Similar Search Results - EconBiz

Who pays the liquidity cost? : central bank announcements and adverse selection

Ryu, Doojin; Webb, Robert I.; Yu, Jinyoung - In: The journal of futures markets 43 (2023) 7, pp. 904-924

Persistent link: https://www.econbiz.de/10014293266

Changes in the options contract size and arbitrage opportunities

Song, Joonhyuk; Ryu, Doojin; Yu, Jinyoung - In: The journal of futures markets 43 (2023) 1, pp. 122-137

Persistent link: https://www.econbiz.de/10013465898

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

Volatility dynamics under an endogenous Markov-switching framework : a cross-market approach

Song, Wonho; Ryu, Doojin; Webb, Robert I. - In: Quantitative finance 18 (2018) 9, pp. 1559-1571

Persistent link: https://www.econbiz.de/10011913204

Asset pricing in an inefficient market

Webb, Robert I. - In: Economic modelling 7 (1990) 4, pp. 395-399

Persistent link: https://www.econbiz.de/10001095113

Considering all microstructure effects : the extension of a trade indicator model

Ryu, Doojin - In: Economics letters 146 (2016), pp. 107-110

Persistent link: https://www.econbiz.de/10011619145

Comprehensive market microstructure model : considering the inventory holding costs

Ryu, Doojin - In: Journal of business economics and management 18 (2017) 2, pp. 183-201

Persistent link: https://www.econbiz.de/10011721742

Continuously traded options on discretely traded commodity futures contracts

Webb, Robert I.; Iwata, Gyoichi; Fujiwara, Koichi; … - In: The journal of futures markets 17 (1997) 6, pp. 633-666

Persistent link: https://www.econbiz.de/10001228028

Special issue on trading

Webb, Robert I. (contributor) - 2001

Persistent link: https://www.econbiz.de/10001582284

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

A service of the