Abstract

http://ssrn.com/abstract=1522157
 
 

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Detecting Abnormal Trading Activities in Option Markets


Marc Chesney


University of Zurich - Swiss Banking Institute (ISB); Swiss Finance Institute

Remo Crameri


University of Zurich - Swiss Banking Institute (ISB)

Loriano Mancini


Ecole Polytechnique Fédérale de Lausanne; Swiss Finance Institute

January 22, 2015

Swiss Finance Institute Research Paper No. 11-42

Abstract:     
We develop an econometric method to detect "abnormal trades" in option markets, i.e., trades which are not driven by liquidity motives. Abnormal trades are characterized by unusually large increments in open interest, trading volume, and option returns, and are not used for option hedging purposes. We use a multiple hypothesis testing technique to control for false discoveries in abnormal trades. We apply the method to 9.6 million of daily option prices.

Number of Pages in PDF File: 36

Keywords: Options Trades, Open Interest, False Discovery Rate, Massive dataset

JEL Classification: G12, G13, G17


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Date posted: January 13, 2010 ; Last revised: January 23, 2015

Suggested Citation

Chesney, Marc and Crameri, Remo and Mancini, Loriano, Detecting Abnormal Trading Activities in Option Markets (January 22, 2015). Swiss Finance Institute Research Paper No. 11-42. Available at SSRN: http://ssrn.com/abstract=1522157 or http://dx.doi.org/10.2139/ssrn.1522157

Contact Information

Marc Chesney
University of Zurich - Swiss Banking Institute (ISB) ( email )
Plattenstrasse 14
CH-8032 Zurich, Zurich 8032
Switzerland
Swiss Finance Institute ( email )
c/o University of Geneve
40, Bd du Pont-d'Arve
1211 Geneva, CH-6900
Switzerland
Remo Crameri (Contact Author)
University of Zurich - Swiss Banking Institute (ISB) ( email )
Plattenstrasse 14
CH-8032 Zurich, Zurich 8032
Switzerland
+41 44 634 45 83 (Phone)
Loriano Mancini
Ecole Polytechnique Fédérale de Lausanne ( email )
Quartier UNIL-Dorigny
Bâtiment Extranef
1015 Lausanne, CH-1015
Switzerland
HOME PAGE: http://sfi.epfl.ch/mancini.html
Swiss Finance Institute ( email )
c/o University of Geneve
40, Bd du Pont-d'Arve
1211 Geneva, CH-6900
Switzerland
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