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Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets : Theory and Empirical Evidence
Czerwonko, Michal - 2012
Volatility (LIV) inversion method. We apply these insights by examining the impact of the tick size reduction introduced by the …
Persistent link: https://www.econbiz.de/10013114231
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Tick Size, Microstructure Noise and Volatility Inversion Effects on Price Discovery in Option Markets : Theory and Empirical Evidence
Czerwonko, Michal - 2011
Volatility (LIV) inversion method. We apply these insights by examining the impact of the tick size reduction introduced by the …
Persistent link: https://www.econbiz.de/10013121295
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Who has volatility information in the index options market?
Ryu, Doojin; Yang, Heejin - In: Finance research letters 30 (2019), pp. 266-270
Persistent link: https://www.econbiz.de/10012420810
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Volatility information trading in the index options market : an intraday analysis
Yang, Heejin; Kutan, Ali Mustafa; Ryu, Doojin - In: International review of economics & finance : IREF 64 (2019), pp. 412-426
Persistent link: https://www.econbiz.de/10012372813
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Implied volatility indices : a review and extension in the Turkish case
Sensoy, Ahmet; Omole, John - In: International review of financial analysis 60 (2018), pp. 151-161
Persistent link: https://www.econbiz.de/10012007557
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Vega-informed trading and options market reform
Ryu, Doojin; Ryu, Doowon; Yang, Heejin - In: Applied economics letters 27 (2020) 1, pp. 19-24
Persistent link: https://www.econbiz.de/10012205363
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Market impact : a systematic study of the high frequency options market
Said, Emilio; Bel Hadj Ayed, Ahmed; Thillou, Damien; … - In: Quantitative finance 21 (2021) 1, pp. 69-84
Persistent link: https://www.econbiz.de/10012424634
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Jumps in option prices and their determinants : real-time evidence from the E-mini S&P 500 options market
Kapetanios, George; Konstantinidi, Eirini; Neumann, Michael - In: Journal of financial markets 46 (2019), pp. 1-26
Persistent link: https://www.econbiz.de/10012317888
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Does options improve the information absorption? : evidence from the introduction of weekly index options
Jain, Prachi; Kotha, Kiran Kumar - In: International review of finance : the official journal … 22 (2022) 4, pp. 770-776
Persistent link: https://www.econbiz.de/10013472716
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Regulatory change and micro structure effects in SPI futures
Gannon, Gerard L. (contributor); Chang, Chi-ying (contributor) - 2007
Persistent link: https://www.econbiz.de/10003794159