TY - GEN
T1 - Order aggressiveness of option market
T2 - 2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012
AU - Cheung, William M.
AU - Cheng, Conrad L.
PY - 2012
Y1 - 2012
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84869804877&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84869804877&partnerID=8YFLogxK
U2 - 10.1109/CIFEr.2012.6327817
DO - 10.1109/CIFEr.2012.6327817
M3 - Conference contribution
AN - SCOPUS:84869804877
SN - 9781467318037
T3 - 2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - Proceedings
SP - 380
EP - 384
BT - 2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - Proceedings
Y2 - 29 March 2012 through 30 March 2012
ER -