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Abstract
This article investigates whether there is an informational linkage between option directional trading activities and underlying stock depth asymmetries. The author finds that option directional trading activities and underlying stock depth asymmetries are informative for predicting each other, indicating that a linkage does exist. She further finds that the above documented informational linkage is stronger at the beginning and the end of the day.
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An Empirical Analysis of Option Directional Trading and Stock Depth Asymmetry
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