Option bid-ask spread and scalping risk: evidence from a covered warrants market
Article Abstract:
A simple market microstructure model based on option market making costs, is empirically analyzed. Determinants of option bid-ask spread are captured. The concept of scalping risk and the characteristics of covered warrants, are also discussed.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2006
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Forecasting futures returns in the presence of price limits
Article Abstract:
Futures markets are regulated by the exchanges that impose limits on the magnitude that futures prices can change within a trading day. A Bayesian forecasting model is presented and compared to the performance of a naive estimator.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
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