| dc.contributor | 金融系 ; 國貿系 | zh_TW |
| dc.creator (作者) | 林靖庭 | zh_TW |
| dc.creator (作者) | Lin, Ching‐Ting | en_US |
| dc.creator (作者) | Kuo, Wei‐Yu | - |
| dc.creator (作者) | 郭維裕 | - |
| dc.date (日期) | 2018-12 | - |
| dc.date.accessioned | 7-Dec-2018 17:33:11 (UTC+8) | - |
| dc.date.available | 7-Dec-2018 17:33:11 (UTC+8) | - |
| dc.date.issued (上傳時間) | 7-Dec-2018 17:33:11 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/121272 | - |
| dc.description.abstract (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. | en_US |
| dc.format.extent | 1881934 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Journal of Futures Markets, Volume38, Issue12, Pages 1443-1469 | - |
| dc.subject (關鍵詞) | fleeting order; network trading; order cancellation; Taiwan futures markets; trader types | en_US |
| dc.title (題名) | Trader types and fleeting orders: Evidence from Taiwan Futures Exchange | en_US |
| dc.type (資料類型) | article | - |
| dc.identifier.doi (DOI) | 10.1002/fut.21963 | - |
| dc.doi.uri (DOI) | https://doi.org/10.1002/fut.21963 | - |
