Price Discovery in the U.S. Stock and Stock Options Markets: A Portfolio Approach

2006 ◽  
Author(s):  
Richard Holowczak ◽  
Yusif Simaan ◽  
Liuren Wu
Keyword(s):  
Stock Options ◽  
Price Discovery ◽  
Options Markets ◽  
Portfolio Approach ◽  
The U.S

Price discovery in the U.S. stock and stock options markets: A portfolio approach

2007 ◽  
Vol 9 (1) ◽  
pp. 37-65 ◽  
Author(s):  
Richard Holowczak ◽  
Yusif E. Simaan ◽  
Liuren Wu
Keyword(s):  
Stock Options ◽  
Price Discovery ◽  
Options Markets ◽  
Portfolio Approach ◽  
The U.S

Price Discovery in the U.S. Stock Options Market

2007 ◽  
Vol 3 (1) ◽  
pp. 68-86
Author(s):  
Yusif E. Simaan ◽  
Liuren Wu
Keyword(s):  
Stock Options ◽  
Price Discovery ◽  
Options Market ◽  
The U.S

Price Discovery in the U.S. Stock Options Market

2007 ◽  
Vol 15 (2) ◽  
pp. 20-38 ◽  
Author(s):  
Yusif E. Simaan ◽  
Liuren Wu
Keyword(s):  
Stock Options ◽  
Price Discovery ◽  
Options Market ◽  
The U.S

Stealth Trading in Options Markets

2007 ◽  
Vol 42 (1) ◽  
pp. 167-187 ◽  
Author(s):  
Amber Anand ◽  
Sugato Chakravarty
Keyword(s):  
Market Share ◽  
Price Discovery ◽  
High Volume ◽  
Medium Size ◽  
Options Markets ◽  
Information Share ◽  
Trade Size ◽  
Informed Traders

AbstractWe investigate how price discovery occurs in the options markets through traders' trade size choice. By employing transactions data on all options traded on a sample of 100 firms, we show that informed traders fragment their orders into small (medium) trades for low (high) volume contracts. We also find that almost 60% of the price discovery occurs in the exchange with the largest market share for a given option, where informed traders favor medium size trades. Upon examining distinct option series for a given stock, we find that at-the-money calls display the highest information share.

scholarly journals Price Discovery in Stock and Options Markets

2015 ◽  
Author(s):  
Vinay Patel ◽  
TTlis J. Putniii ◽  
David Michayluk ◽  
Sean Foley
Keyword(s):  
Price Discovery ◽  
Options Markets

scholarly journals Price Discovery in Stock and Options Markets

2014 ◽  
Author(s):  
Vinay Patel ◽  
TTlis J. Putniii ◽  
David Michayluk
Keyword(s):  
Price Discovery ◽  
Options Markets

scholarly journals Time Disparity and Price Discovery: The Effect of the U.S. Futures on Korean Gold Market

2018 ◽  
Vol 23 (2) ◽  
pp. 82-97
Author(s):  
Jae-Seung Baek ◽  
◽  
Jihun Kim ◽  
Myeonghoon Yeom ◽  
◽  
...  
Keyword(s):  
Price Discovery ◽  
Gold Market ◽  
The U.S
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