Abstract
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 |ρ| <1. We also proposed a mathematical criterion of informed trader activity presence which is a corner stone of automatic detecting system constructed.
| Original language | English |
|---|---|
| Pages (from-to) | 5727-5731 |
| Number of pages | 5 |
| Journal | ARPN Journal of Engineering and Applied Sciences |
| Volume | 11 |
| Issue number | 9 |
| Publication status | Published - 10 May 2016 |
Keywords
- ARMA
- Computer detecting system
- European style options
- High-frequency trading
- Informed traders
- Underlying asset
ASJC Scopus subject areas
- Engineering(all)
Cite this
Automatic system of detecting informed trading activities in European-style options. / Moshenets, M. K.; Kritski, O. L.
In: ARPN Journal of Engineering and Applied Sciences, Vol. 11, No. 9, 10.05.2016, p. 5727-5731.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Automatic system of detecting informed trading activities in European-style options
AU - Moshenets, M. K.
AU - Kritski, O. L.
PY - 2016/5/10
Y1 - 2016/5/10
N2 - 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 |ρ| <1. We also proposed a mathematical criterion of informed trader activity presence which is a corner stone of automatic detecting system constructed.
AB - 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 |ρ| <1. We also proposed a mathematical criterion of informed trader activity presence which is a corner stone of automatic detecting system constructed.
KW - ARMA
KW - Computer detecting system
KW - European style options
KW - High-frequency trading
KW - Informed traders
KW - Underlying asset
UR - http://www.scopus.com/inward/record.url?scp=84968880402&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84968880402&partnerID=8YFLogxK
M3 - Article
VL - 11
SP - 5727
EP - 5731
JO - ARPN Journal of Engineering and Applied Sciences
JF - ARPN Journal of Engineering and Applied Sciences
SN - 1819-6608
IS - 9
ER -