The information system of detecting the informed activities in derivative asset tradings

摘要

We propose a mathematical procedure for finding informed trader activities in underlying asset and derivatives. We generalized it as Vector ARMA and found condition of its stationarity. We also constructed an informed trader activity presence criterion. For validation of the model, we test an influence of informed traders in Russian market and FX assets. We found some evidence of such influence in gold and currency pair USD/RUB pricing, in Russian share index RTS in the period from Dec 16 till Dec 20, 2013 and from Jan 28 till Jan 30. Also, using TAIFEX option prices we investigate whether such activity was at the market. We take week calls and puts on index TSEC, the contracts expire at 26/02/14. We found that there is no significant influence for pricing process made by major market players.