Order aggressiveness of option market

Evidence from the 2008 credit crisis

Ming Yan William Cheung, Conrad L. Cheng

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

This paper analyzes the order aggressiveness and order submission strategies in the Chicago Board Option Exchange (CBOE) during the 2008 credit crisis. Using an ordered probit analysis with a sample of 300 million observations, we find that the investors are aggressive when (i) longer the order processing time, and (ii) the narrower the spread.

Original languageEnglish
Title of host publication2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - Proceedings
Pages380-384
Number of pages5
DOIs
Publication statusPublished - 2012
Externally publishedYes
Event2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - New York City, NY, United States
Duration: 2012 Mar 292012 Mar 30

Other

Other2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012
CountryUnited States
CityNew York City, NY
Period12/3/2912/3/30

Fingerprint

Processing
Investors
Probit analysis
Options markets
Exchange option
Order processing
Ordered probit
Credit crisis

ASJC Scopus subject areas

  • Artificial Intelligence
  • Finance

Cite this

Cheung, M. Y. W., & Cheng, C. L. (2012). Order aggressiveness of option market: Evidence from the 2008 credit crisis. In 2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - Proceedings (pp. 380-384). [6327817] https://doi.org/10.1109/CIFEr.2012.6327817

Order aggressiveness of option market : Evidence from the 2008 credit crisis. / Cheung, Ming Yan William; Cheng, Conrad L.

2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - Proceedings. 2012. p. 380-384 6327817.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Cheung, MYW & Cheng, CL 2012, Order aggressiveness of option market: Evidence from the 2008 credit crisis. in 2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - Proceedings., 6327817, pp. 380-384, 2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012, New York City, NY, United States, 12/3/29. https://doi.org/10.1109/CIFEr.2012.6327817
Cheung MYW, Cheng CL. Order aggressiveness of option market: Evidence from the 2008 credit crisis. In 2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - Proceedings. 2012. p. 380-384. 6327817 https://doi.org/10.1109/CIFEr.2012.6327817
Cheung, Ming Yan William ; Cheng, Conrad L. / Order aggressiveness of option market : Evidence from the 2008 credit crisis. 2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - Proceedings. 2012. pp. 380-384
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