The Determinants Of The Time To Efficiency In Options Markets
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Author | : Laurent Deville |
Publisher | : |
Total Pages | : 35 |
Release | : 2005 |
Genre | : |
ISBN | : |
This paper examines the determinants of the time it takes for an index options market to be brought back to efficiency after put-call parity deviations, using intraday transactions data from the French CAC 40 index options over the August 2000 - July 2001 period. We address this issue through survival analysis which allows us to characterize how differences in market conditions influence the expected time before the market reaches the no-arbitrage relationship. We find that moneyness, maturity, trading volume as well as trade imbalances in call and put options, and volatility are important in understanding why some arbitrage opportunities disappear faster than others. After controlling for differences in the trading environnement, we find evidence of a negative relationship between the existence of ETFs on the index and the time to efficiency.
Author | : Wing-Keung Wong |
Publisher | : Mdpi AG |
Total Pages | : 232 |
Release | : 2022-02-17 |
Genre | : Business & Economics |
ISBN | : 9783036530802 |
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Author | : John C. Cox |
Publisher | : Prentice Hall |
Total Pages | : 518 |
Release | : 1985 |
Genre | : Business & Economics |
ISBN | : |
Includes the first published detailed description of option exchange operations, the first published treatment using only elementary mathematics and the first step-by-step procedure for implementing the Black-Scholes formula in actual trading.
Author | : J. J. Kinahan |
Publisher | : John Wiley & Sons |
Total Pages | : 335 |
Release | : 2016-09-08 |
Genre | : Business & Economics |
ISBN | : 1119291542 |
Learn the ins-and-outs of options trading with clear, practical guidance Essential Option Strategies is an introductory guide to options trading, designed to help new options traders better understand the market and the potential opportunities that exist. This book is designed to bring you up to speed with current practices and help you implement your own option trading strategies. You'll create a plan, track indicators, and understand underlying instruments, then apply that central investing knowledge directly to the options market. The discussion on pricing determinants and probabilities uses an intuitive approach to complex calculations, providing clear examples with no advanced math required, and extensive explanation of spreads, butterflies, and condors brings advanced strategies down to earth. Easy-reference appendices clarify the Greek terms and technical analysis charts, while focused discussion and expert insight throughout provide a highly informative crash course on options trading. Options trading has undergone a rapid evolution beyond stocks and commodities into asset classes including fixed-income, precious metals, energy, and more. This book helps you build a solid foundation in the fundamentals, giving you a knowledge base that applies no matter how the instruments change. This book is designed to help you: Understand the options market inside and out Avoid common mistakes Learn some basic positions, and trades Read charts and interpret probabilities Once the domain of the elites, the options market has been thrown wide open thanks to real-time price quotes, through brokerages, and the free flow of information online. The process of buying and selling options contracts is faster and more efficient than ever, and Wall Street is facing stiff competition from independent analysts and financial websites. As much as the market has changed, the fundamentals are the same—and Essential Option Strategies aims to provide expert guidance throughout the learning process.
Author | : Leonard Yates |
Publisher | : John Wiley & Sons |
Total Pages | : 238 |
Release | : 2004-04-16 |
Genre | : Business & Economics |
ISBN | : 0471464902 |
The essential resource for the successful option trader High Performance Options Trading offers a fresh perspective on trading options from a seasoned options trader programmer/engineer, Leonard Yates. Drawing on twenty-five years of experience as an options trader and software programmer, Yates has written this straightforward guide. First he provides readers with a solid foundation to trading options, including an introduction to basic options terminology, a thorough explanation on how options are traded, and specific trading strategies. Accompanied by the OptionVue Educational website, this hands-on guide to the options market is a thorough and essential resource for any trader looking to increase his or her practical knowledge of options.
Author | : Dan Passarelli |
Publisher | : John Wiley & Sons |
Total Pages | : 375 |
Release | : 2012-10-02 |
Genre | : Business & Economics |
ISBN | : 1118133161 |
A top options trader details a practical approach for pricing and trading options in any market condition The options market is always changing, and in order to keep up with it you need the greeks—delta, gamma, theta, vega, and rho—which are the best techniques for valuing options and executing trades regardless of market conditions. In the Second Edition of Trading Options Greeks, veteran options trader Dan Pasarelli puts these tools in perspective by offering fresh insights on option trading and valuation. An essential guide for both professional and aspiring traders, this book explains the greeks in a straightforward and accessible style. It skillfully shows how they can be used to facilitate trading strategies that seek to profit from volatility, time decay, or changes in interest rates. Along the way, it makes use of new charts and examples, and discusses how the proper application of the greeks can lead to more accurate pricing and trading as well as alert you to a range of other opportunities. Completely updated with new material Information on spreads, put-call parity and synthetic options, trading volatility, and advanced option trading is also included Explores how to exploit the dynamics of option pricing to improve your trading Having a comprehensive understanding of the greeks is essential to long-term options trading success. Trading Options Greeks, Second Edition shows you how to use the greeks to find better trades, effectively manage them, and ultimately, become more profitable.
Author | : Joel Kaplan |
Publisher | : |
Total Pages | : 60 |
Release | : 1976 |
Genre | : |
ISBN | : |
Author | : Edith Tilton Penrose |
Publisher | : |
Total Pages | : 284 |
Release | : 2013-12 |
Genre | : Business & Economics |
ISBN | : 9781614275367 |
2013 Reprint of 1959 American Edition. Full facsimile of the original edition, not reproduced with Optical Recognition Software. This edition reprints the text from the 1959 First Edition originally published by Wiley. Why do some firms perform better than others? What enables a firm to grow and take advantage of its opportunities? Currently much discussion of these questions pivots around the ideas of competencies and capabilities, and the concept of the learning organization or knowledge-creating company. "The Theory of the Growth of the Firm" is a rich and pioneering work that addresses these questions and laid the foundation for this approach often referred to as the "resource based view of the firm." Edith Penrose analyzes managerial activities and decisions, organizational routines, and knowledge creation within the company and argues that they are critical to the ability of a firm to grow. This work has become a classic business book and remains relevant to this day.
Author | : John J. Murphy |
Publisher | : Penguin |
Total Pages | : 579 |
Release | : 1999-01-01 |
Genre | : Business & Economics |
ISBN | : 0735200661 |
John J. Murphy has updated his landmark bestseller Technical Analysis of the Futures Markets, to include all of the financial markets. This outstanding reference has already taught thousands of traders the concepts of technical analysis and their application in the futures and stock markets. Covering the latest developments in computer technology, technical tools, and indicators, the second edition features new material on candlestick charting, intermarket relationships, stocks and stock rotation, plus state-of-the-art examples and figures. From how to read charts to understanding indicators and the crucial role technical analysis plays in investing, readers gain a thorough and accessible overview of the field of technical analysis, with a special emphasis on futures markets. Revised and expanded for the demands of today's financial world, this book is essential reading for anyone interested in tracking and analyzing market behavior.
Author | : Constantin Zopounidis |
Publisher | : Springer Science & Business Media |
Total Pages | : 494 |
Release | : 2010-07-25 |
Genre | : Business & Economics |
ISBN | : 0387766820 |
This comprehensive handbook discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems. The book is intended for financial engineers, researchers, applied mathematicians, and graduate students interested in real-world applications to financial engineering.