Detecting Intra-Day Jumps in Stock Prices with High-Frequency Option Data
Year of publication: |
[2021]
|
---|---|
Authors: | Kanniainen, Juho ; Magris, Martin |
Publisher: |
[S.l.] : SSRN |
Subject: | Börsenkurs | Share price | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
Extent: | 1 Online-Ressource (36 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 28, 2021 erstellt |
Other identifiers: | 10.2139/ssrn.3727234 [DOI] |
Classification: | G10 - General Financial Markets. General ; G12 - Asset Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Volatility, valuation ratios, and bubbles : an empirical measure of market sentiment
Gao, Can, (2021)
-
The price of the smile and variance risk premia
Gruber, Peter H., (2015)
-
Information Arrival as Price Jumps
Polimenis, Vassilis, (2011)
- More ...
-
Benchmark dataset for mid-price forecasting of limit order book data with machine learning methods
Ntakaris, Adamantios, (2018)
-
Option Market (In)efficiency and Implied Volatility Dynamics After Return Jumps
Kanniainen, Juho, (2019)
-
Predicting the State of Synchronization of Financial Time Series Using Cross Recurrence Plots
Shabani, Mostafa, (2022)
- More ...