Summary: QUANTITATIVE FINANCE VO L U M E 3 (2003) 417­425 RE S E A R C H PA P E R
INSTITUTE O F PHYSICS PUBLISHING quant.iop.org
A market-induced mechanism for
stock pinning
Marco Avellaneda1
and Michael D Lipkin2
1
Courant Institute of Mathematical Sciences, New York University, 251
Mercer Street, New York, NY 10012, USA
2
Katama Trading, LLC, American Stock Exchange, 2 Rector Street, New
York, NY 10006, USA
E-mail: avellaneda@courant.nyu.edu and mike.katama@att.net
Received 18 March 2003, in final form 11 July 2003
Published 5 September 2003
Online at stacks.iop.org/Quant/3/417
Abstract
We propose a model to describe stock pinning on option expiration dates. We
argue that if the open interest on a particular contract is unusually large,
delta-hedging in aggregate by floor market-makers can impact the stock price

Source: Avellaneda, Marco - Department of Mathematics, Courant Institute of Mathematical Sciences, New York University
Kearns, Michael - Department of Computer and Information Science, University of Pennsylvania

Collections: Computer Technologies and Information Sciences; Mathematics