An empirical investigation of large trader market manipulation in derivatives markets

DOI10.1007/S11147-018-9143-0zbMath1405.91625OpenAlexW2802018787WikidataQ129976220 ScholiaQ129976220MaRDI QIDQ1710585

Shih-Chuan Tsai, Scott Fung, Robert A. Jarrow

Publication date: 23 January 2019

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-018-9143-0

zbMATH Keywords

optionsfuturesmarket manipulationstrategic tradingpositive alphas

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

OPTION PRICING USING STOCHASTIC VOLATILITY MODEL UNDER FOURIER TRANSFORM OF NONLINEAR DIFFERENTIAL EQUATION ⋮ Idiosyncratic volatility, option-based measures of informed trading, and investor attention

Cites Work

• Positive alphas and a generalized multiple-factor asset pricing model
• Large Investors, Price Manipulation, and Limits to Arbitrage: An Anatomy of Market Corners*
• POSITIVE ALPHAS, ABNORMAL PERFORMANCE, AND ILLUSORY ARBITRAGE

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