Top Research Papers on Options Trading

Abstract Conventional estimates of the costs of taking liquidity in options markets are large. Nonetheless, options trading volume is high. We resolve this puzzle by showing that options price changes are predictable at high frequency, and many traders time executions by buying (selling) when the option fair value is close to the ask (bid). Effective spreads of traders who time executions are less than 40% of the size of conventional measures, and the overall average effective spread is one-quarter smaller than conventional estimates. Price impact measures are also affected. These findings alt...

Abstract We uncover new return predictability in the cross-section of delta-hedged equity options. Expected returns to writing delta-hedged calls are negatively correlated with stock price, profit margin, and firm profitability, but positively correlated with cash holding, cash flow variance, new shares issuance, total external financing, distress risk, and dispersion of analysts’ forecasts. Our option portfolio strategies have annual Sharpe ratio above two and remain profitable after transaction costs. Their profits can be explained by two option factors, while equity risk factors have no exp...

Abstract In the context of trade protectionism impacting economic and environmental sustainability, a more comprehensive understanding of the impact of trade on carbon emissions is critical to economic and environmental sustainability. Existing literature mainly explores the impact of trade on carbon emissions from the perspective of trade openness, neglecting the perspectives of trade diversification and trade direction. This study aims to fill this gap by investigating the impact of trade openness (measured by trade volume, import, and export), and trade diversification (measured by import d...

It is concluded that management should focus on spatial approaches, adaptation to climate change, and facilitating technological innovation to address externalities and encourage sustainable development of the aquaculture sector.

An overview of the antimicrobial resistance in Achromobacter species is given, highlighting the possible place of new antibiotics in their treatment.

Osteoporosis is a metabolic bone disease that, on a cellular level, results from osteoclastic bone resorption not compensated by osteoblastic bone formation. This causes bones to become weak and fragile, thus increasing the risk of fractures. Traditional pathophysiological concepts of osteoporosis focused on endocrine mechanisms such as estrogen or vitamin D deficiency as well as secondary hyperparathyroidism. However, research over the last decades provided exiting new insights into mechanisms contributing to the onset of osteoporosis, which go far beyond this. Selected mechanisms such as int...

Under climate change policy restrictions, carbon capture utilization and storage (CCUS) is a feasible way for developing countries to meet the energy demand and achieve the goal of carbon dioxide emission reduction at the same time. The common form of carbon dioxide utilization in CCUS is to use carbon dioxide as an oil displacement medium to enhance oil recovery (EOR). However, affected by the global economic downturn and the impact of low oil prices, the future development of CCUS-EOR is full of uncertainty. As a market-oriented policy tool, it is widely recognized that carbon trading mechan...

The increasing motorisation rate worldwide is responsible for the demand of huge quantities of tyres that, after their useful service life, become waste and should be properly managed. Due to the relative low cost of tyres and the complexity related to recycling, worldwide around 41% of the total amount of end-of-life tyres is discarded into landfills or stockpiles without any recovery of the material or of the energy. Moreover, the chemical composition of tyres makes them extremely resistant to degradation phenomena with a potential long-term permanence in the environment. The high energy amo...

A methodology to price options and portfolios of options on a gate-based quantum computer using amplitude estimation, an algorithm which provides a quadratic speedup compared to classical Monte Carlo methods.

The sheer importance of repurposing some of the available antiviral and antimicrobial agents that have long been in use so as to have an effective and expeditious response to this widespread pandemic is highlighted.

Understanding immune evasion strategies of SARS-CoV2 and the resulting delayed massive immune response will result in the identification of biomarkers that predict outcomes as well as phenotype and disease stage specific treatments that will likely include both antiviral and immune modulating agents.

A comprehensive review and discussion of various studies that have been carried out on the toxicity and valorization of cigarette butt waste is provided and the feasibility and sustainability of recycling methods adopted are investigated.

This paper reviews data from different studies that have evaluated the efficacy of different forms of relapsed glioblastoma, and assesses the impact on survival and the selection of patients who may benefit most from these strategies.

