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A market-induced mechanism for stock pinning

Citations

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Cited by:

  1. Kristoffer Glover, 2019. "With or without replacement? Sampling uncertainty in Shepp's urn scheme," Papers 1911.11971, arXiv.org, revised Mar 2022.
  2. Mohammed Salek & Damien Challet & Ioane Muni Toke, 2023. "Price impact in equity auctions: zero, then linear," Working Papers hal-03938660, HAL.
  3. John Armstrong & Claudio Bellani & Damiano Brigo & Thomas Cass, 2021. "Option pricing models without probability: a rough paths approach," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1494-1521, October.
  4. Rama Cont & Lakshithe Wagalath, 2016. "Institutional Investors And The Dependence Structure Of Asset Returns," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-37, March.
  5. Marc Jeannin & Giulia Iori & David Samuel, 2008. "Modeling stock pinning," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 823-831.
  6. Glover, Kristoffer, 2022. "Optimally stopping a Brownian bridge with an unknown pinning time: A Bayesian approach," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 919-937.
  7. repec:cty:dpaper:10.1080/14697680701881763 is not listed on IDEAS
  8. Anderegg, Benjamin & Ulmann, Florian & Sornette, Didier, 2022. "The impact of option hedging on the spot market volatility," Journal of International Money and Finance, Elsevier, vol. 124(C).
  9. Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 2020. "Expiration day effects on European trading volumes," Empirical Economics, Springer, vol. 58(4), pages 1603-1638, April.
  10. Christoph Kuhn & Budhi Arta Surya & Bjorn Ulbricht, 2014. "Optimal Selling Time of a Stock under Capital Gains Taxes," Papers 1501.00026, arXiv.org.
  11. Yossi Shvimer & Avi Herbon, 2020. "Tradability, closeness to market prices, and expected profit: their measurement for a binomial model of options pricing in a heterogeneous market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(3), pages 737-762, July.
  12. repec:cty:dpaper:1447 is not listed on IDEAS
  13. Sensoy, Ahmet & Omole, John, 2022. "Information content of order imbalance in the index options market," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 418-432.
  14. Rama Cont, 2023. "In memoriam: Marco Avellaneda (1955–2022)," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 3-15, January.
  15. Xiaoyan Ni, Sophie & Pearson, Neil D. & Poteshman, Allen M., 2005. "Stock price clustering on option expiration dates," Journal of Financial Economics, Elsevier, vol. 78(1), pages 49-87, October.
  16. Lakshithe Wagalath, 2016. "Feedback effects and endogenous risk in financial markets," Finance, Presses universitaires de Grenoble, vol. 37(2), pages 39-74.
  17. Baurdoux, Erik J. & Chen, Nan & Surya, Budhi & Yamazak, Kazutoshi, 2015. "Optimal double stopping of a Brownian bridge," LSE Research Online Documents on Economics 61618, London School of Economics and Political Science, LSE Library.
  18. Ekström, Erik & Vaicenavicius, Juozas, 2020. "Optimal stopping of a Brownian bridge with an unknown pinning point," Stochastic Processes and their Applications, Elsevier, vol. 130(2), pages 806-823.
  19. Golez, Benjamin & Jackwerth, Jens Carsten, 2012. "Pinning in the S&P 500 futures," Journal of Financial Economics, Elsevier, vol. 106(3), pages 566-585.
  20. Görgens, Maik & Thulin, Måns, 2014. "Bias-correction of the maximum likelihood estimator for the α-Brownian bridge," Statistics & Probability Letters, Elsevier, vol. 93(C), pages 78-86.
  21. Lakshithe Wagalath, 2014. "Modelling the rebalancing slippage of leveraged exchange-traded funds," Quantitative Finance, Taylor & Francis Journals, vol. 14(9), pages 1503-1511, September.
  22. Suhas Nayak, 2007. "An Equilibrium-Based Model Of Stock-Pinning," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(03), pages 535-555.
  23. Stivers, Chris & Sun, Licheng, 2013. "Returns and option activity over the option-expiration week for S&P 100 stocks," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4226-4240.
  24. Bernardo D’Auria & Alessandro Ferriero, 2020. "A Class of Itô Diffusions with Known Terminal Value and Specified Optimal Barrier," Mathematics, MDPI, vol. 8(1), pages 1-14, January.
  25. Yuji Sakurai & Tetsuo Kurosaki, 2020. "A simulation analysis of systemic counterparty risk in over-the-counter derivatives markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 243-281, January.
  26. Erik J. Baurdoux & Nan Chen & Budhi A. Surya & Kazutoshi Yamazaki, 2014. "Optimal double stopping of a Brownian bridge," Papers 1409.2226, arXiv.org, revised Dec 2014.
  27. Brøgger, Søren Bundgaard, 2022. "Dynamic risk management and asset comovement," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 60-77.
  28. Tiziano De Angelis & Alessandro Milazzo, 2019. "Optimal stopping for the exponential of a Brownian bridge," Papers 1904.00075, arXiv.org, revised Nov 2019.
  29. Bernardo D’Auria & Eduardo García-Portugués & Abel Guada, 2020. "Discounted Optimal Stopping of a Brownian Bridge, with Application to American Options under Pinning," Mathematics, MDPI, vol. 8(7), pages 1-27, July.
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