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contract, and briefly discusses its benefits. Third part of the paper introduces the pro-options and anti-options views among …
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We conduct efficiency test using the conventional method in Chordia, Roll, and Subrahmanyam (2005) and the wavelet … order imbalance, it takes about 10 minutes for the market to converge to efficiency, which is shorter than the 30-minute …
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In an arbitrage-free economy with non-zero bid-ask spreads the existence of payoffs whose price is lower than the price of a dominated payoff cannot be discarded in general. However, when the former price corresponds to trivial portfolios which involve buying or selling one unit of the basis...
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