This study examines the herding behavior of IOC (immediate-or-cancel) orders in the Korean index futures market. We investigate the motivation behind IOC herding by computing the change in order flow imbalance (OFI), and conducting the probit analysis on the relationship between the OFI and IOC...

We introduce a Credit Rating Agency (CRA) to a consumption-based model to explain the time-series variation of credit spreads on CDO tranches. Practising Bayesian persuasion, the CRA controls the type-II error of ratings to maximize the proportion of investment-grade rated firms while attempting...

It has been almost a decade since the introduction derivatives instruments like Options and Futures trading in Indian bourses and almost two decades since the introduction and implementation of liberalization, privatization and globalization policies in Indian economy. This has resulted in sea...

Over 90% of exchange trading on crypto options has always been on the Deribit platform. This centralised crypto exchange only lists inverse products because they do not accept fiat currency. Currently, fiat-based traders can only make deposits in bitcoin, although they can withdraw both bitcoin...

After more than a decade of derivatives trading in Indian bourses, our markets have experienced a sea change in activity, behavior and trade in different instruments and products available. Here in this paper, we have examined and compared which market among cash and futures reacts to the flow...

It has been almost a decade since the introduction derivatives instruments like Options and Futures trading in Indian bourses and almost two decades since the introduction and implementation of liberalization, privatization and globalization policies in Indian economy. This has resulted in...

The increased inclination of commercial banks to engage in the derivative activity is one of the notable shifts in today's financial markets. Commercial banks are being forced to offer cutting-edge products and services in an effort to boost profitability as a result of modern financial...

This study investigates the institutional investors who hold nonzero synchronous positions in both derivative and underlying stocks to increase contract payoffs. We show that the potential manipulators settle or offset their TAIEX futures and options and simultaneously trade the constituent...