Concepedia

Open Interest Dynamics

Open Interest Dynamics is a quantitative metric in derivative market microstructure that captures the temporal evolution of the total number of outstanding long and short positions in a futures or options contract, distinguishing it from volume-based indicators by reflecting persistent shifts in market commitment and liquidity provision over time.

43

Publications

2.9K

Citations

78

Authors

63

Institutions

Publications per year

2017–2026

8

Parents

Publications

43

Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets

Hendrik Bessembinder, Paul J. Seguin · Journal of Financial and Quantitative Analysis · 1993 · 675 citations

, , +17

Short Interest: Explanations and Tests

Averil Brent, Dale Morse, Earl K. Stice · Journal of Financial and Quantitative Analysis · 1990 · 224 citations

, , +9

Financialization and Structural Change in Commodity Futures Markets

Scott H. Irwin, Dwight R. Sanders · Journal of Agricultural and Applied Economics · 2012 · 218 citations · Full text

, , +17

Program Trading and Expiration-Day Effects

Hans R. Stoll, Robert E. Whaley · Financial Analysts Journal · 1987 · 210 citations

, , +15

An Empirical Investigation of Short‐Selling Activity Prior to Seasoned Equity Offerings

Assem Safieddine, William J. Wilhelm · The Journal of Finance · 1996 · 166 citations

, , +15

1–5 of 43

Authors

78

  1. SD
    Steven D. Baker

    Carnegie Mellon University, United States

    3 publications · 119 citations

    3

    h-index

  2. AB
    Alessandro Beber

    Centre for Economic Policy Research, United Kingdom

    2 publications · 128 citations

    2

    h-index

  3. MA
    Marco Avellaneda

    Courant Institute of Mathematical Sciences, United States

    2 publications · 87 citations

    2

    h-index

  4. RA
    Robert A. Haugen

    University of Wisconsin–Madison, United States

    2 publications · 101 citations

    2

    h-index

  5. RK
    Roy Kouwenberg

    Erasmus University Rotterdam, Netherlands

    2 publications · 78 citations

    2

    h-index

1–5 of 78

Institutions

63

  1. University of Illinois Urbana-Champaign

    Urbana, United States

    4 h-index

    4 publications

    270 citations

  2. University of Virginia

    Charlottesville, United States

    3 h-index

    3 publications

    119 citations

  3. Duke University

    Durham, United States

    2 h-index

    2 publications

    128 citations

  4. McGill University

    Montreal, Canada

    2 h-index

    2 publications

    39 citations

  5. New York University

    New York, United States

    2 h-index

    2 publications

    87 citations

  6. Columbia University

    New York, United States

    2 h-index

    2 publications

    32 citations

  7. Courant Institute of Mathematical Sciences

    New York, United States

    2 h-index

    2 publications

    87 citations

  8. Erasmus University Rotterdam

    Rotterdam, The Netherlands

    2 h-index

    3 publications

    145 citations

1–8 of 63

Venues

  1. SSRN Electronic Journal

    Repository · 8 publications · 166 citations

    8

    h-index

  2. Journal of Futures Markets

    5 publications · 205 citations

    5

    h-index

  3. The Journal of Finance

    4 publications · 299 citations

    4

    h-index

  4. Applied Financial Economics

    2 publications · 110 citations

    2

    h-index

  5. Management Science

    2 publications · 96 citations

    2

    h-index

1–5