SSRNTrading, Microstructure & Execution
Picked Off in One Second: Adverse Selection and Out-of-Sample Defences for an NSE Index Options Market Maker
Analysis of live market-making on Indian options shows losses to adverse selection within one second, but regime-detection signals that pull quotes in stress cut losses by forty-six percent for NIFTY in early tests.
Featured in No. 137 on 30 Oct 2026 · on release day
- Released
- 30 Oct 2026
- First featured
- No. 137 · 30 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 2 of 5
- Identifier
- SSRN 7667778
- Authors
- Kethan S E
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).