Erebus

September 11 · source record · paper

Detecting abnormal trading activities in option markets

Marc Chesney; Remo Crameri; Loriano Mancini; Journal of Empirical Finance · 2015

AI-verified citationSRC-CHESNEY-2015
identifier / locator
J. Empir. Finance 33:263–275; DOI 10.1016/j.jempfin.2015.03.008
url
https://doi.org/10.1016/j.jempfin.2015.03.008
verification note
DOI and metadata confirmed via CrossRef; full published text read 2026-08-26 from an openly hosted copy of the published version. The paper's body treats the September 11 trades only summarily, deferring detail to a separate appendix.
reliability notes
  • Peer-reviewed for the method; the granular September 11 figures widely attributed to this paper are not in its body but in the working-paper version and separate appendix, and this case cites them to that record instead.
  • Like Poteshman, it detects statistical abnormality, not identity or intent.

Evidence drawn from this source

Supports· moderateSEP-E021

A second peer-reviewed method finds abnormal pre-attack trades across airlines and banks

what the source states
"Comparable abnormal trades have been found for American Airlines, United Airlines and Boeing (and to a lesser extent for Delta Air Lines and KLM) before the terrorist attacks of 9/11, and are discussed in the separate appendix."
what we infer
A second independent method reaching a compatible conclusion, which is why the anomaly is graded well supported rather than merely reported. Recorded with a sourcing precision this case had to correct: the granular figures widely attributed to this paper — a specific count of trades and specific dollar gains — are not in its published body but in its working-paper version and separate appendix, and are not quoted here.
limitations
  • The published paper treats the September 11 trades only summarily; its detailed findings sit in a separate appendix this case has not verified.
  • Detects statistical abnormality, not identity or intent.
Marc Chesney (2015)AI-verified citationSEP-C015