Chesney, Marc; Crameri, Remo; Mancini, Loriano (2015). Detecting abnormal trading activities in option markets. Journal of Empirical Finance, 33:263-275.
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
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
| Item Type: | Journal Article, refereed, original work |
|---|---|
| Communities & Collections: | 03 Faculty of Economics > Department of Banking and Finance |
| Dewey Decimal Classification: | 330 Economics |
| Scopus Subject Areas: | Social Sciences & Humanities > Finance
Social Sciences & Humanities > Economics and Econometrics |
| Language: | English |
| Date: | 1 September 2015 |
| Deposited On: | 30 Sep 2015 13:46 |
| Last Modified: | 26 Jan 2022 06:41 |
| Publisher: | Elsevier |
| ISSN: | 0927-5398 |
| Additional Information: | Workingpaper-Version dieser Publikation: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1522157 & https://www.zora.uzh.ch/49677/ |
| OA Status: | Closed |
| Free access at: | Related URL. An embargo period may apply. |
| Publisher DOI: | https://doi.org/10.1016/j.jempfin.2015.03.008 |
| Related URLs: | https://www.zora.uzh.ch/113009/ http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1522157 (Library Catalogue) https://www.zora.uzh.ch/49677/ |
| Other Identification Number: | merlin-id:11905 |
Chesney, Marc