Similar Search Results

Hedging performance of the Swedish OMX stock index options : can the OMX-index be approximated by a portfolio of fewer stocks?

Nordén, Lars; Strömberg, Anders - 1995

Persistent link: https://www.econbiz.de/10000916218

Option happiness and liquidity : is the dynamics of the volatility smirk affected by relative option liquidity?

Nordén, Lars; Xu, Caihong - In: The journal of futures markets 32 (2012) 1, pp. 47-74

Persistent link: https://www.econbiz.de/10010218059

Empirical studies of the market microstructure on the Swedish stock exchange

Nordén, Lars - 1996

Persistent link: https://www.econbiz.de/10004303387

Closing Call Auctions at the Index Futures Market

Hagströmer, Björn; Nordén, Lars - In: Journal of Futures Markets 34 (2014) 4, pp. 299-319

<section xml:id="fut21603-sec-0001"> We investigate the effects from the introduction of a closing call auction (CCA) at the index futures market. Limit order book models, where trader patience determines trading strategies, predict that a CCA increases trader patience and, hence, improves closing price accuracy and end‐of‐day...</section>

Persistent link: https://www.econbiz.de/10011006059