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research article
Detecting abnormal trading activities in option markets
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. (C) 2015 Elsevier B.V. All rights reserved.
Type
research article
Web of Science ID
WOS:000360873500016
Authors
Publication date
2015
Publisher
Published in
Volume
33
Start page
263
End page
275
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
December 2, 2015
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