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Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2017 - This Version: September 15, 2017

others, suggesting that there is no speed advantage. HFTs lead price discovery, and neither harm nor improve liquidity. They …

Persistent link: https://www.econbiz.de/10011723400

Coming early to the party

Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2020

Persistent link: https://www.econbiz.de/10012244860

Arbitrage opportunities in the Japanese stock and futures markets

Brenner, Menachem - In: Financial analysts' journal : FAJ 46 (1990) 2, pp. 14-24

Persistent link: https://www.econbiz.de/10001088703

The behavior of prices in the Nikkei spot and futures market

Brenner, Menachem - In: Journal of financial economics 23 (1989) 2, pp. 363-383

Persistent link: https://www.econbiz.de/10001076046

Informed options trading prior to takeover announcements : insider trading?

Augustin, Patrick; Brenner, Menachem; Subrahmanyam, Marti G. - In: Management science : journal of the Institute for … 65 (2019) 12, pp. 5697-5720

Persistent link: https://www.econbiz.de/10012146894

Informed options strategies before corporate events

Augustin, Patrick; Brenner, Menachem; Grass, Gunnar; … - In: Journal of financial markets 63 (2023), pp. 1-34

Persistent link: https://www.econbiz.de/10014278622

Informed options strategies before corporate events

Augustin, Patrick; Brenner, Menachem; Grass, Gunnar; … - 2022

We analyze how informed investors trade in the options market ahead of corporate news when they receive private, but noisy, information about the timing and impact of these announcements on stock prices. We propose a framework that ranks options trading strategies (option type, maturity, and...

Persistent link: https://www.econbiz.de/10013332282