Essays On Market Microstructure And Options
Download Essays On Market Microstructure And Options full books in PDF, epub, and Kindle. Read online free Essays On Market Microstructure And Options ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Essays in Market Microstructure
Author | : |
Publisher | : |
Total Pages | : 196 |
Release | : 2009 |
Genre | : |
ISBN | : |
The first essay investigates whether there is an informational linkage between option trading activities and underlying stock depths. I find that option trading activities and underlying stock depths are informative for predicting each other, indicating that a linkage does exist. I further find that underlying stock depths beyond best prices contain more information than same-side depths at best prices for predicting future option trading activities, which is corroborated by my additional finding that institutional investors are more likely to place underlying stock limit orders less aggressively than individual investors. My findings indicate that standing underlying stock limit orders play an important role in price discovery between options and underlying stock markets. The second essay empirically examines whether specialists face adverse selection and evaluates the performance of the six measures of adverse selection or trade informativeness. I find that specialists face adverse selection. I find that the Glosten-Harris (1988) measure is the most reliable, that the Huang-Stoll (1997) measure is the least reliable, and that the ranking among the George-Kaul-Nimalendran (1991), Lin-Sanger-Booth (1995), PIN (1996), and Hasbrouck (1991b) measures is ambiguous.
Essays On The Pricing And Market Microstructure Of Foreign-Currency Options: to 25; Pages:26 to 50; Pages:51 to 75; Pages:76 to 100; Pages:101 to 125; Pages:126 to 130
Author | : Arthur Anthony Ferri |
Publisher | : |
Total Pages | : 130 |
Release | : 2000 |
Genre | : |
ISBN | : 9780599507012 |
Three Essays on the Microstructure of Financial Options Markets
Author | : Angelo Aspris |
Publisher | : |
Total Pages | : 444 |
Release | : 2008 |
Genre | : Derivative securities |
ISBN | : |
Essays on Stock Options
Author | : Iskra Kalodera |
Publisher | : Tectum - Der Wissenschaftsverlag |
Total Pages | : 116 |
Release | : 2011-07 |
Genre | : |
ISBN | : 9783828889026 |
This book focuses exclusively on stock options, analyzing their pricing, liquidity, and information transmission empirically. With the help of discrete choice modeling and regression analysis, it offers new insights into the behavior of stock option liquidity as well as the influence of overall market liquidity on option prices. Many observed phenomena find explanation through the market microstructure. The book also provides the most comprehensive analysis of equity options for the German market so far and serves as a guide to up-to-date empirical topics for both researchers and practitioners.
Essays in Market Microstructure
Author | : George Glenn Baigent |
Publisher | : |
Total Pages | : 162 |
Release | : 1997 |
Genre | : Stock exchanges |
ISBN | : |
Essays on the microstructure of the German market for stock options
Author | : Benny Jern |
Publisher | : |
Total Pages | : 119 |
Release | : 1999 |
Genre | : Microstructure |
ISBN | : 9789515556066 |