Automatic system of detecting informed trading activities in European-style options

Automatic system of detecting informed trading activities in European-style options

Bibliographic Details
Parent link:ARPN Journal of Engineering and Applied Sciences
Vol. 11, №9.— 2016.— [P. 5727-5731]
Main Author: Moshenets M. K. Mariya Konstantinovna
Corporate Author: Национальный исследовательский Томский политехнический университет Физико-технический институт Кафедра высшей математики и математической физики
Other Authors: Kritski O. L. Oleg Leonidovich
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
Language:English
Published: 2016
Subjects:
электронный ресурс
труды учёных ТПУ
информированные трейдеры
высокочастотная торговля
высокочастотный трейдинг
активы
Online Access:http://www.arpnjournals.org/jeas/research_papers/rp_2016/jeas_0516_4175.pdf
Format: Electronic Book Chapter
KOHA link:https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=650990

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