Differential information in option volume and stock volume

Volume, volatility and information linkages in the stock and option markets

a r t i c l e i n f o This paper examines the relationship between option trading activity and stock market volatility. Although the option market is uniquely suited for trading on volatility information, there is little analysis on how trading activity in this market is linked to stock price volatility. The bulk of the discussion tends to focus on whether trading activity in the stock market i...

Ambiguous Information and Trading Volume in stock market

This paper studies the information transmission and the effect of ambiguous information and transaction cost on trading volume. We consider a market with risk-averse informed and uninformed investors with CARA utility function and the supply of the risky asset is random. In this model, all investors have ambiguous beliefs about the probability distribution of the risky asset payoff before the s...

Trading Volume and Information Revelation in Stock Markets

I consider a market microstructure model in which the rates of public and private information arrival are probabilistic. The latter depends on the availability of private information that is stochastically changing over time. In equilibrium, traders estimate the availability of private information using past periods’ trading volume and use this information to adjust their strategies. The time-s...

Members Information Pack Volume 7 Issue 2

Twitter volume spikes and stock options pricing

The stock market is a popular topic in Twitter. The number of tweets concerning a stock varies over days, and sometimes exhibits a significant spike. In this paper, we investigate the relationship between Twitter volume spikes and stock options pricing. We start with the underlying assumption of the Black–Scholes model, the most widely used model for stock options pricing, and investigate when ...