We set the context for capital approximation within the framework of the Basel II/III regulatory capital accords. This is particularly topical as the Basel III accord is shortly due to take effect. In this regard, we provide a summary of the role of capital adequacy in the new accord,...

Financial exchanges provide incentives for limit order book (LOB) liquidity provision to certain market participants, termed designated market makers or designated sponsors. While quoting requirements typically enforce the activity of these participants for a certain portion of the day, we argue...

The internet era has generated a requirement for low cost, anonymous and rapidly verifiable transactions to be used for online barter, and fast settling money have emerged as a consequence. For the most part, e-money has fulfilled this role, but the last few years have seen two new types of...

We propose a novel approach for the construction of quantile processes governing the stochastic dynamics of quantiles in continuous time. Two classes of quantile diffusions are identified: The first, which we largely focus on, features a random quantile level and allows for direct interpretation...

We investigate the joint distribution and the multivariate survival functions for the maxima of an Ornstein-Uhlenbeck (OU) process in consecutive time-intervals. A PDE method, alongside an eigenfunction expansion, is adopted with which we first calculate the distribution and the survival...

A novel class of dimension reduction methods is combined with a stochastic multi-factor panel regression-based state-space model in order to model the dynamic of yield curves whilst incorporating regression factors. This is achieved via Probabilistic Principal Component Analysis (PPCA) in which...

The ability to test for statistical causality in linear and non-linear contexts, in stationary or non-stationary settings and to identify whether statistical causality influences trend of volatility forms a piratically important class of problems to explore in multi-modal and multivariate...

Recent empirical studies in Equity markets show evidence that, while asset log-returns are largely uncorrelated, it is possible to predict with some accuracy their future sign. Such prediction is made over a given forecast horizon based solely on the observed sign of the cumulative log-return...

The statistical quantification of temperature processes for the analysis of urban heat island (UHI) effects and local heat-waves is an increasingly important application domain in smart city dynamic modelling. This leads to the increased importance of real-time heatwave risk management on a...

This paper has two objectives, the first is to present a detailed overview in the form of a tutorial for the developments of several key quantile time series modelling approaches. The second objective is to develop a general framework to represent such quantile models in a unifying manner in...