Search results for "Financial instruments"
showing 7 items of 7 documents
Regulation of security tokens as financial instruments in the EU: is there a need for amendments?
2022
In 2020 the European Commission proposed laws on crypto-assets and DLT. The EU treats security tokens as financial instruments, provided that they fall into the MiFID II definition. This Thesis aims to provide classification for crypto-asset as a financial instrument, to identify regulatory gaps in the EU legislation applicable to crypto-assets that qualify as financial instruments (security tokens), and to provide recommendations in relation to security tokens regulation in the EU. The results indicate that Amending Directive will harmonize the procedure for classification of a crypto-asset as a financial instrument across the EU, but the requirement for the expected profit to be derived f…
Market risk reporting in banking overcoming the limits of IAS/IFRS and Basel regulation
2017
Market risk in banking activity is becoming a more severe issue day by day for several reasons. Analysing it from a regulatory point of view is fundamental for assessing whether or not banks are in the conditions of disclosing a satisfactory degree of information about their market risk exposure. The two regulatory constraints to consider are International Accounting Standards (IAS/IFRS) and the Basel regulation. Both of them seem to put too many constraints on banks. They turn out to be over-over-regulated. Even if regulators put many efforts in trying to provide a useful regulation for banks' risk reporting and capital adequacy, we are still far from a good regulation. The regulatory proc…
Empirical Study on the Relationship between the Cross-Correlation among Stocks and the Stocks' Volatility Clustering
2013
In this paper we discuss univariate and multivariate statistical properties of volatility with the aim of understanding how these two aspects are interrelated. Specifically, we focus on the relationship between the cross-correlation among stock's volatilities and the volatility clustering. Volatility clustering is related to the memory property of the volatility time-series and therefore to its predictability. Our results show that there exists a relationship between the level of predictability of any volatility time-series and the amount of its inter-dependence with other assets. In all considered cases, the more the asset is linked to other assets, the more its volatility keeps memory of …
Calibration of optimal execution of financial transactions in the presence of transient market impact
2012
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution strategy strongly depends on a careful modeling of market impact, i.e. how the price reacts to trades. In this paper we consider a recently introduced market impact model (Bouchaud et al., 2004), which has the property of describing both the volume and the temporal dependence of price change due to trading. We show how this model can be used to describe price impact also in aggregated trade time or in real time. We then solve analytically and calibrate wit…
The adaptive nature of liquidity taking in limit order books
2014
In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling the persistence of the order flow with market efficiency is a subtle issue. A possible solution is provided by asymmetric liquidity, which states that the impact of a buy or sell order is inversely related to the probability of its occurrence. We empirically find that when the order flow predictability increases in one direction, the liquidity in the opposite side decreases, but the probability that a trade moves the price decreases significantly. While the…
Theoretical and Empirical Research regarding the Performance of Financial Investment Companies based on Accounting Information
2016
Esta tesis examina el rendimiento de las empresas de inversión financiera y su condicionamiento al riesgo de los instrumentos financieros. La intención y contribución de esta tesis es ofrecer una visión más amplia y coherente de la evaluación del riesgo. En concreto, exploramos el impacto que tiene el riesgo derivado de los instrumentos financieros sobre las empresas de inversión financiera a través de tres modelos específicos. Abordamos esta investigación mediante un análisis de carácter teórico y empírico. En relación al enfoque teórico, mostramos las cuestiones relativas a los instrumentos financieros en el marco internacional en los últimos 30 años. En particular, los conceptos fundamen…
LEGAL CONSIDERATIONS REGARDING THE INTRODUCTION AND IMPLEMENT OF THE PROPOSED `FINANCIAL TRANSACTION TAX` ON PENSION FUNDS. IMPACT ON TRANSACTION COS…
2012
In economies in which pension obligations are substantial, it is important that there is a high degree of trust in the financial reporting of pensions by employers and by pension plans. The objective of this paper is to assess legal considerations regarding the introduction and implement of financial transaction tax mechanisms in private pension system. In line with this objective, an understanding of causes, implications, solutions for pensions is essential to being able to efficiently and effectively create a secure fiscal environment.