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

M. K. Moshenets, O. L. Kritski

Research output: Contribution to journalArticle

2 Citations (Scopus)

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 languageEnglish
Pages (from-to)5727-5731
Number of pages5
JournalARPN Journal of Engineering and Applied Sciences
Volume11
Issue number9
Publication statusPublished - 10 May 2016

Keywords

  • ARMA
  • Computer detecting system
  • European style options
  • High-frequency trading
  • Informed traders
  • Underlying asset

ASJC Scopus subject areas

  • Engineering(all)

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