Our speaker will be Alex Weissensteiner (Free University of Bozen-Bolzano).

He will give a talk on "Futures and options trading with heterogeneous agents: A general equilibrium model".

Abstract: We examine the trading behavior of EuroStoxx 50 futures and options on EUREX exchange. Our analysis reveals a consistent pattern: during periods of heightened uncertainty, agents (traders acting on behalf of clients) tend to sell, while principals (market makers and proprietary traders) tend to buy. Agents drive the majority of trades, effectively positioning principals as liquidity providers. Interestingly, despite their selling activity in the futures market, agents engage in a "counterintuitive" strategy in the options market. They short puts and buy calls, effectively creating a synthetic long futures position. To shed light on these trading patterns, we propose a general equilibrium model that accounts for the presence of heterogeneous agents.

The talk will take place on May 28, 2024 at 12:30 p.m. in room D3.0.222.