Information in derivatives markets: forecasting prices with prices

Ian Martin

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: I survey work that uses information in derivative and other asset prices to forecast movements in financial markets.

Keywords: market forecasting; return predictability; derivatives; options (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2025-05-05
New Economics Papers: this item is included in nep-for and nep-inv
References: Add references at CitEc
Citations:

Published in Annual Review of Financial Economics, 5, May, 2025. ISSN: 1941-1367

Downloads: (external link)
http://eprints.lse.ac.uk/128212/ Open access version. (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:128212

Access Statistics for this paper

More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager ().