系统噪音：股票期权市场的微观波动

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英文标题：
《Systematic Noise: Micro-movements in Equity Options Markets》
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作者：
Adam Wu
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最新提交年份：
2017
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英文摘要：
  Equity options are known to be notoriously difficult to price accurately, and even with the development of established mathematical models there are many assumptions that must be made about the underlying processes driving market movements. As such, the theoretical prices outputted by these models are often slightly different from the realized or actual market price. The choice of model traders use can create many different valuations on the same asset, which may lead to a form of systematic micro-movement or noise. The analysis in this paper demonstrates that approximately 1.7%-4.5% of market volume for options written on the SPY ETF within the last two years could potentially be due to systematic noise.
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中文摘要：
众所周知，股票期权很难准确定价，即使建立了数学模型，也必须对驱动市场运动的基本过程做出许多假设。因此，这些模型输出的理论价格通常与实际市场价格略有不同。交易员使用的模型选择可能会对同一资产产生许多不同的估值，这可能会导致一种形式的系统性微观运动或噪音。本文的分析表明，过去两年内，SPY ETF期权市场交易量的约1.7%~4.5%可能是由于系统噪音造成的。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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关键词：股票期权 期权市场 Quantitative Mathematical QUANTITATIV