Markus UlzeEinflussfaktoren auf Optionspreise im Kontext von Hochfrequenzdaten
Modell-, marktstruktur- und informationsgetriebene Erkenntnisse
Finanzmanagement, volume 144
Hamburg 2023, 242 pages
ISBN 978-3-339-13284-0 (print) |ISBN 978-3-339-13285-7 (eBook)
About this book deutschenglish
High-frequency trading (HFT) has changed the way securities are traded. With events such as the flash crash in 2010 and speeds in the nanosecond range, interest in high-frequency trading is substantial.
Therefore, it is essential for academics to understand how price impact has evolved due to HFT and whether previous theories and approaches still hold in this new world.
The reader is given basic knowledge of the history of high-frequency trading - including regulatory aspects - a summary of possible high-frequency strategies as well as a literature review of the current academic research. Furthermore, sophisticated quantitative analyses on the influence of high-frequency trading in the barely considered options market are carried out. Thus, knowledge about (option pricing) models, market microstructure as well as option price discovery within a high-frequency context is gained.
The analysis shows that also high-frequency trading is positively related to the market quality in the field of derivatives. Furthermore, robust stochastic processes have a clear advantage especially in the practical context. Prices jumping at sub-second intervals raise fears of market manipulation. However, this can be attributed to positive aspects such as an adjustment of prices based on new information. Finally, the author argues that options play an important role in price discovery in the overall market. It is shown that the options market is heterogeneous, and not every option series has the same information content.
The research on high-frequency markets is and remains an exciting field, which will become more and more important in the future, since HFT has a fundamentally positive effect on market quality and efficiency.
Keywords
Empirische KapitalmarktforschungFinanzwissenschaftHochfrequenzhandelMarktmikrostrukturOptionsmarktOptionspreismodellePreisfindungsprozessePrice DiscoveryIhr Werk im Verlag Dr. Kovač
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