Transparency in OTC Equity Derivatives Markets: a Quantitative Study
نویسنده
چکیده
We study trade-transparency in over-the-counter (OTC) equity derivatives markets, performing two related experiments. The first consists of a statistical study: we analyze a very large dataset of reported OTC transactions to the MarkitServ database and seek to correlate the trade prices with the prices of analogous derivatives listed in exchanges or with model prices derived from the latter (“fair value prices”). The second part consists in conducting Live Quote Experiments, in which we partner with two firms to request firm live quotes from multiple dealers. Quotes are requested for a list of transactions that we designed beforehand. The dealers involved did not know that this was an experiment and returned with two-way quotes on the list of trades, which were recorded along with contemporaneous quotes from listed markets corresponding to similar strikes
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