Detecting informed activities in European-style option tradings

Lyudmila A. Glik and Oleg L. Kritski

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Abstract: We propose a mathematical procedure for finding informed trader activities in European-style options and their underlying asset. The regression model (9) with moving average component was written. Being added to it ARMA-process for log-price differences of underlying asset, the generalized model is written as Vector ARMA, stable at abs(ro)

Date: 2014-03
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