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)