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Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach
16 references·3 citing·47 second hop
Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach (2007)Liquidity and Arbitrage in Options Market…Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis (2007)Liquidity and the Law of One …Limited arbitrage and short sales restrictions: evidence from the options markets (2004)Limited arbitrage and short s…Can the Market Add and Subtract? Mispricing in Tech Stock Carve‐outs (2003)Can the Market Add and Subtra…Synchronization risk and delayed arbitrage (2002)Synchronization risk and dela…Characteristics of Risk and Return in Risk Arbitrage (2001)Characteristics of Risk and R…Daily and Intradaily Tests of European Put-Call Parity (1995)Daily and Intradaily Tests of…Smart Money, Noise Trading and Stock Price Behaviour (1993)Smart Money, Noise Trading an…Arbitrage With Holding Costs: A Utility-Based Approach (1992)Arbitrage With Holding Costs:…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Index Options: The Early Evidence (1985)Index Options: The Early Evid…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …Put-Call Parity and Market Efficiency (1979)Put-Call Parity and Market Ef…Transactions costs and the relationship between put and call prices (1974)Transactions costs and the re…THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES: COMMENT (1973)THE RELATIONSHIP BETWEEN PUT …THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)THE RELATIONSHIP BETWEEN PUT …Common deviation and regime-dependent dynamics in the index derivatives markets (2015)Common deviation and regime-d…Nonlinearities in CDS-Bond Basis (2013)Nonlinearities in CDS-Bond Ba…Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity: Evidence from the CAC 40 Index (2011)Direct and Indirect Effects o…Continuous Auctions and Insider Trading (1985)Generalized impulse response analysis in linear multivariate models (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)The Empirical Analysis of Liquidity (2014)Toxic Arbitrage (2016)Exchange-Traded Funds (2017)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Survival of Noise Traders in Financial Markets (1991)Speculation Duopoly with Agreement to Disagree: Can Overconfidence Survive the Market Test? (1997)A simple framework for analysing bull and bear markets (2002)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The General Theory of Employment, Interest and Money. (1936)Anomalies and Market Efficiency (2002)Chapter 15 Anomalies and market efficiency (2003)Learning by Trading (2009)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Theory of Rational Option Pricing (1973)The Cross-Section of Expected Stock Returns (1992)Theory of rational option pricing (2005)Investor Sentiment and Option Prices (2007)Cross-section of option returns and volatility☆ (2009)Volatility Spreads and Expected Stock Returns (2009)Does the Stock Market Overreact? (1985)Common risk factors in the returns on stocks and bonds (1993)Securities lending, shorting, and pricing (2002)A Consumption‐Based Explanation of Expected Stock Returns (2006)Deviations from Put-Call Parity and Stock Return Predictability (2010)Portfolio Performance Manipulation and Manipulation-proof Performance MeasuresThe Limits of Arbitrage (1995)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Do hedge funds deliver alpha? A Bayesian and bootstrap analysis☆ (2007)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)A SURVEY OF SOME NEW RESULTS IN FINANCIAL OPTION PRICING THEORY (1976)Negotiating a Market, Performing Theory: The Historical Sociology of a Financial Derivatives Exchange (2001)Options and Bubbles (2006)
this work references cited by second hop

References

  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 2001Characteristics of Risk and Return in Risk Arbitrage765 cited
  • 2003Can the Market Add and Subtract? Mispricing in Tech Stock Carve‐outs660 cited
  • 1993Smart Money, Noise Trading and Stock Price Behaviour589 cited
  • 2002Synchronization risk and delayed arbitrage551 cited
  • 2004Limited arbitrage and short sales restrictions: evidence from the options markets435 cited
  • 1969THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES377 cited
  • 2007Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis191 cited
  • 1995Daily and Intradaily Tests of European Put-Call Parity165 cited
  • 1979Put-Call Parity and Market Efficiency147 cited
  • 1973THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES: COMMENT110 cited
  • 1992Arbitrage With Holding Costs: A Utility-Based Approach107 cited
  • 1985Index Options: The Early Evidence103 cited

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1974
Transactions costs and the relationship between put and call prices
98 cited

Cited by

  • 2015Common deviation and regime-dependent dynamics in the index derivatives markets35 cited
  • 2013Nonlinearities in CDS-Bond Basis32 cited
  • 2011Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity: Evidence from the CAC 40 Index23 cited