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

O. L. Kritski, L. A. Glik

Результат исследования: Материалы для книги/типы отчетовМатериалы для конференции

2 Цитирования (Scopus)

Аннотация

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.

Язык оригиналаАнглийский
Заголовок главной публикации2014 9th International Forum on Strategic Technology, IFOST 2014
ИздательInstitute of Electrical and Electronics Engineers Inc.
Страницы117-123
Количество страниц7
ISBN (печатная версия)9781479960620
DOI
Статус публикацииОпубликовано - 17 дек 2014
Событие9th International Forum on Strategic Technology, IFOST 2014 - Cox's Bazar, Бангладеш
Длительность: 21 окт 201423 окт 2014

Другое

Другое9th International Forum on Strategic Technology, IFOST 2014
СтранаБангладеш
ГородCox's Bazar
Период21.10.1423.10.14

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ASJC Scopus subject areas

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

Цитировать

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