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香港证券及期货事务监察委员（The Securities and Futures Commission，SFC)
香港证券及期货事务监察委员 The Securities and Futures Commission SFC
2017/2/27
The Securities and Futures Commission (SFC) is an independent statutory body set up in 1989 to regulate Hong Kong's securities and futures markets.We derive our investigative, remedial and disciplinar...
Report on the Securities and Futures Commission’s 2015 annual review of the Exchange’s performance in its regulation of listing matters
Report on the Securities and Futures Commission 2005 annual review Exchange’s performance regulation of listing matters
2017/2/24
This report summarises the key findings and recommendations of the Securities and Futures Commission’s (SFC) 2015 annual review regarding the performance of The Stock Exchange of Hong Kong Limited (Ex...
Futures prices as risk-adjusted forecasts of monetary policy
Federal funds futures Monetary policy
2015/7/23
Many researchers have used federal funds futures rates as measures of financial markets’
expectations of future monetary policy. However, to the extent that federal funds futures
reflect...
Is there co-movement between the China and US agricultural futures markets?
spillover effect soybean wheat
2015/6/8
The paper examines the co-movements between the agricultural markets of China and the US. First, the empirical findings indicate that long-term equilibrium exists between the China and US soybean futu...
Report on the Securities and Futures Commission’s 2014 annual review of the Exchange’s performance in its regulation of listing matters
Report on the Securities and Futures Commission 2014 annual review Exchange’s performance regulation of listing matters
2017/2/24
This report summarises the key findings and recommendations of the Securities and Futures Commission’s (SFC) 2014 annual review regarding the performance of The Stock Exchange of Hong Kong Limited (th...
Report on the Securities and Futures Commission’s 2013 annual review of the Exchange’s performance in its regulation of listing matters
Report on the Securities and Futures Commission 2013 annual review Exchange’s performance regulation of listing matters
2017/2/24
This report summarises the key findings and recommendations of the Securities and Futures Commission’s 2013 annual review regarding the performance of The Stock Exchange of Hong Kong Limited (the “Exc...
Report on the Securities and Futures Commission’s 2012 annual review of the Exchange’s performance in its regulation of listing matters
Report on the Securities and Futures Commission 2012 annual review Exchange’s performance regulation of listing matters
2017/2/24
This report summarises the key findings and recommendations of the Securities and Futures Commission’s 2012 annual review regarding the performance of The Stock Exchange of Hong Kong Limited (the “Exc...
Optimal portfolios in commodity futures markets
futures contract commodity markets portfolio optimization stochastic partial differential equations
2012/4/28
We consider portfolio optimization in futures markets. We model the entire futures price curve at once as a solution of a stochastic partial differential equation. The agents objective is to maximize ...
Study on Stock Index Futures’ Mean Reversion Effect and Arbitrage in China Based on High-Frequency Data
CSI 300 Index Future High-Frequency Data Futures-Spot Arbitrage Mean Reversion Effect Mispricing Ratio
2013/2/23
Based on 1 minute high frequency data, this paper constructs no-arbitrage band for CSI300 index futures, and empirically studies the futures-spot arbitrage. Furthermore, the mean reversion and its tim...
Report on the Securities and Futures Commission’s 2011 annual review of the Exchange’s performance in its regulation of listing matters
Report on the Securities and Futures Commission 2011 annual review Exchange’s performance regulation of listing matters
2017/2/24
This report summarises the key findings and recommendations of the Securities and Futures Commission’s 2011 annual review regarding the performance of The Stock Exchange of Hong Kong Limited (the “Exc...
Information Transmission in Informationally Linked Markets: Evidence from US and Chinese Commodity Futures Markets
Commodity futures Informationally linked markets Synchronous and non-synchronous trading Price discovery
2014/1/13
This paper investigates information transmission and price discovery in informationally linked markets within the multivariate generalized autoregressive conditional heteroskedasticity and information...
Uncovering Long Memory in High Frequency UK Futures
Long Memory APARCH High Frequency Futures
2011/3/31
Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper ...
Minimum Capital Requirement Calculations for UK Futures
appropriate minimum capital requirements continuous time Squared and absolute returns
2011/3/31
Key to the imposition of appropriate minimum capital requirements on a daily basis requires accurate volatility estimation. Here, measures are presented based on discrete estimation of aggregated high...
Report on the Securities and Futures Commission’s 2010 annual review of the Exchange’s performance in its regulation of listing matters
Report on the Securities and Futures Commission 2010 annual review Exchange’s performance regulation of listing matters
2017/2/24
This report summarises the key findings and recommendations of the Securities and Futures Commission‟s 2010 annual review regarding the performance of The Stock Exchange of Hong Kong Limited (th...
Characteristics of Real Futures Trading Networks
Complex networks Futures trading networks Scale-free scaling
2010/10/20
Futures trading is the core of futures business, and is considered as a typical complex system. To investigate the complexity of futures trading, we employ the analytical method of complex networks. F...