Zobrazeno 1 - 10
of 20
pro vyhledávání: '"Dmitriy Muravyev"'
Publikováno v:
Management Science.
We examine which categories of option trading volume carry information about future stock prices around corporate news announcements. We predict and find that purchases of options are informative on news days and ahead of unscheduled events but not b
Publikováno v:
Management Science. 67:1758-1778
Do order flows in index derivatives play an informational role? Weekly index put order flow on the International Securities Exchange positively and robustly predicts weekly S&P 500 index returns. This result obtains mainly for net put buying and is s
Publikováno v:
Journal of Financial and Quantitative Analysis. 56:1945-1984
When activist shareholders file Schedule 13D filings, the average stock-price volatility drops by approximately 10%. Prior to filing days, volatility information is reflected in option prices. Using a comprehensive sample of trades by Schedule 13D fi
Autor:
Xuechuan Charles Ni, Dmitriy Muravyev
Publikováno v:
Journal of Financial Economics. 136:219-238
Average delta hedged returns for Standard & Poor's 500 index options are large: −0.7% per day. When we decompose these option returns into intraday and overnight components, average close-to-open returns are −1% per day and open-to-close returns
Autor:
Neil D. Pearson, Dmitriy Muravyev
Publikováno v:
The Review of Financial Studies. 33:4973-5014
Conventionally measured bid-ask spreads of liquid equity options are large. This presents a puzzle, which we resolve. At high frequency, changes in option prices can be predicted using recent changes in stock prices. A large proportion of option trad
Publikováno v:
SSRN Electronic Journal.
Autor:
Oleg Bondarenko, Dmitriy Muravyev
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
SSRN Electronic Journal.
We train a machine-learning method on a class of informed trades to develop a new measure of informed trading, the Informed Trading Intensity ("ITI"). We show that the method works well because it captures nonlinearities and interactions in the relat
Autor:
Oleg Bondarenko, Dmitriy Muravyev
Publikováno v:
SSRN Electronic Journal.
We study how the market return depends on the time of the day using E-mini S&P 500 futures actively traded around the clock. Strikingly, 4 hours around European open account for the entire average market return. This period’s returns have a 1.6 Sha
Publikováno v:
SSRN Electronic Journal.
Closing auctions set daily closing prices for U.S. stocks and account for a striking 7.5% of daily volume in 2018, up from 3.1% in 2010. We study the causes and implications of this major trend. Difference-in-difference analyses suggest that closing