Essays on the Microstructure of Options Markets PDF Download
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Author: Subrahmanya Pulle Srinivas
Publisher:
ISBN:
Category :
Languages : en
Pages : 336
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Book Description
Author: Subrahmanya Pulle Srinivas
Publisher:
ISBN:
Category :
Languages : en
Pages : 336
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Book Description
Author: Angelo Aspris
Publisher:
ISBN:
Category : Derivative securities
Languages : en
Pages : 444
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Book Description
Author: Stkewart James Mayhew
Publisher:
ISBN:
Category :
Languages : en
Pages : 180
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Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 130
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Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 196
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Book Description
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.
Author: Benny Jern
Publisher:
ISBN: 9789515556066
Category : Microstructure
Languages : en
Pages : 119
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Book Description
Author: Larry Harris
Publisher: OUP USA
ISBN: 9780195144703
Category : Business & Economics
Languages : en
Pages : 664
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Book Description
Focusing on market microstructure, Harris (chief economist, U.S. Securities and Exchange Commission) introduces the practices and regulations governing stock trading markets. Writing to be understandable to the lay reader, he examines the structure of trading, puts forward an economic theory of trading, discusses speculative trading strategies, explores liquidity and volatility, and considers the evaluation of trader performance. Annotation (c)2003 Book News, Inc., Portland, OR (booknews.com).
Author: Arthur Anthony Ferri
Publisher:
ISBN: 9780599507012
Category :
Languages : en
Pages : 130
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Book Description
Author: Iskra Kalodera
Publisher: Tectum - Der Wissenschaftsverlag
ISBN: 9783828889026
Category :
Languages : en
Pages : 116
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Book Description
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.
Author: Maureen O'Hara
Publisher: John Wiley & Sons
ISBN: 0631207619
Category : Business & Economics
Languages : en
Pages : 310
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Book Description
Written by one of the leading authorities in market microstructure research, this book provides a comprehensive guide to the theoretical work in this important area of finance.
