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題名：委託單驅動市場的最適下單策略
作者：辛沛翰
作者(外文)：Pei-Han Hsin
校院名稱：國立中山大學
系所名稱：企業管理學系研究所
指導教授：陳安琳
吳欽杉
學位類別：博士
出版日期：2010
主題關鍵詞：市價單；限價單；委託單驅動市場；資訊交易者；Order-driven market；Informed traders；Market order；Limit order
原始連結：連回原系統網址new window
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本文建構一個Stackberg 賽局模型，以分析委託單驅動市場中資訊交易者與非資訊交易者的下單策略。模型包含資訊交易者、非資訊交易者以及流動性交易者。根據流動性演化的相關文獻的實證結果，本文假定資訊投資人具有存續期間短的私有訊息，而非資訊交易者會因學習與觀察盤面訊息而跟隨下委託單，這兩類型類投資人可根據市場狀況而選擇下市價單、限價單或兩種的組合單，至於流動性交易者只為其流動性需要而下市價單。根據模型推論得到以下結果：
1.投資人委託單下單策略有七種類型，依序是：純市價買單、市價買單與限價買單組合、純限價買單、限價買單與限價賣單組合、純限價賣單、市價賣單與限價賣單組合以及純市價賣單。投資人將根據其對風險性資產的清償價格以及價差作判斷，選擇滿足其期望效用最大的委託單策略。Parlour (1998) 的五種策略情形為本模型的特例；在本模型架構下，策略空間將被分割更精確。
2.資產清償價格與市價下單比率之間呈現非線性關係。
3.資訊交易者造成價格波動過大時，非資訊交易者可能僅下限價單。換言之，訊息驅動的波動性增加非資訊交易者的限價單下單比例，此與Foucault (1999) 的主張一致。
4.非資訊交易者下限價單的價格區間比資訊交易者大。主要原因為非資訊交易者私有訊息較少預測能力差，風險趨避程度高以及面臨較大的價差。
5.最後，本文使用數值分析驗證委託單狀態的訊息指標對下單策略的影響，分析結果與相關文獻結論一致，並強化了本模型對最適下單行為的解釋能力。
According to the empirical findings from evolution of liquidity, this dissertation constructs an optimal order submission strategy model within which a mixture of market and limit orders can be submitted by both informed and uninformed traders. In the Stacklberg Game Model, informed traders with short-lived private information are regarded as leaders, and uniformed traders with learning behaviors are referred as followers. Our theoretical findings conclude as follows: Firstly, the order strategies of all traders can be characterized as coming under one of seven regimes, pure market buy orders, a combination of market and limit buy orders, pure limit buy orders, a combination of limit buy and limit sell orders, pure limit sell orders, a combination of market and limit sell orders, and pure market sell orders. Traders will select their optimal trading strategy according to the regime within which their liquidation value falls. Parlour (1998) is a special case of this study. Secondly, an increase (reduction) in liquidation value will result in a non-linear increase in the optimal proportion of market order submissions by buyers (sellers). Thirdly, the probability of submitting limit orders for uniformed traders increases when information traders get large profit from the private information. The extreme case is uniformed traders only submit limit orders. This result is consistent with Foucault (1999). Fourthly, the price interval will be much wider when limit orders are submitted by uniformed traders than by informed traders. The reasons are that uniformed traders have no private information and that they are high risk aversion. Finally, numerical illustrations confirm the reliability of this model.
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