.png){kind=icon}
返回
Order Flow and Expected Option Returns
.png){kind=icon}
PRE
AI
DOI：10.1111/jofi.12380.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
I show that the inventory risk faced by market-makers has a first-order effect on option prices. I introduce a simple approach that decomposes the price impact of trades into inventory risk and asymmetric information components. While both components are large for option trades, the inventory risk component is larger. Using the full panel of daily option returns, I find that option order imbalances attributable to inventory risk have five times larger impact on option prices than previously thought. Finally, I find that past order imbalances have greater predictive power than any other commonly used predictor of option returns.
Keyword:
BID-ASK SPREAD
MARKET MAKERS
STOCK
COMPONENTS
PRICES
TRADES
VOLUME
COSTS
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
9.5
论文数:
4.0K
被引数:
5.0W
机构
引用论文
Asymmetric domino aza-Michael–Michael reaction of o-N-protected aminophenyl α,β-unsaturated ketones: construction of chiral functionalized tetrahydroquinolines.png)
Tetrahedron
TetrahedronIF0
PREAI
分享收藏
查看更多内容