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You might want to measure the resiliency of a limit order book. http://users.iems.northwestern.edu/~armbruster/2007msande444/large-06.pdf https://hal.archives-ouvertes.fr/hal-00166969/PDF/OE19.pdf


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I am sure that some people do this. Generally, there is some evidence that informed traders choose to trade in the option markets first (Easley et.al, 1998). This is especially true if an informed trader has bad news about a short-sale constrained stock. In this case the option market leads the equity market. Moreover, I was told that there are some people ...



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