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Automatic system of detecting informed trading activities in European-style options

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Title: Automatic system of detecting informed trading activities in European-style options

Authors: Moshenets M. K., Kritski O. L.

Journal: ARPN Journal of Engineering and Applied Sciences

HEC Recognition History
Category From To
Y 2023-07-01 2024-09-30
Y 2022-07-01 2023-06-30
Y 2021-07-01 2022-06-30
X 2020-07-01 2021-06-30

Publisher: Khyber Medical College, Peshawar

Country: Pakistan

Year: 2016

Volume: 11

Issue: 9

Language: English

Categories
Options Trading (2) Finance (9883) Informed Trading (1) Detection Systems (2) Algorithmic Trading (2)

Abstract

We propose a computer-based system of detecting the informed trader activities in European-style options and their underlying asset. The model (9) with moving average component was written. Being added to it ARMA-process for log-price differences of underlying asset, the generalized model is written as Vector ARMA, stable at . We also proposed a mathematical criterion of informed trader activity presence which is a corner stone of automatic detecting system constructed.

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