The Finance Brown Bag Seminar is held by the Institute for Finance, Banking and Insurance (WU Vienna) and the Vienna Graduate School of Finance (VGSF). It serves as a presentation platform for PhD students, faculty members, and visitors. An overview of BBS on the website of the Institute for Finance, Banking and Insurance.
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Alex Weissensteiner, Free University of Bozen-Bolzano
Futures and options trading with heterogeneous agents: A general equilibrium model
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.
