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.
|Журнал||ARPN Journal of Engineering and Applied Sciences|
|Состояние||Опубликовано - 10 мая 2016|
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