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| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Detecting abnormal trading activities in option markets |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Journal of Empirical Finance |
| Publisher | Elsevier |
| Geographical Reach | international |
| ISSN | 0927-5398 |
| Volume | 33 |
| Page Range | 263 - 275 |
| Date | 2015 |
| Abstract Text | We develop an econometric method to detect "abnormal trades" in option markets, i.e., trades which are not driven by liquidity motives. Abnormal trades are characterized by unusually large increments in open interest, trading volume, and option returns, and are not used for option hedging purposes. We use a multiple hypothesis testing technique to control for false discoveries in abnormal trades. We apply the method to 9.6 million of daily option prices |
| Free access at | Related URL |
| Related URLs | |
| Digital Object Identifier | 10.1016/j.jempfin.2015.03.008 |
| Other Identification Number | merlin-id:11905 |
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| Additional Information | Workingpaper-Version dieser Publikation: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1522157 & https://www.zora.uzh.ch/49677/ |