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Price discovery in the US stock and stock options markets : a portfolio approach

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Persistent link: https://www.econbiz.de/10003441188

Dampened power law : reconciling the tail behavior of financial security returns

Wu, Liuren - In: The journal of business : B 79 (2006) 3, pp. 1445-1475

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Modeling financial security returns using Lévy processes

Wu, Liuren - In: Financial engineering, (pp. 117-162). 2008

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Variance dynamics : joint evidence from options and high-frequency returns

Wu, Liuren - In: Journal of econometrics 160 (2011) 1, pp. 280-287

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Estimating risk-return relations with analysts price targets

Wu, Liuren - In: Journal of banking & finance 93 (2018), pp. 183-197

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Consolidating Information in Option Transactions

Holowczak, Richard - 2013

Underlying each stock trades hundreds of options at different strike prices and maturities. The order flow from these option transactions reveals important information about the underlying stock price movement and its volatility variation. How to aggregate the trade information of different...

Persistent link: https://www.econbiz.de/10013093687

Consolidating Information in Option Transactions

Hu, Jianfeng - 2013

Underlying each stock trades hundreds of options at different strike prices and maturities. The order flows from these option transactions reveal important information about the underlying stock price. How to aggregate the trade information of different option contracts underlying the same stock...

Persistent link: https://www.econbiz.de/10013093973

Design and estimation of multi-currency quadratic models

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Price discovery in the US stock options market

Simaan, Yusif E.; Wu, Liuren - In: The journal of trading 3 (2008) 1, pp. 68-86

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A tale of two indices

Carr, Peter; Wu, Liuren - In: The journal of derivatives : the official publication … 13 (2006) 3, pp. 13-29

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