# Warrant Research - Academic Papers and Reports
*Collected 2026‑03‑13 · Source: Tavily searches (partial due to timeouts)*

## Key Findings

### 1. Toxic Flow in Warrant Markets
- **VPIN metric** (Volume‑Synchronized Probability of Informed Trading) is used to measure toxic order flow in Hong Kong warrant markets.
- **Empirical result**: Stocks show higher toxic flow than warrants; both exhibit higher VPIN in morning sessions.
- **Relevant paper**: *Exchange‑Traded Barrier Option and VPIN: Evidence from Hong Kong* (Wiley) – studies VPIN validity for measuring order‑flow toxicity around CBBCs/warrants.
- **Other**: Macquarie's warrant funds flow page; SMU Singapore paper on warrants vs. stocks.

### 2. Vol‑Margin Calibration & Cash‑Margin Arbitrage
*Searches timed out – no new papers retrieved.*

## Known SFC/HKEX Reports (To Curate Manually)
1. **Making Derivative Warrants Market in Hong Kong** (Chow, Li, Liu) – CUHK finance department paper on market‑making mechanics.
2. **Hong Kong’s Derivative Warrants Market – Moving with Times** (SFC Research Paper 28) – regulatory perspective.
3. **The information content of implied volatility in the Hong Kong and Singapore markets** – academic study on IV bias.
4. **A Report on the Derivative Warrants Market in Hong Kong** (SFC, 2005) – foundational regulatory report.

## Next Steps for Manual Curation
- Download PDFs of above reports.
- Extract sections relevant to: margin requirements, toxic flow detection, vol‑margin surface calibration.
- Summarize key formulas, empirical findings, regulatory constraints.

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*Auto‑searches limited by Tavily timeout (60 s). Manual curation recommended for deep research.*