以選擇權理論估計訊息交易機率

Measuring the Probability of Informed Trading by Option Approach

江孟穎(Meng-Ying Chiang)

指導教授 ： 段昌文

淡江大學/商學院/財務金融學系碩士班/碩士(2008年)

https://doi.org/10.6846/TKU.2008.01202

摘要

本篇摘要未授權

關鍵字

逆選擇成本 ； 訊息交易機率 ； Panel Data模型 ； 選擇權

並列摘要

This abstract would not be displayed due to no authorization.

並列關鍵字

Adverse selection cost ； probability of informed trading ； Panel Data model ； Options approach

參考文獻

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Anderson, T. and T. Bollerslev, 1998, “Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts.” International Economic Review 39, 885-905.

Anshuman, V. R. and A. Kalay, 1998, “Market Making with Discrete Prices.” The Review of Financial Studies 11, 81-109.

Bacidore, J., R. Battalio, and R. Jennings, 2003, “Order Submission Strategies, Liquidity Supply, and Trading in Pennies on the New York Stock Exchange.” Journal of Financial Markets 6, 337-362.

Bagehot, W., 1971, “The Only Game in Town.” Financial Analysis Journal 27, 12-14.