欧式期权交易中知情交易的检测
Detecting informed activities in European-style option tradings
摘要：
我们提出了一个数学程序，发现知情交易者的活动，在欧式期权和他们的标的资产。编写了具有移动平均分量的回归模型（9）。在此基础上，加入标的资产对数价差的ARMA过程，将广义模型写成向量ARMA，在abs（ro）<1处稳定。我们还构建了一个知情交易者活动的存在标准。我们使用TAIFEX期权价格调查这种活动是否在市场上。我们发现，主要市场参与者对定价过程没有显著影响。
英文摘要：
We propose a mathematical procedure for finding informed trader activities in European-style options and their underlying asset. The regression model (9) with moving average component was written. Being added to it ARMA-process for log-price differences of underlying asset, the generalized model is written as Vector ARMA, stable at abs(ro)<1. We also constructed an informed trader activity presence criterion. Using TAIFEX option prices we investigate whether such activity was at the market. We found that there is no significant influence for pricing process made by major market players.
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