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Order Aggressiveness, Trading Patience, and Trader Types in a Limit Order Market

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dc.citation.epage1123en_US
dc.citation.spage1094en_US
dc.citation.volume37en_US
dc.contributor.authorChiu, Junmaoen_US
dc.contributor.authorChung, Huiminen_US
dc.contributor.authorWang, George H. K.en_US
dc.contributor.department資訊管理與財務金融系 註：原資管所+財金所zh_TW
dc.contributor.departmentDepartment of Information Management and Financeen_US
dc.date.accessioned2018-08-21T05:52:41Z
dc.date.available2018-08-21T05:52:41Z
dc.date.issued2017-11-01en_US
dc.description.abstractThis 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, 2017en_US
dc.identifier.doi10.1002/fut.21832en_US
dc.identifier.issn0270-7314en_US
dc.identifier.journalJOURNAL OF FUTURES MARKETSen_US
dc.identifier.urihttp://dx.doi.org/10.1002/fut.21832en_US
dc.identifier.urihttps://ir.lib.nycu.edu.tw/handle/11536/143863
dc.identifier.wosnumberWOS:000412131600002en_US
dc.language.isoen_USen_US
dc.titleOrder Aggressiveness, Trading Patience, and Trader Types in a Limit Order Marketen_US
dc.typeArticleen_US

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