| dc.contributor.author | Deville, Laurent | |
| dc.contributor.author | Riva, Fabrice | |
| dc.date.accessioned | 2019-09-04T09:47:59Z | |
| dc.date.available | 2019-09-04T09:47:59Z | |
| dc.date.issued | 2007 | |
| dc.identifier.uri | https://basepub.dauphine.fr/handle/123456789/19674 | |
| dc.language.iso | en | en |
| dc.subject | distribution | en |
| dc.subject | microstructure Derivatives | en |
| dc.subject | market | en |
| dc.subject.ddc | 332 | en |
| dc.subject.classificationjel | L.L1.L11 | en |
| dc.subject.classificationjel | D.D5.D53 | en |
| dc.title | Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach | en |
| dc.type | Article accepté pour publication ou publié | |
| dc.description.abstracten | This paper examines the determinants of the time it takes for an index options market toreturn to no arbitrage values after put-call parity deviations, using intraday transactions datafrom the French index options market. We employ survival analysis to characterize howlimits to arbitrage influence the expected duration of arbitrage deviations. After controllingfor conventional limits to arbitrage, we show that liquidity-linked variables are associatedwith a faster reversion of arbitrage profits. The introduction of an ETF also affects thesurvival rates of deviations but this impact essentially stems from the reduction in the levelof potential arbitrage profits. | en |
| dc.relation.isversionofjnlname | Review of Finance / European Finance Review | |
| dc.relation.isversionofjnlvol | 11 | en |
| dc.relation.isversionofjnlissue | 3 | en |
| dc.relation.isversionofjnldate | 2007-08 | |
| dc.relation.isversionofjnlpages | 497-525 | en |
| dc.relation.isversionofdoi | 10.1093/rof/rfm021 | en |
| dc.subject.ddclabel | Bourse, Marchés financiers | en |
| dc.relation.forthcoming | non | en |
| dc.relation.forthcomingprint | non | en |
| dc.description.ssrncandidate | non | en |
| dc.description.halcandidate | oui | en |
| dc.description.readership | recherche | en |
| dc.description.audience | International | en |
| dc.relation.Isversionofjnlpeerreviewed | non | en |
| dc.relation.Isversionofjnlpeerreviewed | non | en |
| dc.date.updated | 2019-08-29T12:24:41Z | |
| hal.person.labIds | 15896 | |
| hal.person.labIds | 1032 | |
| hal.faultCode | {"duplicate-entry":{"halshs-00673244":{"doi":"1.0"}}} | |
