The information system of detecting the informed activities in derivative asset tradings

O. L. Kritski, L. A. Glik

Research output: Chapter in Book/Report/Conference proceedingConference contribution

2 Citations (Scopus)

Abstract

We propose a mathematical procedure for finding informed trader activities in underlying asset and derivatives. We generalized it as Vector ARMA and found condition of its stationarity. We also constructed an informed trader activity presence criterion. For validation of the model, we test an influence of informed traders in Russian market and FX assets. We found some evidence of such influence in gold and currency pair USD/RUB pricing, in Russian share index RTS in the period from Dec 16 till Dec 20, 2013 and from Jan 28 till Jan 30. Also, using TAIFEX option prices we investigate whether such activity was at the market. We take week calls and puts on index TSEC, the contracts expire at 26/02/14. We found that there is no significant influence for pricing process made by major market players.

Original languageEnglish
Title of host publication2014 9th International Forum on Strategic Technology, IFOST 2014
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages117-123
Number of pages7
ISBN (Print)9781479960620
DOIs
Publication statusPublished - 17 Dec 2014
Event9th International Forum on Strategic Technology, IFOST 2014 - Cox's Bazar, Bangladesh
Duration: 21 Oct 201423 Oct 2014

Other

Other9th International Forum on Strategic Technology, IFOST 2014
CountryBangladesh
CityCox's Bazar
Period21.10.1423.10.14

Fingerprint

Information systems
Derivatives
Costs
Gold

Keywords

  • European options
  • frequency trading
  • futures
  • informed traders
  • mixed strategy
  • price disclosure
  • underlying assets

ASJC Scopus subject areas

  • Energy Engineering and Power Technology
  • Civil and Structural Engineering
  • Building and Construction
  • Fuel Technology
  • Computer Networks and Communications

Cite this

Kritski, O. L., & Glik, L. A. (2014). The information system of detecting the informed activities in derivative asset tradings. In 2014 9th International Forum on Strategic Technology, IFOST 2014 (pp. 117-123). [6991085] Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/IFOST.2014.6991085

The information system of detecting the informed activities in derivative asset tradings. / Kritski, O. L.; Glik, L. A.

2014 9th International Forum on Strategic Technology, IFOST 2014. Institute of Electrical and Electronics Engineers Inc., 2014. p. 117-123 6991085.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Kritski, OL & Glik, LA 2014, The information system of detecting the informed activities in derivative asset tradings. in 2014 9th International Forum on Strategic Technology, IFOST 2014., 6991085, Institute of Electrical and Electronics Engineers Inc., pp. 117-123, 9th International Forum on Strategic Technology, IFOST 2014, Cox's Bazar, Bangladesh, 21.10.14. https://doi.org/10.1109/IFOST.2014.6991085
Kritski OL, Glik LA. The information system of detecting the informed activities in derivative asset tradings. In 2014 9th International Forum on Strategic Technology, IFOST 2014. Institute of Electrical and Electronics Engineers Inc. 2014. p. 117-123. 6991085 https://doi.org/10.1109/IFOST.2014.6991085
Kritski, O. L. ; Glik, L. A. / The information system of detecting the informed activities in derivative asset tradings. 2014 9th International Forum on Strategic Technology, IFOST 2014. Institute of Electrical and Electronics Engineers Inc., 2014. pp. 117-123
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