Narrow search
Showing 1 - 10 of 15
Cover Image
Decomposing the Options Order Imbalance : Arbitrage and Informed Trades
Lee, Jaeram; Ryu, Doojin; Yang, Heejin; Yu, Jinyoung - 2023
This study suggests a novel approach for decomposing an options order imbalance based on trading motives using put-call parity. The options order imbalance is separated into two components: one that contains arbitrage trading and one that does not. Intuitively, the proportion of the former...
Persistent link: https://www.econbiz.de/10014257671
Cover Image
The price impact of futures trades and their intraday seasonality
Webb, Robert I.; Ryu, Doojin; Ryu, Doowon; Han, Joongho - In: Emerging markets review 26 (2016), pp. 80-98
Persistent link: https://www.econbiz.de/10011670875
Cover Image
Information content of inter-transaction time : a structural approach
Ryu, Doojin - In: Journal of business economics and management 16 (2015) 4, pp. 697-711
Persistent link: https://www.econbiz.de/10011383043
Cover Image
The effectiveness of the order-splitting strategy : an analysis of unique data
Ryu, Doojin - In: Applied economics letters 19 (2012) 4/6, pp. 541-549
Persistent link: https://www.econbiz.de/10009630676
Cover Image
Spread and depth adjustment process : analysis of high-quality microstrucutre data
Ryu, Doojin - In: Applied economics letters 20 (2013) 16/18, pp. 1506-1510
Persistent link: https://www.econbiz.de/10010221174
Cover Image
High-frequency trading : implications for markets, regulators, and efficiency
Muthuswamy, Jayaram; Palmer, John; Richie, Nivine; … - In: The journal of trading 6 (2011) 1, pp. 87-97
Persistent link: https://www.econbiz.de/10008900892
Cover Image
The impact of co-location of securities exchanges' and traders' computer servers on market liquidity
Frino, Alex; Mollica, Vito; Webb, Robert I. - In: The journal of futures markets 34 (2014) 1, pp. 20-33
Persistent link: https://www.econbiz.de/10010254959
Cover Image
Special issue on trading
Webb, Robert I. (contributor) - 2001
Persistent link: https://www.econbiz.de/10001582284
Cover Image
The impact of latency sensitive trading on high frequency arbitrage opportunities
Frino, Alex; Mollica, Vito; Webb, Robert I.; Zhang, Shunquan - In: Pacific-Basin finance journal 45 (2017), pp. 91-102
Persistent link: https://www.econbiz.de/10011800821
Cover Image
Which trader's order-splitting strategy is effective? : the case of an index options market
Kim, Hyeyoen; Ryu, Doojin - In: Applied economics letters 19 (2012) 16/18, pp. 1683-1692
Persistent link: https://www.econbiz.de/10009683970