The role of fleeting orders on option expiration days

DOI10.1080/14697688.2023.2229375zbMath1530.91547OpenAlexW4385258727MaRDI QIDQ6063326

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Publication date: 7 November 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2023.2229375

zbMATH Keywords

market microstructuremarket manipulationoption expirationorder dynamics

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)

Cites Work

• The market impact of a limit order
• The price impact of order book events: market orders, limit orders and cancellations
• Continuous Auctions and Insider Trading
• A market-induced mechanism for stock pinning

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