Research
Research
Empirical research into financial markets, derivatives and market microstructure.
Price Discovery
How information becomes price: the sequencing between order flow, positioning and observable quotes.
1 paper · 1 research note
- Working Paper2026· v17
Open Interest Repositioning around Intraday Price-structure Breaks: Evidence from NIFTY 50 Index Options
A comprehensive empirical study of whether intraday options open-interest repositioning provides advance information about structural price breaks in NIFTY 50 index options.
- NIFTY 50
- Weekly Options
- Open Interest
- Market Microstructure
- Structural Breaks
- +2
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Research notes
Shorter write-ups of a study or a programme of tests — the question, the design and what was found, including when it was nothing.
Research note
Searching for Intraday Edges in NSE F&O Stocks: Findings from a Pre-Registered Research Programme
About 38 pre-registered rounds of intraday tests on NSE F&O stocks found effects that were real but almost always smaller than realistic trading costs. The clearest structural finding: predictable information is priced in the overnight gap, not during the session.
- Market Microstructure
- Price Discovery
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