On Inferring the Direction of Option Trades
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 38 (2003)
Issue (Month): 04 (December)
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- Collver, Charles, 2009. "Measuring the impact of option market activity on the stock market: Bivariate point process models of stock and option transactions," Journal of Financial Markets, Elsevier, vol. 12(1), pages 87-106, February.
- Muravyev, Dmitriy & Pearson, Neil D. & Paul Broussard, John, 2013. "Is there price discovery in equity options?," Journal of Financial Economics, Elsevier, vol. 107(2), pages 259-283.
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- Anand, Amber & Weaver, Daniel G., 2006. "The value of the specialist: Empirical evidence from the CBOE," Journal of Financial Markets, Elsevier, vol. 9(2), pages 100-118, May.
- Fahlenbrach, Rudiger & Sandas, Patrik, 2005. "Market Frictions and Seemingly Anomalous Co-movements of Index Options and Index Futures Quotes," Working Paper Series 2005-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Fahlenbrach, Rüdiger & Sandås, Patrik, 2009.
"Co-movements of index options and futures quotes,"
Journal of Empirical Finance,
Elsevier, vol. 16(1), pages 151-163, January.
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