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The incremental information content of innovations in implied idiosyncratic volatility
Moll, Cliff R.; Huffman, Stephen P. - In: Review of financial economics : RFE 30 (2016), pp. 33-44
Persistent link: https://www.econbiz.de/10011579946
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Information content of option prices : comparing analyst forecasts to option-based forecasts
Sanford, Anthony - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10014581049
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The delta- and vega-related information content of near-the-money option market trading activity
Rourke, Thomas - In: Journal of financial markets 20 (2014), pp. 175-193
Persistent link: https://www.econbiz.de/10010442379
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Estimating probability distributions of future asset prices : empirical transformations from option-implied risk-neutral to real-world density functions
Vincent-Humphreys, Rupert de; Noss, Joseph - 2012
Persistent link: https://www.econbiz.de/10009559811
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Pricing cryptocurrency options with machine learning regression for handling market volatility
Brini, Alessio; Lenz, Jimmie - In: Economic modelling 136 (2024), pp. 1-11
Persistent link: https://www.econbiz.de/10014549153
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Effects of the Covid-19 pandemic on derivatives markets : evidence from global futures and options exchanges
Emm, Ekaterina E.; Gay, Gerald D.; Ma, Han; Ren, Honglin - In: The journal of futures markets 42 (2022) 5, pp. 823-851
Persistent link: https://www.econbiz.de/10013187605
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Information content of order imbalance in the index options market
Sensoy, Ahmet; Omole, John - In: International review of economics & finance : IREF 78 (2022), pp. 418-432
Persistent link: https://www.econbiz.de/10013334583
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The Information Content of The Implied Volatility Surface : Can Option Prices Predict Jumps?
Han, Yufeng - 2020
prices, and options of both short and long maturity contribute to the predictability. Furthermore, the predictability of the … downward jump is robust to many firm characteristics as well as options related variables. Consistent with the notion that … informed investors trade in the options markets to profit from negative information in order to circumvent the short …
Persistent link: https://www.econbiz.de/10012847745
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Heterogeneous component multiplicative error models for forecasting trading volumes
Naimoli, Antonio; Storti, Giuseppe - In: International journal of forecasting 35 (2019) 4, pp. 1332-1355
Persistent link: https://www.econbiz.de/10012305333
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The option to stock volume ratio and future returns
Johnson, Travis L.; So, Eric - In: Journal of financial economics 106 (2012) 2, pp. 262-286
Persistent link: https://www.econbiz.de/10009666658