extra Innings’ episode of The Ballpark podcast in which Joseph Sternberg talks to Ballp...

Mar 15 2020 06:03

The U.S. Securities and Exchange Commission noticed for immediate effectiveness a proposed rule filing submitted by Cboe Exchange, Inc. to facilitate the continued operation o...

Mar 15 2020 06:01

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Mar 14 2020 12:01

The World Health Organization has declared a global pandemic as the coronavirus spreads rapidly across the world. As tumbling stock markets reveal growing fears about the pot...

Mar 14 2020 06:05

The Securities and Exchange Commission today announced regulatory relief for funds and investment advisers whose operations may be affected by the coronavirus.  The ...

Mar 14 2020 00:01