Automatic system of detecting informed trading activities in European-style options; ARPN Journal of Engineering and Applied Sciences; Vol. 11, №9
| Parent link: | ARPN Journal of Engineering and Applied Sciences Vol. 11, №9.— 2016.— [P. 5727-5731] |
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| Autor Principal: | |
| Autor Corporativo: | |
| Outros autores: | |
| Summary: | Title screen We propose a computer-based system of detecting the informed trader activities in European-style options and their underlying asset. The model (9) with moving average component was written. Being added to it ARMA-process for log-price differences of underlying asset, the generalized model is written as Vector ARMA, stable at . We also proposed a mathematical criterion of informed trader activity presence which is a corner stone of automatic detecting system constructed. Режим доступа: по договору с организацией-держателем ресурса |
| Idioma: | inglés |
| Publicado: |
2016
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| Subjects: | |
| Acceso en liña: | http://www.arpnjournals.org/jeas/research_papers/rp_2016/jeas_0516_4175.pdf |
| Formato: | Electrónico Capítulo de libro |
| KOHA link: | https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=650990 |
| Summary: | Title screen We propose a computer-based system of detecting the informed trader activities in European-style options and their underlying asset. The model (9) with moving average component was written. Being added to it ARMA-process for log-price differences of underlying asset, the generalized model is written as Vector ARMA, stable at . We also proposed a mathematical criterion of informed trader activity presence which is a corner stone of automatic detecting system constructed. Режим доступа: по договору с организацией-держателем ресурса |
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