Clustering of Trading Activity in the DAX Index Options Market. / Koch, A K; Lazarov, Z.

Egham, 2005. (Financial Economics).

Research output: Working paper

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Clustering of Trading Activity in the DAX Index Options Market. / Koch, A K; Lazarov, Z.

Egham, 2005. (Financial Economics).

Research output: Working paper

Harvard

APA

Vancouver

Koch AK, Lazarov Z. Clustering of Trading Activity in the DAX Index Options Market. Egham. 2005 Feb 27. (Financial Economics).

Author

Koch, A K ; Lazarov, Z. / Clustering of Trading Activity in the DAX Index Options Market. Egham, 2005. (Financial Economics).

BibTeX

@techreport{2c0bb52ad77548fba94a7ff0bae6cf99,
title = "Clustering of Trading Activity in the DAX Index Options Market",
abstract = "A common contention is that more liquid financial contracts draw trading volume from contracts for which they are close substitutes. This paper tests this hypothesis by analyzing clustering of trading activity in DAX index options. Contracts with identical maturities cluster around particular classes of strike prices. For example, options with strikes ending on 50 are less traded then aoptions with strikes ending on 00. The degree of substitution between options with neighboring strikes depends on the strike price grid and options' characteristics. our empirical analysis finds a positive relation between clustering and substitutiability between option contracts, providing support to the initial hypothesis.",
keywords = "Clustering, Incidental Truncation, Index Options, Volume",
author = "Koch, {A K} and Z Lazarov",
year = "2005",
month = feb,
day = "27",
language = "English",
series = "Financial Economics",
type = "WorkingPaper",

}

RIS

TY - UNPB

T1 - Clustering of Trading Activity in the DAX Index Options Market

AU - Koch, A K

AU - Lazarov, Z

PY - 2005/2/27

Y1 - 2005/2/27

N2 - A common contention is that more liquid financial contracts draw trading volume from contracts for which they are close substitutes. This paper tests this hypothesis by analyzing clustering of trading activity in DAX index options. Contracts with identical maturities cluster around particular classes of strike prices. For example, options with strikes ending on 50 are less traded then aoptions with strikes ending on 00. The degree of substitution between options with neighboring strikes depends on the strike price grid and options' characteristics. our empirical analysis finds a positive relation between clustering and substitutiability between option contracts, providing support to the initial hypothesis.

AB - A common contention is that more liquid financial contracts draw trading volume from contracts for which they are close substitutes. This paper tests this hypothesis by analyzing clustering of trading activity in DAX index options. Contracts with identical maturities cluster around particular classes of strike prices. For example, options with strikes ending on 50 are less traded then aoptions with strikes ending on 00. The degree of substitution between options with neighboring strikes depends on the strike price grid and options' characteristics. our empirical analysis finds a positive relation between clustering and substitutiability between option contracts, providing support to the initial hypothesis.

KW - Clustering

KW - Incidental Truncation

KW - Index Options

KW - Volume

M3 - Working paper

T3 - Financial Economics

BT - Clustering of Trading Activity in the DAX Index Options Market

CY - Egham

ER -