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High-frequency trading in the stock market and the costs of option market making

Nimalendran, Mahendrarajah; Rzayev, Khaladdin; Sagade, … - 2021

Persistent link: https://www.econbiz.de/10012818340

High-frequency trading in the stock market and the costs of option market making

Nimalendran, Mahendrarajah; Rzayev, Khaladdin; Sagade, … - 2021

Persistent link: https://www.econbiz.de/10012800831

High-frequency trading in the stock market and the costs of options market making

Nimalendran, Mahendrarajah; Rzayev, Khaladdin; Sagade, … - In: Journal of financial economics 159 (2024), pp. 1-15

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Options and the bubble

Battalio, Robert H.; Schultz, Paul H. - In: The journal of finance : the journal of the American … 61 (2006) 5, pp. 2071-2102

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Do (should) brokers route limit orders to options exchanges that purchase order flow?

Battalio, Robert H.; Griffith, Todd; Van Ness, Robert A. - In: Journal of financial and quantitative analysis : JFQA 56 (2021) 1, pp. 183-211

Persistent link: https://www.econbiz.de/10012437375

Option bid-ask spread and scalping risk : evidence from a covered warrants market

Petrella, Giovanni - In: The journal of futures markets 26 (2006) 9, pp. 843-867

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Numerical pricing of discrete barrier and lookback options via Laplace transforms

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Pricing path-dependent options with jump risk via Laplace transforms

Kou, Steven; Petrella, Giovanni; Wang, Hui - In: The Kyoto economic review 74 (2005) 1, pp. 1-23

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Do firms get what they pay for? : a second thought on over-allotment option in IPOs

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High-Frequency Trading (HFT) in the Stock Market and the Costs of Option Market Making

Nimalendran, Mahendrarajah; Rzayev, Khaladdin; Sagade, … - 2021

Based on granular NASDAQ HFT data, we find that HFT activity in the stock market increases market-making costs in the options markets via two channels: the hedging channel and the arbitrage channel. HFTs' liquidity-demanding orders increase the hedging costs due to a higher stock bid-ask spread...

Persistent link: https://www.econbiz.de/10013240170