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