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Clustering of Trading Activity in the DAX Index Options Market
Koch, Alexander K.; Lazarov, Zdravetz - 2001
, options with strikes ending on 50 are less traded than options with strikes ending on 00. Clustering is higher when options … clustering, grid size, and the options' characteristics. To our knowledge this paper is the first to explore how the grid size of …
Persistent link: https://www.econbiz.de/10010317660
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Clustering of Trading Activity in the DAX Index Options Market
Koch, Alexander K.; Lazarov, Zdravetz - University of Bonn, Germany - 2001
, options with strikes ending on 50 are less traded than options with strikes ending on 00. Clustering is higher when options … clustering, grid size, and the options' characteristics. To our knowledge this paper is the first to explore how the grid size of …
Persistent link: https://www.econbiz.de/10004968422
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The Trade-Off Between Liquidity and Precision of Position in Option Contracts
Koch, Alexander K.; Lazarov, Zdravetz - In: Review of Applied Economics 3 (2007) 1-2
More liquid financial contracts are claimed to draw trading volume from contracts for which they are close substitutes. We provide the first analysis of how trading volume across existing financial contracts is affected by changes in the factors that govern the degree to which they are...
Persistent link: https://www.econbiz.de/10005256590
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Clustering of Trading Activity in the DAX Index Options Market
Koch, Alexander K.; Lazarov, Zdravetz - Department of Economics, Royal Holloway University of London - 2005
substitutes. This paper tests this hypothesis by analyzing clustering of trading activity in DAX index options. Contracts with … the strike price grid and options’ characteristics. Our empirical analysis finds a positive relation between clustering …
Persistent link: https://www.econbiz.de/10005652712
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Clustering of trading activity in the DAX index options market
Koch, Alexander K.; Lazarov, Zdravetz N. - 2001
, options with strikes ending on 50 are less traded than options with strikes ending on 00. Clustering is higher when options … clustering, grid size, and the options' characteristics. To our knowledge this paper is the first to explore how the grid size of …
Persistent link: https://www.econbiz.de/10011539670