The diagnosis of lipedema remains a challenge because of the hetero - geneous presentation of the condition and the current lack of objective measuring instruments to characterize it, so research in this area should focus on the elucidation of the pathophysiology oflipedema and the development of a specific biomarker for it.

Cancer immunotherapy overcomes the issue of specificity which is the major problem in chemotherapy and radiotherapy and the normal cells with no cancer antigens are not affected.

Systemic immunosuppressants and abatacept may provide partial control but require ongoing administration and allogeneic hematopoietic stem cell transplantation offers a possible cure for patients with CTLA-4 insufficiency.

The glass industry is part of the energy-intensive industry posing a major challenge to fulfill the CO2 reduction targets of the Paris Climate Agreement. The segments of the glass industry, e.g., container or flat glass, are quite diverse and attribute to different glass products with different requirements to product quality and various process options. To address the challenge of decarbonizing the glass industry, firstly, an inventory of current glass products, processes and applied technologies in terms of energy efficiency and CO2 emissions is conducted. Secondly, decarbonization options a...

This book discusses the business case for Quantitative Trading, how to identify a Strategy that suits you, and the importance of minimizing Transaction Costs.

This study aims to investigate the decoupling impact of trade on carbon emissions and under what circumstances trade would contribute to decoupling carbon emissions. A combination of Tapio decoupling model and structural threshold model is developed to study and quantify the impact. The empirical study uses panel data for 124 countries around the world from 2000 to 2018. The results show that the main state of the relationship between trade openness, economic growth and carbon emissions was weak decoupling. Moreover, there are two breakpoints in the impact of trade openness on carbon emissions...

Trade policy uncertainty (TPU) has become an important source of economic uncertainty and research. We review the main sources and measures of TPU. We then provide a conceptual framework for modeling TPU and methods for estimating and quantifying its effects. We analyze its role in trade agreements and discuss open questions for future research.

We study the financial implications of the 2018–2019 U.S.-China trade war for global supply chains. Around the dates when higher tariffs are announced, U.S. firms that depend more on exports to and imports from China experience larger declines in market value, with the negative effect spilling over to the affected firms' suppliers and customers through production networks. The trade war effect is mainly concentrated among U.S. firms that sell to Chinese customers with low R&D intensity or outsource to Chinese differentiated input suppliers. We also exploit the within-firm variation in tariff e...

This paper examines the impact of COVID-19 on trading volume in stock markets around the world. We document a large spike in trading volume in 37 international equity markets. The surge in trading volume is found to be associated with the national culture and institutional environment of individual countries. In particular, investors tend to trade more heavily in societies characterized by a higher level of trust and individualism, as well as a lower level of uncertainty avoidance. Investors are also more willing to trade in wealthier nations, as well as those with stronger protection of legal...

This paper investigates how exports respond to trade protection by studying the US-China trade war in 2018. Using monthly customs data in China from January 2017 to May 2019, we find that the launch of the trade war against Chinese exports by the US on average reduces Chinese total exports to the US by 16.47%. Further decomposition shows that the reduction in exports is mostly explained by a decrease in quantity, with prices relatively unchanged. Meanwhile, negative trade shocks cause export diversion to countries that are closer and have larger economies, and exports in R&D-intensive, skilled...

We review the state of knowledge concerning international CO 2 emission transfers associated particularly with trade in energy-intensive goods and concerns about carbon leakage arising from climate policies. The historical increase in aggregate emission transfers from developing to developed countries peaked around 2006 and declined since. Studies find no evidence that climate policies lead to carbon leakage, but this is partly due to shielding of key industrial sectors, which is incompatible with deep decarbonization. Alternative or complementary consumption-based approaches areneeded. Privat...

25% annual PV growth is possible over the next decade

The Florida Marine Research Institute (FMRI) investigated the distribution of scarred seagrass beds in the shallow marine waters of Florida’s coastal counties. Aerial photography was used to locate seagrass scarring. Aerial surveys were then conducted in 1992–1993 to confirm the location of scarred seagrasses. We did not attempt to distinguish among the different specific causes of seagrass scarring. During aerial surveys, observations of scarred seagrasses were recorded on National Oceanic and Atmospheric Administration nautical charts and U.S. Geological Survey quadrangle maps. Scarring inte...

