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題名 Liquidity Cost of Market Orders in the Taiwan Stock Market: A Study based on an Order-Driven Agent-Based Artificial Stock Market
作者 Huang,Yi-Ping ;Chen,Shu-Heng;Hung,Ming-Chin ; Yu,Tina
貢獻者 政大經濟系
關鍵詞 Order-driven;Liquidity cost;Zero-intelligence traders;Agent-based artificial stock market
日期 2012-06
上傳時間 17-Sep-2013 16:13:25 (UTC+8)
摘要 We developed an order-driven agent-based artificial stock market to analyze the liquidity costs of market orders in the Taiwan Stock Market (TWSE). The agent-based stock market was based on the DFGIS model proposed by Daniels, Farmer, Gillemot, Iori and Smith (Daniels et al., 2003). We also improved the DFGIS model by using two average order size parameters. When tested on 10 stocks and securities in the market, the model-simulated liquidity costs were higher than those of the TWSE data. We identified some possible factors that have contributed to this result: 1) the overestimated effective market order size, which can be improved by using two average order size parameters; 2) the random market order arrival time designed in the DFGIS model; 3) the zero-intelligence of the artificial agents in our model; and 4) the price of the effective market order. We continued improving the model so that it could be used to study liquidity costs and to devise liquidation strategies for stocks and securities traded in the Taiwan Stock Market.
關聯 International Review of Financial Analysis, 23, 72-80
資料類型 article
DOI http://dx.doi.org/10.1016/j.irfa.2011.06.013
dc.contributor 政大經濟系en_US
dc.creator (作者) Huang,Yi-Ping ;Chen,Shu-Heng;Hung,Ming-Chin ; Yu,Tinaen_US
dc.date (日期) 2012-06en_US
dc.date.accessioned 17-Sep-2013 16:13:25 (UTC+8)-
dc.date.available 17-Sep-2013 16:13:25 (UTC+8)-
dc.date.issued (上傳時間) 17-Sep-2013 16:13:25 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/61083-
dc.description.abstract (摘要) We developed an order-driven agent-based artificial stock market to analyze the liquidity costs of market orders in the Taiwan Stock Market (TWSE). The agent-based stock market was based on the DFGIS model proposed by Daniels, Farmer, Gillemot, Iori and Smith (Daniels et al., 2003). We also improved the DFGIS model by using two average order size parameters. When tested on 10 stocks and securities in the market, the model-simulated liquidity costs were higher than those of the TWSE data. We identified some possible factors that have contributed to this result: 1) the overestimated effective market order size, which can be improved by using two average order size parameters; 2) the random market order arrival time designed in the DFGIS model; 3) the zero-intelligence of the artificial agents in our model; and 4) the price of the effective market order. We continued improving the model so that it could be used to study liquidity costs and to devise liquidation strategies for stocks and securities traded in the Taiwan Stock Market.en_US
dc.format.extent 375929 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) International Review of Financial Analysis, 23, 72-80en_US
dc.subject (關鍵詞) Order-driven;Liquidity cost;Zero-intelligence traders;Agent-based artificial stock marketen_US
dc.title (題名) Liquidity Cost of Market Orders in the Taiwan Stock Market: A Study based on an Order-Driven Agent-Based Artificial Stock Marketen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.irfa.2011.06.013en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.irfa.2011.06.013 en_US