The Information System of Detecting the Informed Activities in Derivative Asset Tradings; The 9th International Forum on Strategic Techology (IFOST-2014), September 21-23, 2014, Cox's Bazar, Bangladesh
| Parent link: | The 9th International Forum on Strategic Techology (IFOST-2014), September 21-23, 2014, Cox's Bazar, Bangladesh.— 2014.— [7 p.] |
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| Tóm tắt: | Title screen We propose a mathematical procedure for finding informed trader activities in underlying asset and derivatives. We generalized it as Vector ARMA and found condition of its stationarity. We also constructed an informed trader activity presence criterion. For validation of the model, we test an influence of informed traders in Russian market and FX assets. We found some evidence of such influence in gold and currency pair USD/RUB pricing, in Russian share index RTS in the period from Dec 16 till Dec 20, 2013 and from Jan 28 till Jan 30. Also, using TAIFEX option prices we investigate whether such activity was at the market. We take week calls and puts on index TSEC, the contracts expire at 26/02/14. We found that there is no significant influence for pricing process made by major market players. |
| Ngôn ngữ: | Tiếng Anh |
| Được phát hành: |
2014
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| Loạt: | Information & Communication Technology Information Systems, Internet, Web and Mobile Applications |
| Những chủ đề: | |
| Truy cập trực tuyến: | https://doi.org/10.1109/IFOST.2014.6991085 |
| Định dạng: | MixedMaterials Điện tử Chương của sách |
| KOHA link: | https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=641692 |
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| 330 | |a We propose a mathematical procedure for finding informed trader activities in underlying asset and derivatives. We generalized it as Vector ARMA and found condition of its stationarity. We also constructed an informed trader activity presence criterion. For validation of the model, we test an influence of informed traders in Russian market and FX assets. We found some evidence of such influence in gold and currency pair USD/RUB pricing, in Russian share index RTS in the period from Dec 16 till Dec 20, 2013 and from Jan 28 till Jan 30. Also, using TAIFEX option prices we investigate whether such activity was at the market. We take week calls and puts on index TSEC, the contracts expire at 26/02/14. We found that there is no significant influence for pricing process made by major market players. | ||
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| 463 | 0 | |0 (RuTPU)RU\TPU\network\6394 |t The 9th International Forum on Strategic Techology (IFOST-2014), September 21-23, 2014, Cox's Bazar, Bangladesh |o [proceedings] |v [7 p.] |d 2014 | |
| 610 | 1 | |a электронный ресурс | |
| 610 | 1 | |a труды учёных ТПУ | |
| 610 | 1 | |a трейдеры | |
| 610 | 1 | |a фьючерсы | |
| 610 | 1 | |a активы | |
| 610 | 1 | |a информационные системы | |
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| 700 | 1 | |a Kritski |b O. L. |c mathematician |c Associate Professor of Tomsk Polytechnic University, Candidate of physical and mathematical sciences |f 1976- |g Oleg Leonidovich |3 (RuTPU)RU\TPU\pers\31888 |9 15960 | |
| 701 | 1 | |a Glik |b L. A. |c mathematician |c engineer of Tomsk Polytechnic University |f 1991- |g Ludmila Andreevna |3 (RuTPU)RU\TPU\pers\34750 | |
| 712 | 0 | 2 | |a Национальный исследовательский Томский политехнический университет (ТПУ) |b Физико-технический институт (ФТИ) |b Кафедра высшей математики и математической физики (ВММФ) |3 (RuTPU)RU\TPU\col\18727 |
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