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https://ah.lib.nccu.edu.tw/handle/140.119/121272
題名: | Trader types and fleeting orders: Evidence from Taiwan Futures Exchange | 作者: | 林靖庭 Lin, Ching‐Ting Kuo, Wei‐Yu 郭維裕 |
貢獻者: | 金融系 ; 國貿系 | 關鍵詞: | fleeting order; network trading; order cancellation; Taiwan futures markets; trader types | 日期: | Dec-2018 | 上傳時間: | 7-Dec-2018 | 摘要: | This paper investigates the relation between trader type and fleeting order strategy based on unique data from Taiwan Futures Exchange. We find that fleeting orders are more commonly used by institutional traders than individual traders. There exists intraday seasonality of fleeting orders submitted by institutional traders. Institutional traders do not chase market prices, but respond to changes in immediate execution costs. Network orders constitute a key component of the fleeting order strategy of proprietary traders. In sum, different types of traders, including individual traders, proprietary traders, and foreign traders, exhibit significantly different behaviors when deploying the fleeting order strategy. | 關聯: | Journal of Futures Markets, Volume38, Issue12, Pages 1443-1469 | 資料類型: | article | DOI: | https://doi.org/10.1002/fut.21963 |
Appears in Collections: | 期刊論文 |
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1443-1469.pdf | 1.84 MB | Adobe PDF2 | View/Open |
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