Frontaler Blick auf das D4 Gebäude.

Brown Bag Seminar - Alex Weissensteiner

20. Mai 2024

Wir freuen uns, für 28. Mai 2024, ein Brown Bag Seminar ankündigen zu können.

Als Vortragenden dürfen wir Alex Weissensteiner (Free University of Bozen-Bolzano) begrüßen.

Er wird sein Paper "Futures and options trading with heterogeneous agents: A general equilibrium model" vorstellen.

Abstract: We examine the trading behavior of EuroStoxx 50 futures and options on EUREX exchange. Our analysis reveals a consistent pattern: during periods of heightened uncertainty, agents (traders acting on behalf of clients) tend to sell, while principals (market makers and proprietary traders) tend to buy. Agents drive the majority of trades, effectively positioning principals as liquidity providers. Interestingly, despite their selling activity in the futures market, agents engage in a "counterintuitive" strategy in the options market. They short puts and buy calls, effectively creating a synthetic long futures position. To shed light on these trading patterns, we propose a general equilibrium model that accounts for the presence of heterogeneous agents.

Das Brown Bag Seminar findet am 28. Mai 2024 von 12:30-13:30 Uhr im Raum D3.0.222 statt.

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