Order aggressiveness of option market: Evidence from the 2008 credit crisis

William M. 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 Nov 27
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

Publication series

Name2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - Proceedings

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

ASJC Scopus subject areas

  • Artificial Intelligence
  • Finance

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