Financial markets
Rethinking risk management in the age of cognitive computing
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Networks and lending conditions: empirical evidence from the Swiss franc money markets
In this paper, the author provides an empirical analysis of the network characteristics of two interrelated interbank money markets and their effect on overall market conditions.
Statistical testing of DeMark technical indicators on commodity futures
This paper examines the performance of three DeMark indicators over twenty-one commodity futures markets and ten years of daily data.
Quantifying the diversity of news around stock market moves
In this paper, the authors use a topic-modeling approach to quantify the changing attentions of a major news outlet, the Financial Times, to issues of interest.
Granularity, a blessing in disguise: transaction cycles within real-time gross settlement systems
The authors of this paper take us into the world of granular time series data.
A multilayer model of order book dynamics
This paper presents a two-layer order book model.
A network-based method for visual identification of systemic risks
This paper introduces the topic of network visualization to the journal by proposing the use of a combination of data reduction techniques and overlays that allow detection of large-scale patterns and outlier activity.
Is the financialisation of commodities being reversed?
Energy industry veteran Kaminski offers a verdict - and some career advice
Granger-causal nonlinear financial networks
This paper aims to quantify cascades of price movements in financial markets. It considers nonlinear lead-lag effects with stocks in the S&P 100 as nodes, and it also looks at directed links between the stocks identified through Granger causality. The…
UK markets review focuses on FICC structure and conduct
Fair and Effective Markets Review highlights causes of FICC market misconduct
Big bang: new dawn for CDS market
The 'big bang' protocol, which changes the way credit derivatives are quoted and traded, may have brought a CDS exchange one step closer