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Large Option Trades, Market Makers, and Limit Orders
16 references·1 citing·42 second hop
Large Option Trades, Market Makers, and Limit Orders (1996)Large Option Trades, Market Makers, and L…Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy (1996)Market vs. Limit Orders: The …An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Market Microstructure and Stock Return Predictions (1994)Market Microstructure and Sto…Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Insider and Liquidity Trading in Stock and Options Markets (1994)Insider and Liquidity Trading…Option Replication in Discrete Time with Transaction Costs (1992)Option Replication in Discret…Liquidity of the CBOE Equity Options (1990)Liquidity of the CBOE Equity …Liquidity , Trading Rules and Electronic Trading Systems . (1990)Liquidity , Trading Rules and…Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets (1990)Intraday Price Change and Tra…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Price Changes of Related Securities: The Case of Call Options and Stocks (1987)Price Changes of Related Secu…The Dynamics of Dealer Markets Under Competition (1983)The Dynamics of Dealer Market…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…Option pricing: A simplified approach (1979)Option pricing: A simplified …Fact and Fantasy in the Use of Options (1975)Fact and Fantasy in the Use o…Toward a Fully Automated Stock Exchange, Part I (1971)Toward a Fully Automated Stoc…The Effects of Market Reform on Trading Costs of Public Investors: Evidence from the London Stock Exchange (1999)The Effects of Market Reform …The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The Relation Between Price Changes and Trading Volume: A Survey (1987)Measuring the Information Content of Stock Trades (1991)Theory of rational option pricing (2005)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Market liquidity and volume around earnings announcements (1994)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Trading costs and the relative rates of price discovery in stock, futures, and option markets (1996)High frequency data in financial markets: Issues and applications (1997)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)COUNTERSPECULATION, AUCTIONS, AND COMPETITIVE SEALED TENDERS (1961)The Cost of Transacting (1968)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Liquidity and Asset Prices (2006)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)A Theory of Auctions and Competitive Bidding (1982)Order flow composition and trading costs in a dynamic limit order market (1999)Presidential Address: Friction (2000)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)Option Pricing and Replication with Transactions Costs (1985)Continuous-Time Finance. (1991)There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs (1995)HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (1996)Option pricing with transaction costs and a nonlinear Black-Scholes equation (1998)A Theory of Intraday Patterns: Volume and Price Variability (1988)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978 (1985)Informed Trading in Stock and Option Markets (2004)The Information in Option Volume for Future Stock Prices (2006)The costs and determinants of order aggressiveness (2000)Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong (2001)Limit order books (2013)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)
this work references cited by second hop

References

  • 1979Option pricing: A simplified approach6,103 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1975Fact and Fantasy in the Use of Options1,021 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 1983The Dynamics of Dealer Markets Under Competition783 cited
  • 1990Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets444 cited
  • 1992Option Replication in Discrete Time with Transaction Costs411 cited
  • 1996Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy388 cited
  • 1994Market Microstructure and Stock Return Predictions257 cited
  • 1994Insider and Liquidity Trading in Stock and Options Markets242 cited
  • 1990Liquidity of the CBOE Equity Options218 cited
  • 1990Liquidity , Trading Rules and Electronic Trading Systems .203 cited
  • 1971Toward a Fully Automated Stock Exchange, Part I193 cited
  • 1987

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Price Changes of Related Securities: The Case of Call Options and Stocks
192 cited

Cited by

  • 1999The Effects of Market Reform on Trading Costs of Public Investors: Evidence from the London Stock Exchange28 cited