The menopause transition is a disruptive process that can last for over a decade and causes symptoms in a majority of women, so it is important for clinicians to recognize early signs and symptoms of the transition and be prepared to offer treatment to mitigate these symptoms.

Examination of fracture risk, using tools such as FRAX, is recommended in all patients treated with glucocorticoids, preferably around the time of treatment initiation, and treatment options are discussed.

The current understanding of HCC detection methods is reviewed and insights are provided to translate the knowledge into potential biomarkers for detection and diagnosis, prognosis, treatment response, and drug resistance indicators in clinical practice.

The heterogeneity and clinical characteristics of type-2 low asthma are described and current knowledge on the underlying pathobiological mechanisms are summarized, which includes neutrophilic airway inflammation often associated with smoking, obesity and occupational exposures and may be driven by persistent bacterial infections and by activation of a recently described IL-6 pathway.

This work uses a new model to track neutrophil fates and reveals that tissues co-opt neutrophils en route for elimination to induce programs that support their physiological demands, including vascular repair and hematoietic homeostasis.

A systematic review of the epidemiology and risk factors of hyperuricemia highlights common comorbidities and describes an update of epidemiology, pathogenesis, and therapeutic options of hyperURicemia to offer more effective clinical interventions.

Surgical treatment for cartilage injuries in the knee is largely based on the size and location of the cartilage defect, and Preservation of the patient's native cartilage is preferred if an osteochondral fragment can be salvaged.

Avoiding the prescription of non-steroidal anti-inflammatory drugs, angiotensin converting enzyme inhibitors, or ang Elliotensin II type I receptor blockers is advised for COVID-19 patients.

Mechanisms of resistance overall and in different treatment settings are summarized and potential new treatment options targeting specific acquired alterations after osimertinib failure are focused on.

This paper examines whether the efficient market hypothesis (EMH) holds in the Chinese carbon trading pilots by employing the Sequential Panel Selection Method (SPSM) which is combined with the Panel KSS unit root tests with Fourier function. This approach serves as a highly valid tool in controlling for cross-sectional dependence and heterogeneity as well as structural shifts and nonlinearities. In virtue of the SPSM, the paper could divide the whole panel into two groups and clearly identify which and how many series belong to stationary or non-stationary group. The results show that carbon ...

African countries are negotiating the African Continental Free Trade Area with the aim to spearhead global value chain (GVC) trade among African countries as a driver for robust economic growth. This paper evaluates the participation of Sub-Saharan African Regional Economic Communities (RECs) in GVC-related trade over the period 1990-2015 using measures of backward, forward, regional, and non-regional GVC participation. We find that participation of African RECs in GVC trade (regional and non-regional) has increased but still lags behind comparator groups. Overall, African RECs have participat...

ABSTRACT Modern markets are characterized by speed differentials, with some traders being fractions of a second faster than others. Theoretical models suggest that such differentials may have both positive and negative effects on liquidity and gains from trade. We examine these effects by studying a series of exogenous weather episodes that temporarily remove the speed advantages of the fastest traders by disrupting their microwave networks. The disruptions are associated with lower adverse selection and lower trading costs. In additional analysis, we show that the long‐term removal of speed d...

Free trade is always under attack, more than ever in recent years. The imposition of numerous U.S. tariffs in 2018, and the retaliation those tariffs have drawn, has thrust trade issues to the top of the policy agenda. Critics contend that free trade brings economic pain, including plant closings and worker layoffs, and that trade agreements serve corporate interests, undercut domestic environmental regulations, and erode national sovereignty. Why are global trade and agreements such as the Trans-Pacific Partnership so controversial? Does free trade deserve its bad reputation? This book aside ...

We use de-identified data from Facebook to construct a new and publicly available measure of the pairwise social connectedness between 170 countries and 332 European regions. We find that two countries trade more when they are more socially connected, especially for goods where information frictions may be large. The social connections that predict trade in specific products are those between the regions where the product is produced in the exporting country and the regions where it is used in the importing country. Once we control for social connectedness, the estimated effects of geographic ...