Index Option Trading Activity and Market Returns.
Tarun ChordiaAlexander KurovDmitriy MuravyevAvanidhar SubrahmanyamPublished in: Manag. Sci. (2021)
Keyphrases
- futures market
- dow jones
- trading strategies
- short run
- foreign exchange
- stock price
- option pricing
- investment strategies
- stock exchange
- long run
- financial markets
- stock market
- agent mediated
- trading systems
- trading agents
- chinese stock market
- market data
- sharpe ratio
- financial data
- electronic markets
- activity patterns
- stock data
- human activities
- long term
- double auction
- portfolio optimization
- electricity markets
- test bed
- data sets