This paper provides a guide to high-frequency option trade and quote data disseminated by
the Options Price Reporting Authority (OPRA). We present a comprehensive overview of the …

This study sets out to examine the dynamics of price discovery between the S&P 500 index
and its derivative products: the index futures, the index options, the S&P 500 exchange …

Because of the urgency and high stakes involved in their trades, intraday traders are
especially vulnerable to the perils of information overload in today's digital world. This …

This thesis investigates different liquidity measures in the dry bulk FFA market by analyzing
intraday data of quarterly FFA contracts obtained from Braemar Atlantic Securities Limited …

This paper investigates the characteristics of options markets in extended trading hours
(ETH) and documents positive liquidity externality with network effect and information …

This paper analyzes the intraday variation of option bid-ask spreads. We find an L-shaped
spread pattern for options confirming the findings of Chan et al.(1995), a reverse U-shaped …

The purpose of this article is to explore the Shanghai Stock Exchange (SSE) 50 ETF Option's
intraday trading patterns which include return and volatility. We get the SSE 50 ETF option's …

Learning About the Role of Market Micro-Structure from High-Frequency Data on Asian Banks |
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