Fahlenbrach, Rüdiger (contributor); … - 2005
frequency of inconsistent
co-movements. Second, we examine the quote co-movements in event-time around trades and show
that they …; G14; C33
1 Introduction
Recent studies document discrepancies between theoretical and actual co-movements of index op …, a flnding that the authors attribute to frequent anomalous co-movements of the index
options and futures. Both studies …