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Keywords: ACD model
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Journal Articles
A Market Microstructure Analysis of the KOSPI200 Stock Index Options Market: Investor‘s Strategic Behavior
Open Access
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2003) 11 (1): 25–55.
Published: 31 May 2003
... volatility. This may result from the hedging behavior of large traders. This also suggests that the informed traders utilize their informational advantage gradually. (2) The effect of the duration of previous intervals on the expected duration of current intervals is persistent. (3) In the modified ACD model...
