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| Author: | Fitzgerald, D. |
| Title: | Wall Street warlocks and triple witching hours. |
| Journal: | Banker
1987 : MAR, VOL. 137:733, p. 22, 24, 27 |
| Index terms: | HEDGING STOCK OPTIONS COMPUTER PROGRAMMING WALL STREET |
| Language: | eng |
| Abstract: | More and more financial institutions are being committed to computer-based arbitrage programs. The aim is to improve short-term returns w.r.t. money market rates. This innovation has increased the intra-day volatility, while may have decreased overall volatility in the US. It is to be expected that serious trading programs will be in place in the near future in London. Given the more limited liquidity of the London market, probably the imported programs will lead to greater volatility. The regulators should not intervene, increased volatility is the price to pay for arbitraging. |
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