The role of leveraged ETFs and option market imbalances on end-of-day price dynamics
Year of publication: |
September, 2021
|
---|---|
Authors: | Barbon, Andrea ; Beckmeyer, Heiner ; Buraschi, Andrea ; Mörke, Mathis |
Publisher: |
St. Gallen : School of Finance, University of St. Gallen |
Subject: | Intraday Momentum | Cross-Sectional Momentum | Gamma Exposure | Option Market Maker | Leveraged ETF | Indexderivat | Index derivative | Kapitaleinkommen | Capital income | Volatilität | Volatility | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory |
Extent: | 1 Online-Ressource (circa 77 Seiten) Illustrationen |
---|---|
Series: | Working papers on finance. - Sankt Gallen, ZDB-ID 2252526-9. - Vol. no. 2021, 14 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | 10.2139/ssrn.3925725 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Barbon, Andrea, (2022)
-
Asymmetry in option implied volatility and yield : Evidence from China's ETF options market1,2
Chen, Xiaoyijing, (2024)
-
Does the listing of optionsimprove forecasting power? : evidence from the Shanghai Stock Exchange
Guo, Biao, (2022)
- More ...
-
Barbon, Andrea, (2022)
-
The Role of Leveraged ETFs and Option Market Imbalances on End-of-Day Price Dynamics
Barbon, Andrea, (2021)
-
Option return predictability with machine learning and big data
Bali, Turan G., (2021)
- More ...