We develop a copula-based pairs trading framework and apply it to the S&P 100 index constituents from 1990 to 2014. We propose an integrated approach, using copulas for pairs selection and trading. Essentially, we fit t-copulas to all possible combinations of pairs in a 12 month formation...

Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset....

We develop statistical methods to detect informed trading in options markets. We apply these methods to 31 companies from various sectors over 14 years analyzing approximately 9.6 million option prices. We find that option informed trading tends to cluster prior to certain events, takes place...

This appendix extends the empirical results in Chesney, Crameri, and Mancini (2011). Informed trading activities on put and call options are analyzed for 19 companies in the banking and insurance sectors from January 1996 to September 2009. Our empirical findings suggest that certain events such...

Finanzmarktdaten wie Zinsen, Aktien- oder Wechselkurse und andere spekulative Preise setzen sich durch verschiedene Besonderheiten von sonstigen ökonomischen Zeitreihendaten ab. Dieser Artikel untersucht die Konsequenzen dieser Besonderheiten für die rationale Bewertung von Finanzinstrumenten...

Finanzmarktdaten wie Zinsen, Aktien- oder Wechselkurse und andere spekulative Preise setzen sich durch verschiedene Besonderheiten von sonstigen ökonomischen Zeitreihendaten ab. Dieser Artikel untersucht die Konsequenzen dieser Besonderheiten für die rationale Bewertung von Finanzinstrumenten...

Mostly used estimators of Hurst exponent for detection of long-range dependence are biased by presence of short-range dependence in the underlying time series. We present confidence intervals estimates for rescaled range and modified rescaled range. We show that the difference in expected values...