Market impact: a systematic study of the high frequency options market (Q5014173): Difference between revisions
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / arXiv ID: 1902.05418 / rank | |||
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| Property / cites work: Hedging of Covered Options with Linear Market Impact and Gamma Constraint / rank | |||
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| Property / cites work: How efficiency shapes market impact / rank | |||
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| Property / cites work: Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders / rank | |||
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| Property / cites work: Option pricing with linear market impact and nonlinear Black-Scholes equations / rank | |||
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| Property / OpenAlex ID: W3084367409 / rank | |||
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Latest revision as of 09:59, 30 July 2024
scientific article; zbMATH DE number 7436777
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Market impact: a systematic study of the high frequency options market |
scientific article; zbMATH DE number 7436777 |
Statements
Market impact: a systematic study of the high frequency options market (English)
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1 December 2021
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market microstructure
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market impact
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statistical finance
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fair pricing
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automated trading
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limit orders
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options market
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implied volatility
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high frequency
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