Showing q-fin.TRShow all
2 papers · 1 filter
q-fin.TR2014
Detecting informed activities in European-style option tradings
Lyudmila A. Glik, Oleg L. Kritski
We propose a mathematical procedure for finding informed trader activities in European-style options and their underlying asset. The regression model (9) with moving average compon…
q-fin.TR2014
Finding informed traders in futures and their inderlying assets in intraday trading
Lyudmila A. Glik, Oleg L. Kritski
We propose a mathematical procedure for finding informed traders in ultra-high frequency trading. We wrote it as Vector ARMA and found condition of its stationarity. For the price…