Automatic system of detecting informed trading activities in European-style options
| Parent link: | ARPN Journal of Engineering and Applied Sciences Vol. 11, №9.— 2016.— [P. 5727-5731] |
|---|---|
| Autor principal: | |
| Autor Corporativo: | |
| Outros Autores: | |
| Resumo: | 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: | inglês |
| Publicado em: |
2016
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| Assuntos: | |
| Acesso em linha: | http://www.arpnjournals.org/jeas/research_papers/rp_2016/jeas_0516_4175.pdf |
| Formato: | Recurso Electrónico Capítulo de Livro |
| KOHA link: | https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=650990 |
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| 200 | 1 | |a Automatic system of detecting informed trading activities in European-style options |f M. K. Moshenets, O. L. Kritski | |
| 203 | |a Text |c electronic | ||
| 300 | |a Title screen | ||
| 320 | |a [References: p. 5730-5731 (10 tit.)] | ||
| 330 | |a 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. | ||
| 333 | |a Режим доступа: по договору с организацией-держателем ресурса | ||
| 461 | |t ARPN Journal of Engineering and Applied Sciences | ||
| 463 | |t Vol. 11, №9 |v [P. 5727-5731] |d 2016 | ||
| 610 | 1 | |a электронный ресурс | |
| 610 | 1 | |a труды учёных ТПУ | |
| 610 | 1 | |a информированные трейдеры | |
| 610 | 1 | |a высокочастотная торговля | |
| 610 | 1 | |a высокочастотный трейдинг | |
| 610 | 1 | |a активы | |
| 700 | 1 | |a Moshenets |b M. K. |g Mariya Konstantinovna | |
| 701 | 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 | |
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