Mathematical finance
Application of mathematical and statistical methods in finance
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We include updates on Kelly criterion, Compound interest, VIX, Interest rate, Modern portfolio theory, Net present value, Rule of 72, High-frequency trading, Compound annual growth rate, Sharpe ratio, Fokker–Planck equation, Black–Scholes equation, Annual percentage rate, Itô calculus, Stochastic differential equation, Value at risk ... and more.
| January 2023 |
High-frequency trading
Citadel Securities was fined ₩11.88 billion ($9.66 million) by South Korea's financial regulator for distorting stock prices using immediate-or-cancel orders and manipulating bid price gaps.
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| 2022 |
Interest rate
Conclusion of the second zero interest-rate policy period in the United States, marking the end of the monetary response to the COVID-19 pandemic.
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| 2021 |
Over-the-counter
The pink sheets market came under increased regulatory scrutiny.
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| 2021 |
VIX
U.S. Securities and Exchange Commission fined S&P Dow Jones Indices for halting data on February 5, 2018.
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| 2020 |
Financial modeling
ModelOff Financial Modeling World Championships concluded, marking the end of its annual competition series.
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| 2020 |
High-frequency trading
A hedge fund partner speaks to Bloomberg News about the limitations of shortwave radio bandwidth for transmitting full order book feeds in low-latency trading strategies.
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| 2020 |
Interest rate
United States reintroduces zero interest-rate policy (ZIRP) in response to the economic challenges caused by the COVID-19 pandemic.
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| July 2020 |
High-frequency trading
Citadel Securities was fined $700,000 by FINRA for frontrunning by trading ahead of customer orders.
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| March 16 2020 |
VIX
VIX closed at 82.69, the highest level since its inception in 1990.
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| March 12 2020 |
VIX
VIX hit and closed at 75.47, exceeding the previous Black Monday value, following President Trump's travel ban to the US from Europe.
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| March 9 2020 |
VIX
VIX hit 62.12, the highest level since the 2008 financial crisis, due to the Russia-Saudi Arabia oil price war and COVID-19 pandemic.
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| 2019 |
Financial modeling
Final year of the ModelOff Financial Modeling World Championships, which had been running annually since 2012.
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| 2019 |
Low-volatility anomaly
Blitz, Van Vliet, and Baltussen published a further survey exploring explanations for the low-volatility anomaly.
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| November 7 2019 |
High-frequency trading
Tower Research was ordered to pay $67.4 million in fines to the COMMODITY FUTURES TRADING COMMISSION (CFTC) to settle allegations of spoofing by three former traders from at least March 2012 through December 2013, and entered into a deferred prosecution agreement with the Justice Department.
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| September 2019 |
Volatility
JPMorgan Chase introduced the 'Volfefe index', analyzing the volatility impact of US President Donald Trump's tweets by combining the terms 'volatility' and 'covfefe'.
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| September 9 2019 |
Volfefe index
JPMorgan Chase launched the Volfefe index, a financial index designed to track the market volatility potentially caused by President Trump's tweets.
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| 2018 |
High-frequency trading
The European Union introduced the MiFID II/MiFIR regulation in response to high-frequency trading practices.
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| 2018 |
Interest rate
By this year, only a few corporate bonds had traded at negative nominal interest rates, highlighting the exceptional nature of this financial phenomenon.
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| 2018 | Forbes estimated his net worth at $6.2 billion. |
| February 12 2018 |
VIX
A law firm sent a letter to the Commodity Futures Trading Commission and Securities and Exchange Commission representing an anonymous whistleblower alleging manipulation of the VIX.
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| February 5 2018 |
VIX
VIX closed at 37.32, up 103.99% from the previous close.
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| 2015 |
Interest rate
Nestle became a notable example of a corporation with AAA-rated bonds trading at negative nominal interest rates, a rare occurrence in corporate bond markets.
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| 2015 |
Interest rate
Conclusion of the first zero interest-rate policy period in the United States, ending the monetary response to the 2008 financial crisis.
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| 2014 |
Low-volatility anomaly
Blitz, Falkenstein, and Van Vliet published a survey article providing an overview of explanations for the low-volatility anomaly in academic literature.
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| 2014 |
Low-volatility anomaly
Frazzini and Pedersen tested the explanation of leverage and shorting constraints in the low-volatility anomaly.
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| 2014 | Elected to the National Academy of Sciences and earned $530 million, ranking among the top 25 earners in the hedge fund industry. |
| October 2014 |
High-frequency trading
Athena Capital Research LLC was fined $1 million by U.S. regulators for price manipulation, using $40 million to rig prices of thousands of stocks including eBay through high-speed trading techniques involving complex algorithms and rapid-fire trades.
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| October 2014 |
High-frequency trading
Michael Coscia, sole owner of Panther Energy Trading LLC, was charged with six counts of commodities fraud and six counts of 'spoofing' for creating a false impression of market liquidity through high-frequency trading strategies.
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| September 2014 |
High-frequency trading
HFT firm Latour Trading LLC agreed to pay a $16 million SEC penalty for underestimating its trading risk and using faulty capital calculations.
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| October 2013 |
High-frequency trading
Regulators fined Knight Capital $12 million for a trading malfunction that led to its collapse, citing violations of the SEC's market access rule.
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| July 2013 |
High-frequency trading
Panther Energy Trading LLC was ordered to pay $4.5 million to U.S. and U.K. regulators for manipulating commodity markets through high-frequency trading, using computer algorithms that placed and quickly canceled bids and offers in futures contracts.
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| 2012 |
Financial modeling
First Microsoft-sponsored ModelOff Financial Modeling World Championships initiated, creating an annual competitive event for financial modeling professionals.
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| 2012 | Elected to the National Academy of Engineering. |
| August 2012 |
High-frequency trading
Knight Capital experienced a significant trading error that caused disturbances in the U.S. stock market, resulting in over $460 million in losses.
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| March 2012 |
High-frequency trading
Regulators fined Octeg LLC (Getco's equities market-making unit) $450,000 for violating Nasdaq rules and failing to maintain proper supervision of stock trading activities.
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| 2011 |
High-frequency trading
HFT companies begin massive investments in microwave infrastructure for data transmission, focusing on key connections like New York City to Chicago and London to Frankfurt, utilizing a network of former US army antennas.
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| 2011 |
Low-volatility anomaly
Bali, Cakici and Whitelaw tested the 'stocks as lotteries' hypothesis proposed by Barberis and Huang.
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| 2011 |
Low-volatility anomaly
Baker, Bradley, and Wurgler examined the low-volatility anomaly in relation to market benchmarking.
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| May 6 2010 |
High-frequency trading
The Flash Crash occurred, prompting Nasdaq OMX to request an investigation into Octeg LLC's trading activities.
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This contents of the box above is based on material from the Wikipedia articles David E. Shaw, Financial modeling, Interest rate, Over-the-counter (finance), Statistical finance, High-frequency trading, VIX, Low-volatility anomaly, Volfefe index, Affine term structure model, Behavioral portfolio theory, Net present value & Volatility (finance), which are released under the Creative Commons Attribution-ShareAlike 4.0 International License.