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State Bank of India Mumbai, India: Order Approving Establishment of a Branch
State Bank of India establish a branch in Jackson Heights the International Banking Act set up an office in the country
2011/9/30
The article reports that State Bank of India in Mumbai has applied to establish a branch in Jackson Heights, New York City. Under the Foreign Bank Supervision Enhancement Act of 1991 (FBSEA), which am...
ORDER ISSUED UNDER INTERNATIONAL BANKING ACT
information the order the Board of Governors Federal Reserve System considerations
2011/9/26
The article offers information on the order issued by the Board of Governors of the U.S. Federal Reserve System under the International Banking Act (IBA) that approves the application of ABN AMRO Bank...
Abstract: We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Mar...
How does the market react to your order flow?
Financial markets market microstructure limit order book
2011/7/22
We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose t...
"Market making" behaviour in an order book model and its impact on the bid-ask spread
Market making behaviour order book model impact bid-ask spread
2010/10/19
It has been suggested that marked point processes might be good candidates for the modelling of financial high-frequency data. A special class of point processes, Hawkes processes, has been the subje...
Statistical identification with hidden Markov models of large order splitting strategies in an equity market
Statistical identification hidden Markov models splitting strategies equity market
2010/10/19
Large trades in a financial market are usually split into smaller parts and traded incrementally over extended periods of time. We address these large trades as hidden orders. In order to identify an...
Second Order Risk
Second Order Risk
2010/11/2
Managing a portfolio to a risk model can tilt the portfolio toward weaknesses of the model.
As a result, the optimized portfolio acquires downside exposure to uncertainty in the model itself,what we ...
Scaling and memory in the non-poisson process of limit order cancelation
Econophysics Inter-cancelation duration Scaling Long memory Multifractal nature
2010/11/2
The order submission and cancelation processes are two crucial aspects in the price formation of stocks traded in order-driven markets. We investigate the dynamics of order cancelation by studying the...
High order discretization schemes for stochastic volatility models
High order discretization schemes stochastic volatility models
2010/11/2
In usual stochastic volatility models, the process driving the volatility of the asset price evolves accord-ing to an autonomous one-dimensional stochastic differential equation. We assume that the co...
Empirical shape function of limit-order books in the Chinese stock market
Empirical shape function limit-order books Chinese stock market
2010/12/13
We have analyzed the statistical probabilities of limit-order book (LOB) shape through building the book using the ultra-high-frequency data from 23 liquid stocks traded on the Shenzhen Stock Exchange...
Critical comparison of several order-book models for stock-market fluctuations
order-book models stock-market fluctuations
2010/12/13
Far-from-equilibrium models of interacting particles in one dimension are used as a basis for modelling the stock-market fluctuations. Particle types and their positions are interpreted as buy and sel...
Stock Returns, Order Imbalances, and Commonality: Evidence on Individual, Institutional, and Proprietary Investors in China主讲人 Prof. Jun CaiCity University of Hong Kong