Market microstructure deals with the purest form of financial intermediation – the trading of a financial asset, such as a stock or a bond. In a trading market, assets are not transformed but are simply transferred from one investor to another. The field of market microstructure studies the...

By employing the modified net buying pressure as a measure of informed option trading, this study tested whether option trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found evidence that is consistent with the idea that option...

The recent financial crisis renewed concerns about a possible destabilizing impact of derivatives trading. Despite a very active research, the question whether or not derivatives tend to destabilize financial markets has not yet been answered to satisfaction. This contribution aims to revise the...

By employing the modified net buying pressure as a measure of informed option trading, this study tested whether option trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found evidence that is consistent with the idea that option...

The European put-call parity condition is used to estimate the early exercise premium for American currency options traded on the Philadelphia Stock Exchange. Using a sample of 331 pairs of call and put options with the same exercise price and time to expiration, evidence is provided for early...

This paper empirically examines the relationship between trading volume and conditional volatility of returns in the Tunisian stock market within the framework of the mixture of distribution hypothesis (MDH) and the sequential information arrival hypothesis (SIAH). Through this study, we...

This paper analyses the co-movements between the US stock market and several commodity futures between 1998 and 2011. It computes dynamic conditional correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second, and (iv) 1-second frequencies and documents a synchronized structural break,...

The area of derivatives is arguably the most fascinating area within financial economics during the past thirty years. This chapter reviews the evolution of derivatives contract markets and derivatives research over the past thirty years. The chapter has six complementary sections. The first...

Nous comparons les relations de domination temporelles avec trois déformations temporelles (les temps :horloge, transaction et volume) et quatre longueurs d’intervalles de cinq à trente minutes. En accord avec les options étudiées, nous employons le modèle de valorisation de Cox, Ross et...

In economic theory, both discrete and continuous time models are commonly believed to be equivalent in the sense that one can always be used to approximate the other, or equivalently, any phenomena present in one is also present in the other. This common belief is misguided. Both (strict) local...