Date of Award
Doctor of Philosophy (PhD)
This article introduces a new high-frequency analysis of six years of data for options written on the S&P 500 and traded on the Chicago Board of Exchange. I quantify in real time the information contained in the probability measure implied by option prices, using concepts developed in information theory. Here information is analogous to a reduction in uncertainty surrounding the future price of the underlying security. A simple nonparametric estimator allows us to measure the amount of information gained as an option approaches maturity. I then test for jumps in the expectation of said future price. I find the intraday flow of information in a large and important market is not continuous, and often increases in discrete intervals. This fact is used to identify events in which a large amount of information is revealed to investors.
Chair and Committee
Gaetano Antinolfi, Siddhartha Chib, George-Levi Gayle, Todd Kuffner,
Zdinak, Michael G., "Information and the Risk-Neutral Probability, Essays in Financial Econometrics" (2020). Arts & Sciences Electronic Theses and Dissertations. 2260.