Publications-Periodical Articles

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

  • Loading...
    Loading...

Related Publications in TAIR

TitleTrader types and fleeting orders: Evidence from Taiwan Futures Exchange
Creator林靖庭
Lin, Ching‐Ting
Kuo, Wei‐Yu
郭維裕
Contributor金融系 ; 國貿系
Key Wordsfleeting order; network trading; order cancellation; Taiwan futures markets; trader types
Date2018-12
Date Issued7-Dec-2018 17:33:11 (UTC+8)
SummaryThis 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.
RelationJournal of Futures Markets, Volume38, Issue12, Pages 1443-1469
Typearticle
DOI https://doi.org/10.1002/fut.21963
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‐Tingen_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 typesen_US
dc.title (題名) Trader types and fleeting orders: Evidence from Taiwan Futures Exchangeen_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-