標題: Order Aggressiveness, Trading Patience, and Trader Types in a Limit Order Market
作者: Chiu, Junmao
Chung, Huimin
Wang, George H. K.
資訊管理與財務金融系 註:原資管所+財金所
Department of Information Management and Finance
公開日期: 1-Nov-2017
摘要: This study examines the order aggressiveness and trading patience of foreign institutional traders, futures proprietary firm traders, individual day and non-day traders in the Taiwan index futures market. We consider order choice given a completely transparent limit order book. Our empirical results show that individual (foreign institutional) traders use a more aggressive (patient) order submission strategy than the other trader types. We find significant differences among trader types in the timing of order aggressiveness and trading patience over the intraday time period. Both top and rest-of-the-order-book activities affect traders' order submission decisions. (c) 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:1094-1123, 2017
URI: http://dx.doi.org/10.1002/fut.21832
http://hdl.handle.net/11536/143863
ISSN: 0270-7314
DOI: 10.1002/fut.21832
期刊: JOURNAL OF FUTURES MARKETS
Volume: 37
起始頁: 1094
結束頁: 1123
Appears in Collections:Articles