Market Makers V-s The General Public: A First Look At S&P500 Futures Trade Data
Source: Deakin University
In many risk management models and dynamic hedging models the data is often taken as given and important daily and intra-day trading patterns not accounted for in these models. It seems fundamental that before employing these models previous empirical results and the stylized facts from the literature be considered. What is important is understanding the trading behavior in asset and derivative markets so that potential distorting effects can be tested and then accounted for in risk management and hedging models.