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采用中国50ETF期权市场高频数据,运用非参方法估计期权市场知情交易概率,分析期权市场知情交易与现货波动性的联系.研究结果表明期权市场知情交易者的概率能预测现货市场未来的波动,它与现货市场未来的波动呈正相关性,对现货市场产生负面影响.
Using the high frequency data of the Chinese 50 ETF option market, the non-parametric method is used to estimate the probability of informed trading in the option market and the relationship between the informed trading of the option market and the spot volatility is analyzed.The results show that the probability of the informed trader in the option market can predict the future volatility of the spot market, It is positively correlated with the future volatility of the spot market and has a negative impact on the spot market.