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  • APAD 자료실

  • 제목 Session 1 - 2
    작성자 관리자 조회수 468 작성일 2016.10.20
    Session 1:

    Retrieving Aggregate Information from Option Volume
    William T. Lin (Tamkang Univ.)
    Shih-Chuan Tsai (National Taiwan Normal Univ.)
    Zhenlong Zheng (Xiamen Univ.)
    Shuai Qiao (Xiamen Univ.)

    Equity Option Implied Probability of Default and Equity Recovery Rate
    Bo Young Chang (Bank of Canada)
    Greg Orosi (American Univ. of Sharjah)

    Truncation Error Stabilization for Model-free Implied Moment Estimator
    Geul Lee (Univ. of New South Wales)
    Li Yang (Univ. of New South Wales)

    Effect of Liquidity on the Implied Volatility Surface in Interest Options Markets
    Kwanho Kim (Chungbuk National Univ.)

    Session 2:

    The Impact of Latency Sensitive Trading on High Frequency Arbitrage Opportunities
    Alex Frino (Macquarie Univ.)
    Vito Mollica (Macquarie Univ.)
    Robert I. Webb (Univ. of Virginia)
    Shunquan Zhang (Macquarie Univ.)

    A Theroy of High Frequency Market Making in Fragmented Markets
    Soomin Tomy Lee (Univ. of Toronto)

    Overnight Strategy of Foreign Day-traders and Their Performance: An Empirical Study from the Korea Stock Exchange
    Hye-hyun Park (Korea Uiv.)
    Kyung Suh Park (Korea Uiv.)
    첨부파일 첨부파일 Session1.zip(1404057 Byte)
    첨부파일 Session2_1_APAD06.pdf(4194654 Byte)
    첨부파일 Session2_2_APAD48.pdf(1311197 Byte)
    첨부파일 Session2_3_APAD08.pdf(1392775 Byte)

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