| dc.contributor | 財管系 | en_US |
| dc.creator (作者) | 蔡怡純;馬黛;陳明吉 | zh_TW |
| dc.creator (作者) | Tsai, I-Chun;Ma, Tai;Chen, Ming-Chi | en_US |
| dc.date (日期) | 2007-07 | en_US |
| dc.date.accessioned | 19-Nov-2014 15:55:18 (UTC+8) | - |
| dc.date.available | 19-Nov-2014 15:55:18 (UTC+8) | - |
| dc.date.issued (上傳時間) | 19-Nov-2014 15:55:18 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=80090 | - |
| dc.description.abstract (摘要) | We develop a dynamic model of order submission strategies in an order-driven market, where traders differ in their share valuations. Our model shows that several factors influence the uninformed trader’s choice of order to submit: the market price, the expected asset value, the probability of order execution, and the tick. In addition to these factors, the non-execution probabilities arising from improving the price of execution also influence the limit price. The findings and implications of the model can explain the empirical findings of the relationships among the spread, the asset value volatility, the expected asset value, and the trader`s order submission strategy. Further, the results suggest that overconfident traders tend to submit market orders. | en_US |
| dc.format.extent | 235812 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | 經濟與管理論叢, 3(2), 201-223 | en_US |
| dc.subject (關鍵詞) | asymmetric information;order-driven market;market order;limit order | en_US |
| dc.title (題名) | 限價單或是市價單? 價格改善與延遲交易之抵換關係探討 | zh_TW |
| dc.title.alternative (其他題名) | Limit Order or Market Order? The Trade-Off between Price Improvement and Delayed Execution | en_US |
| dc.type (資料類型) | article | en |
