IEEE - Institute of Electrical and Electronics Engineers, Inc. - Trader behavior and hedging feedback in the stock pinning phenomena

2006 American Control Conference

Author(s): J.A. Primbs ; M. Rathinam
Sponsor(s): American Automatic Control Council
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 January 2006
Conference Location: Minneapolis, MN, USA
Conference Date: 14 June 2006
Page Count: 6
ISBN (Paper): 1-4244-0209-3
ISBN (Online): 1-4244-0210-7
DOI: 10.1109/ACC.2006.1656392
Regular:

This paper uses a model of market price dynamics based upon trader behavior to explore the phenomena of stock pinning. A stock is said to pin when it trades at or near an option strike price at... View More

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