Market Impact: A Systematic Study of the High Frequency Options Market

Emilio Said (), Ahmed Bel Hadj Ayed, Damien Thillou, Jean-Jacques Rabeyrin and Frédéric Abergel ()
Additional contact information
Emilio Said: BNP-Paribas, MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec - Université Paris-Saclay
Ahmed Bel Hadj Ayed: BNP-Paribas
Damien Thillou: BNP-Paribas
Jean-Jacques Rabeyrin: BNP-Paribas
Frédéric Abergel: BNP-Paribas, MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec - Université Paris-Saclay

Post-Print from HAL

Abstract: This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders-large orders that are split into smaller pieces before being sent to the market on one of the main Asian markets. In line with our previous work on the equity market [Said et al., 2018], we propose an algorithmic approach to identify metaorders, based on some implied volatility parameters, the at the money forward volatility and at the money forward skew. In both cases, we obtain results similar to the now well understood equity market: Square-root law, Fair Pricing Condition and Market Impact Dynamics.

Keywords: High Frequency; Fair Pricing; Implied Volatility; Statistical Finance; Market Microstructure; Automated Trading; Options Market; Limit Orders; Market Impact (search for similar items in EconPapers)
Date: 2020
Note: View the original document on HAL open archive server: https://hal.science/hal-02014248v2
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Quantitative Finance, 2020, 21 (1), pp.69-84. ⟨10.1080/14697688.2020.1791948⟩

Downloads: (external link)
https://hal.science/hal-02014248v2/document (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:hal:journl:hal-02014248

DOI: 10.1080/14697688.2020.1791948

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().