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Option Price Improvements Are Higher Than You Think

https://doi.org/10.2139/ssrn.5127667
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/j.jfineco.2013.12.004openalex-snapshot
Does option trading convey stock price information?
inferredcites →https://doi.org/10.1016/j.jfineco.2019.06.008openalex-snapshot
Shrinking the cross-section
inferredcites →https://doi.org/10.1016/j.jfineco.2019.09.008openalex-snapshot
The Term Structure of Liquidity Provision
inferredcites →https://doi.org/10.1093/rfs/hhaa009openalex-snapshot
Empirical Asset Pricing via Machine Learning
inferredcites →https://doi.org/10.1093/rfs/hhaa010openalex-snapshot
Options Trading Costs Are Lower than You Think
inferredcites →https://doi.org/10.1093/rfs/hhw102openalex-snapshot
Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach
inferredcites →https://doi.org/10.1093/rfs/hhz123openalex-snapshot
Dissecting Characteristics Nonparametrically
inferredcites →https://doi.org/10.1093/rof/rfae027openalex-snapshot
Cross-sectional expected returns: new Fama–MacBeth regressions in the era of machine learning
inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb02683.xopenalex-snapshot
Inferring Trade Direction from Intraday Data
inferredcites →https://doi.org/10.1111/jofi.12380openalex-snapshot
Order Flow and Expected Option Returns
inferredcites →https://doi.org/10.1111/jofi.12733openalex-snapshot
Sparse Signals in the Cross‐Section of Returns
inferredcites →https://doi.org/10.1111/jofi.13285openalex-snapshot
Retail Trading in Options and the Rise of the Big Three Wholesalers
inferredcites →https://doi.org/10.1111/jofi.13320openalex-snapshot
Informed Trading Intensity
inferredcites →https://doi.org/10.1287/mnsc.2022.4449openalex-snapshot
Machine Learning vs. Economic Restrictions: Evidence from Stock Return Predictability
inferredcites →https://doi.org/10.1287/mnsc.2023.4695openalex-snapshot
Deep Learning in Asset Pricing
inferredcites →https://doi.org/10.2139/ssrn.2307563openalex-snapshot
Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach
inferredcites →https://doi.org/10.2139/ssrn.2820700openalex-snapshot
Dissecting Characteristics Nonparametrically
inferredcites →https://doi.org/10.2139/ssrn.4441422openalex-snapshot
In the Blink of an Eye: Exchange-to-SIP Latency and Trade Classification Accuracy
inferredcites →https://doi.org/10.2139/ssrn.4988855openalex-snapshot
Navigating the Murky World of Hidden Liquidity
inferredcites →https://doi.org/10.2307/2676254openalex-snapshot
The Accuracy of Trade Classification Rules: Evidence from Nasdaq
inferredcites →https://doi.org/10.2307/4126747openalex-snapshot
On Inferring the Direction of Option Trades
inferredcites →https://doi.org/10.4230/oasics.dx.2024.27openalex-snapshot
On a Method to Measure Supervised Multiclass Model’s Interpretability: Application to Degradation Diagnosis (Short Paper)
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