专注论文查重修改6年+经验

限价单下单风险与价格积极度

【中文摘要】:本文主要研究限价单的未成交风险、picking-off风险与委託价格积极度之关系。使用台湾证券交易所的委託档与揭示档资料,对逐笔委託单进行价格积极度的分类。本文建立了衡量未成交风险与picking-off 风险的方法,将未成交风险与picking-off 风险相加视为总风险。
本文主要发现有:(1)委託价格越积极,成交率越高及成交所需时间越短。(2)使用卖单下越积极的价格,总风险越小。(3)当市场流动性充足或波动不剧烈的时候,限价买单越不积极,总风险越小。(4)未成交风险与picking-off风险存在抵换关係。(5)越积极的委託单主要影响总风险的因素是picking-off风险。(6)越不积极的委託单主要影响总风险的因素是未成交风险。
【英文摘要】:This study investigates the relationship between non-execution risk, picking-off risk and order aggressiveness. We use order-level data and display data from the Taiwan Stock Exchange to classify the order aggressiveness of each order. We construct the measurement of non-execution risk and, picking-off risk. We define total risk as non-execution risk plus picking-off risk.
Our main findings are as follows. (1) The more aggressive the order, the higher the filled rate and the shorter the execution time. (2) When investors want to trade using sell orders, the more aggressive the price, the lower the total risk. (3) Under sufficient liquidity and low volatility market conditions, the lower the aggressive price, the lower the total risk when investors want to trade using buy orders. (4) There exists a tradeoff relationship between non-execution risk and picking-off risk. (5) The main risk affecting total risk of more aggressive orders is picking-off risk. On the other hand, (6) the main risk affecting total risk of less aggressive orders is non-execution risk.
【参考文献】:

  • Yamamoto R. (2012). Intraday technical analysis of individual stocks on the Tokyo Stock Exchange. Journal of Banking and Finance, 36(11), 3033-3047.
  • Verhoeven P., Ching S., & Ng H. G. (2004). Determinants of the decision to submit market or limit orders on the ASX. Pacific-Basin Finance Journal, 12(1), 1-18.
  • Ranaldo, A. (2004). Order aggressiveness in limit order book markets. Journal of Financial Markets, 7(1), 53–74.
  • Parlour C. A. (1998). Price Dynamics in Limit Order Markets. The Review of Financial Studies, 11(4), 789-816.
  • Loa I., & Sapp S. G. (2010). Order aggressiveness and quantity: How are they determined in a limit order market? Journal of International Financial Markets, Institutions and Money, 20(3), 213–237.
  • Liu W. M. (2009). Monitoring and limit order submission risks. Journal of Financial Markets, 12(1), 107-141.
  • Hollifield B., Miller R. A., Sandås P., & Slive J. (2006). Estimating the Gains from Trade in Limit-Order Markets. The Journal of Finance, 61(6), 2753-2804.
  • Hall A.D., & Hautsch N. (2006). Order aggressiveness and order book dynamics. Empirical Economics, 30(4), 973-1005.
  • Hollifield B., Miller R. A., & Sandås P. (2004). Empirical analysis of limit order markets. Review of Economic Studies, 71(4), 1027-1063.
  • Goettler R. L., Parlour C. A., Rajan U. (2005). Equilibrium in a dynamic limit order market. The Journal of Finance, 60(50, 2149-2192.
  • Griffiths M. D., Smith B. F., Turnbull D. A. S., & White R. W. (2000). The costs and determinants of order aggressiveness. Journal of Financial Economics, 56(1), 65-88.
  • Foucault T., Röell A., & Sandås P. (2003). Market making with costly monitoring: an analysis of the SOES controversy. The Review of Financial Studies, 16(2), 345-384.
  • Foucault, T. (1999). Order flow composition and trading costs in a dynamic limit order market. Journal of Financial Markets, 2(2), 99–134.
  • Daníelssona J., & Payne R. (2012). Liquidity determination in an order-driven market. The European Journal of Finance, 18(9), 799–821.
  • Duong H. N., Kalev P. S., & Krishnamurti C. (2009). Order aggressiveness of institutional and individual investors. Pacific-Basin Finance Journal, 17(5), 533-546.
  • Chen H. K., Hsieh S. F., & Ma T. (2011). Who wins and who loses in transparent markets? Daily and intraday analysis of Taiwan stock market. Taiwan Economic Forecast and Policy, 41(2), 127-178.
  • Cho J. W., & Nelling E. (2000). The Probability of Limit-Order Execution. Financial Analysts Journal, 56(5), 28-33.
  • Biais B., Hillion P., & Spatt C. (1995). An empirical analysis of the limit order book and the order flow in the paris bourse. The Journal of Finance, 50(5), 1655-1689.
  • Aitken, M., Almeida, N., Harris, F. H. deB., & McInish, T. H. (2007). Liquidity supply in electronic markets. Journal of Financial Markets, 10(2), 144–168.
  • 来源:中山大学;作者:游佩芳
    文懂论文-重复率修改第一品牌,http://www.szwox.com解决论文查重论文降重复,重复率高等各种论文难题的专家

    最新文章

    • 什么是学术不端行为
      什么是学术不端行为
      什么是学术不端行为 1992 年,由美国国家科学院、国家工程院和国家医学研究院组成的 22 位...
    • 论文降重复服务 1. 本网站及服务 szwox.com提供哪些服务? szwox.com是一个...

    联络我们

    QQ: 767326772
    文懂论文
    网站:http://www.szwox.com/
    E-mail: turuinit@foxmail.com

    我们的服务

    我们提供毕业论文、期刊论文、硕士论文、博士论文、会议论文格式排版,论文查重,重复率修改等服务。强大论文查重系统,一手老师资源,首创安全保密查重修改流程。充分保障客户论文查重安全以及修改后的品质,赢得了老师和同学们的信任和口碑。