𝔖 Bobbio Scriptorium
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Information Aggregation in Dynamic Markets With Strategic Traders

Book ID
119937528
Publisher
John Wiley and Sons
Year
2012
Tongue
English
Weight
477 KB
Volume
80
Category
Article
ISSN
0012-9682

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πŸ“œ SIMILAR VOLUMES

Traders' strategic behavior in an index
Traders' strategic behavior in an index options market
✍ Kyong Shik Eom; Sang Buhm Hahn πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 288 KB

## Abstract We analyze traders' strategic behavior in an index options market, examining the relationships among expected duration, frequency of trades, trade size, and time to maturity using a modified ACD model. Using intraday data at‐the‐money put and call options, we obtain the following result