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

William M. 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.

本文言語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
出版ステータスPublished - 2012 11 27
外部発表はい
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

出版物シリーズ

名前2012 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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