Header

UZH-Logo

Maintenance Infos

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

Statistics

Citations

Dimensions.ai Metrics
1 citation in Web of Science®
1 citation in Scopus®
4 citations in Microsoft Academic
Google Scholar™

Altmetrics

Downloads

18 downloads since deposited on 30 Sep 2015
2 downloads since 12 months
Detailed statistics

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:14 Feb 2018 09:28
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/
Other Identification Number:merlin-id:11905

Download