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

Ming Yan William Cheung, Conrad L. Cheng

研究成果: Conference contribution

抄録

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.

元の言語English
ホスト出版物のタイトル2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - Proceedings
ページ380-384
ページ数5
DOI
出版物ステータスPublished - 2012
外部発表Yes
イベント2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - New York City, NY, United States
継続期間: 2012 3 292012 3 30

Other

Other2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012
United States
New York City, NY
期間12/3/2912/3/30

Fingerprint

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

ASJC Scopus subject areas

  • Artificial Intelligence
  • Finance

これを引用

Cheung, M. Y. W., & Cheng, C. L. (2012). 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 (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.

研究成果: Conference contribution

Cheung, MYW & Cheng, CL 2012, 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., 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. : 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
@inproceedings{07512996d51d4c63a39a1b2ff3b7d674,
title = "Order aggressiveness of option market: Evidence from the 2008 credit crisis",
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.",
author = "Cheung, {Ming Yan William} and Cheng, {Conrad L.}",
year = "2012",
doi = "10.1109/CIFEr.2012.6327817",
language = "English",
isbn = "9781467318037",
pages = "380--384",
booktitle = "2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - Proceedings",

}

TY - GEN

T1 - Order aggressiveness of option market

T2 - Evidence from the 2008 credit crisis

AU - Cheung, Ming Yan William

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

SP - 380

EP - 384

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

ER -