A descriptive study of high-frequency trade and quote option data
T Andersen, I Archakov, L Grund… - Journal of Financial …, 2021 - academic.oup.com
This paper provides a guide to high-frequency option trade and quote data disseminated by
the Options Price Reporting Authority (OPRA). We present a comprehensive overview of the …
the Options Price Reporting Authority (OPRA). We present a comprehensive overview of the …
Price discovery in the S&P 500 index derivatives markets
WP Chen, H Chung, D Lien - International Review of Economics & Finance, 2016 - Elsevier
This study sets out to examine the dynamics of price discovery between the S&P 500 index
and its derivative products: the index futures, the index options, the S&P 500 exchange …
and its derivative products: the index futures, the index options, the S&P 500 exchange …
Aggregating information in option transactions
The listed options market in the United States trades hundreds of option contracts across
different strikes and expirations for each underlying stock. The order flow from these option …
different strikes and expirations for each underlying stock. The order flow from these option …
Dispersion trading: Empirical evidence from US options markets
CM Marshall - Global Finance Journal, 2009 - Elsevier
This paper develops empirical evidence on the viability of a form of volatility trading known
as “dispersion trading.” The results shed light on the efficiency with which US options …
as “dispersion trading.” The results shed light on the efficiency with which US options …
Learning agents in Black–Scholes financial markets
Black–Scholes (BS) is a remarkable quotation model for European option pricing in financial
markets. Option prices are calculated using an analytical formula whose main inputs are …
markets. Option prices are calculated using an analytical formula whose main inputs are …
[PDF][PDF] Where do informed traders trade: Trading around news on Dow 30 options
W Dong, N Sinha - … working paper, University of Illinois, Chicago …, 2011 - scholar.archive.org
Using intraday data on stocks and options and a dataset of firm-specific news events for
Dow30 stocks, we find the volume of trading in the options increases almost seven times an …
Dow30 stocks, we find the volume of trading in the options increases almost seven times an …
Where Do Informed Traders Trade? Trading Around News on Dow 30 Options
NR Sinha, W Dong - Trading around news on Dow, 2011 - papers.ssrn.com
What is the role played by the option market in price discovery? We answer this question by
examining the effect of news events on trading patterns and price discovery in the options …
examining the effect of news events on trading patterns and price discovery in the options …
A revisit of price discovery dynamics across Australia and New Zealand
W Dassanayake, XM Li, K Buhr - 2015 - mro-ns.massey.ac.nz
This study re-investigates the price discovery dynamics of selected stocks cross-listed on the
Australian Stock Exchange (ASX) and the New Zealand Stock Exchange (NZX) during a …
Australian Stock Exchange (ASX) and the New Zealand Stock Exchange (NZX) during a …
Learning agents in black-scholes financial markets: consensus dynamics and volatility smiles
Black-Scholes (BS) is the standard mathematical model for option pricing in financial
markets. Option prices are calculated using an analytical formula whose main inputs are …
markets. Option prices are calculated using an analytical formula whose main inputs are …
[PDF][PDF] report series
W Dassanayake, X Li, K Buhr - pdfs.semanticscholar.org
This study re-investigates the price discovery dynamics of selected stocks cross-listed on the
Australian Stock Exchange (ASX) and the New Zealand Stock Exchange (NZX) during a …
Australian Stock Exchange (ASX) and the New Zealand Stock Exchange (NZX) during a …