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Author :
Publisher :
ISBN 13 :
Total Pages : 130 pages
Book Rating : 4.:/5 (931 download)
Download or read book Two Essays on Option Market Microstructure written by and published by . This book was released on 2009 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stkewart James Mayhew
Publisher :
ISBN 13 :
Total Pages : 180 pages
Book Rating : 4.:/5 (34 download)
Download or read book Essays on Market Microstructure and Options written by Stkewart James Mayhew and published by . This book was released on 1996 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
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ISBN 13 :
Total Pages : 196 pages
Book Rating : 4.:/5 (659 download)
Download or read book Essays in Market Microstructure written by and published by . This book was released on 2009 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Subrahmanya Pulle Srinivas
Publisher :
ISBN 13 :
Total Pages : 336 pages
Book Rating : 4.:/5 (635 download)
Download or read book Essays on the Microstructure of Options Markets written by Subrahmanya Pulle Srinivas and published by . This book was released on 1993 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Arthur Anthony Ferri
Publisher :
ISBN 13 : 9780599507012
Total Pages : 130 pages
Book Rating : 4.5/5 (7 download)
Download or read book 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 written by Arthur Anthony Ferri and published by . This book was released on 2000 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Arthur A. Ferri
Publisher :
ISBN 13 :
Total Pages : 244 pages
Book Rating : 4.:/5 (552 download)
Download or read book Essays on the Pricing and Market Microstructure of Foreign-currency Options written by Arthur A. Ferri and published by . This book was released on 1999 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Angelo Aspris
Publisher :
ISBN 13 :
Total Pages : 444 pages
Book Rating : 4.:/5 (436 download)
Download or read book Three Essays on the Microstructure of Financial Options Markets written by Angelo Aspris and published by . This book was released on 2008 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : George Glenn Baigent
Publisher :
ISBN 13 :
Total Pages : 162 pages
Book Rating : 4.:/5 (391 download)
Download or read book Essays in Market Microstructure written by George Glenn Baigent and published by . This book was released on 1997 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shmuel Baruch
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.:/5 (247 download)
Download or read book Essays in Market Microstructure written by Shmuel Baruch and published by . This book was released on 1998 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Iskra Kalodera
Publisher : Tectum - Der Wissenschaftsverlag
ISBN 13 : 9783828889026
Total Pages : 116 pages
Book Rating : 4.8/5 (89 download)
Download or read book Essays on Stock Options written by Iskra Kalodera and published by Tectum - Der Wissenschaftsverlag. This book was released on 2011-07 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Masahiro Yamada
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (835 download)
Download or read book Essays on Market Microstructure written by Masahiro Yamada and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter Joakim Westerholm
Publisher : World Scientific
ISBN 13 : 9813234113
Total Pages : 267 pages
Book Rating : 4.8/5 (132 download)
Download or read book Lecture Notes In Market Microstructure And Trading written by Peter Joakim Westerholm and published by World Scientific. This book was released on 2018-11-29 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, written by Joakim Westerholm, Professor of Finance and former trading professional, is intended to be used as basis for developing courses in Securities markets, Trading, and Market microstructure and connects theoretic rigor with practical real world applications.Market technology evolves, the roles of market participants change, and whole market segments disappear to be replaced by new ways to exchange securities. Yet, the same underlying economic principles continue to drive trading in securities markets. Thus, the scope of the book is global, providing a framework that is relevant both for current market designs and for future markets we will see develop. It is designed to stay relevant in a rapidly evolving field.The book contains a selection of lecture notes through which students will gain an in-depth understanding of the mechanism that drives trading in securities markets. The book also contains another set of lecture notes with more advanced, research-based material, suitable for Honours or Master level research students, or for PhD candidates. The material is self-explanatory and can also be used for self-study, preferably in conjunction with assigned readings.
Author : Benny Jern
Publisher :
ISBN 13 : 9789515556066
Total Pages : 119 pages
Book Rating : 4.5/5 (56 download)
Download or read book Essays on the microstructure of the German market for stock options written by Benny Jern and published by . This book was released on 1999 with total page 119 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Victoria Saporta
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (595 download)
Download or read book Essays on Market Microstructure written by Victoria Saporta and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Neela Mohan N. Gollapudi
Publisher :
ISBN 13 :
Total Pages : 408 pages
Book Rating : 4.:/5 (477 download)
Download or read book Two Essays on Market Microstructure written by Neela Mohan N. Gollapudi and published by . This book was released on 1999 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bidisha Chakrabarty
Publisher :
ISBN 13 :
Total Pages : 226 pages
Book Rating : 4.:/5 (574 download)
Download or read book Two Essays on Market Microstructure written by Bidisha Chakrabarty and published by . This book was released on 2004 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Patrick Schaffner
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (138 download)
Download or read book Essays in Market Microstructure written by Patrick Schaffner and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
