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

M. K. Moshenets, O. L. Kritski

Результат исследований: Материалы для журналаСтатьярецензирование

2 Цитирования (Scopus)


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.

Язык оригиналаАнглийский
Страницы (с-по)5727-5731
Число страниц5
ЖурналARPN Journal of Engineering and Applied Sciences
Номер выпуска9
СостояниеОпубликовано - 10 мая 2016

ASJC Scopus subject areas

  • Engineering(all)