options market making

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Replication Data: High-Frequency Trading in the Stock Market and the Costs of Options Market Making

Creators: Mahendrarajah Nimalendran , Khaladdin Rzayev , Satchit Sagade
Publication Date: 20 June 2024
Creators: Mahendrarajah Nimalendran , Khaladdin Rzayev , Satchit Sagade

This dataset, hosted on Mendeley Data, contains the replication data for the study “High-Frequency Trading in the Stock Market and the Costs of Options Market Making” (Nimalendran, Rzayev & Sagade, 2024, Journal of Financial Economics). It includes high-frequency stock and options market data used to examine how high-frequency trading activity in equity markets affects the costs faced by options market makers, analysing the spillover effects of HFT on derivatives market liquidity.

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