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Strategic behavior in power markets under uncertainty

✍ Scribed by Aswin Kannan; Uday V. Shanbhag; Harrison M. Kim

Book ID
107683103
Publisher
Springer-Verlag
Year
2011
Tongue
English
Weight
831 KB
Volume
2
Category
Article
ISSN
1868-3967

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## 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