第11回デリバティブ部会セミナー

投稿日: 2014/03/17 15:27:15

日時：2014年4月18日(金曜) 19:00- 20:00

場所：東京大学本郷キャンパス  （小島ホール２階コンファレンスルーム)

講師：Marc Chesney 氏 (University of Zurich)

講演タイトル Detecting Informed Trading Activities in the Options Markets

講演概要：We develop statistical methods to detect informed trading in options markets. We apply

these methods to 31 companies from various sectors over 14 years analyzing approximately 9.6

million option prices. We find that option informed trading tends to cluster prior to certain

events, takes place more in put than call options, generates easily large gains exceeding millions, is not contemporaneously reflected in the underlying stock price, involves around the money options during calm times and out-of-the-money options during turbulent times. These findings are not driven by false discoveries in informed trades which are controlled using multiple

hypothesis testing techniques.

本セミナーは東京大学金融教育研究センターとの共催です．