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Detecting abnormal trading activities in option markets


Chesney, Marc; Crameri, Remo; Mancini, Loriano (2015). Detecting abnormal trading activities in option markets. Journal of Empirical Finance, 33:263-275.

Abstract

We develop an econometric method to detect "abnormal trades" in option markets, i.e., trades which are not driven by liquidity motives. Abnormal trades are characterized by unusually large increments in open interest, trading volume, and option returns, and are not used for option hedging purposes. We use a multiple hypothesis testing technique to control for false discoveries in abnormal trades. We apply the method to 9.6 million of daily option prices

Abstract

We develop an econometric method to detect "abnormal trades" in option markets, i.e., trades which are not driven by liquidity motives. Abnormal trades are characterized by unusually large increments in open interest, trading volume, and option returns, and are not used for option hedging purposes. We use a multiple hypothesis testing technique to control for false discoveries in abnormal trades. We apply the method to 9.6 million of daily option prices

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:1 September 2015
Deposited On:30 Sep 2015 13:46
Last Modified:27 Oct 2016 03:07
Publisher:Elsevier
ISSN:0927-5398
Additional Information:Workingpaper-Version dieser Publikation: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1522157 & http://www.zora.uzh.ch/49677/
Free access at:Related URL. An embargo period may apply.
Publisher DOI:https://doi.org/10.1016/j.jempfin.2015.03.008
Related URLs:http://www.zora.uzh.ch/113009/
Other Identification Number:merlin-id:11905

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