Spreads, Depths, and Optimal Submission Strategies of Market and Limit Orders_

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題名：	Spreads, Depths, and Optimal Submission Strategies of Market and Limit Orders
書刊名：	經濟研究. 臺北大學經濟學系
作者：	陳孝琪／劉曦敏
作者(外文)：	Chen, Hsiao-chi／Liu, Shi-miin
出版日期：	2010
卷期：	46:1
頁次：	頁1-67
主題關鍵詞：	買賣價差；報價深度；市價單；限價單；Bid-ask spreads；Quoted depths；Market orders；Limit orders
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:0 點閱:99

本文分析一個獨占的造市者如何決定其最適的報價價差和深度，以及資訊交易者和非資訊交易者的最適下單策略。我們發現報價深度對交易者的最適下單決策有顯著的影響。因此，造市者可透過調整報價深度以避免來自市場上買、賣一方或雙方的不利交易。此外，我們亦證明當價差變小、深度增加、同邊的限價單數量增加、或預期未來的市價單減少時，交易者較願意採用市價單。相反的情況下，交易者則較願意採用限價單。

以文找文

This paper analyzes a monopolistic market maker's joint determination of quoted spreads and depths, as well as informed and uninformed traders' optimal submission strategies under various trading environments. The influence of quoted depths on traders' order-submission decisions is found to be significant. Therefore, the market maker can adjust quoted depths to avoid unfavorable trades on one side or both sides of the market. In addition, it is shown that traders are more willing to submit market orders when spreads decrease, depths increase, same-side limit order books are thicker, or expected future market order flows decrease. Conversely, limit orders are preferred.

以文找文

期刊論文
1.	Glosten, L.(1994)。Is the Electronic Open Limit Order Book Inevitable?。Journal of Finance，49，1127-1161。
2.	Seppi, D. J.(1997)。Liquidity Provision with Limit Orders and a Strategic Specialist。Review of Financial Studies，10(1)，103-150。
3.	Kaniel, Ron、Liu, Hong(2006)。So What Orders Do Informed Traders Use?。Journal of Business，79，1867-1913。
4.	Kavajecz, K. A.(1999)。A Specialist's Quoted Depth and Limit Order Book。Journal of Finance，54，747-771。
5.	Anand, A.、Chakravarty, S.、Martell, T.(2005)。Empirical Evidence on the Evolution of Liquidity: Choice of Market Versus Limit Orders by Informed and Uninformed Traders。Journal of Financial Markets，8，289-309。
6.	Foucault, Thierry、Kadan, Ohad、Kandel, Eugene(2005)。Limit Order Book as A Market for Liquidity。Review of Financial Studies，18(4)，1171-1217。
7.	Black, F.(1971)。Towards a Fully Automated Exchange。Financial Analysts Journal，27(4)，29-34。
8.	Bae, K. H.、Jang, H.、Park, K. S.(2003)。Traders’Choice between Limit and Market Orders: Evidence from NYSE Stocks。Journal of Financial Market，6，517-538。
9.	Foucault, T., S. Moinas and E. Theissen(2007)。Does Anonymity Matter in Electronic Limit Order Markets?。Review of Financial Studies，20，1707-1747。
10.	Chung, K. H.、Ness, B. F. V.、Ness, R. A. V.(1999)。Limit Orders and the Bid-ask Spread。Journal of Financial Economics，53，255-287。
11.	Harris, Lawrence、Hasbrouck, Joel(1996)。Market vs. Limit Orders: The Super DOT Evidence on Order Submission Strategy。Journal of Financial and Quantitative Analysis，31，213-231。
12.	Dupont, Dominique(2000)。Market Making, Prices, and Quantity Limits。Review of Financial Studies，13(4)，1129-1151。
13.	Kyle, A. S.(1985)。Continuous auctions and inside trading。Econometrica，53(6)，1315-1335。
14.	Biais, Bruno、Hillion, Pierre、Spatt, Chester(1995)。An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse。Journal of Finance，50(5)，1655-1689。
15.	Easley, David、O'Hara, Maureen(1987)。Price, trade size and information in securities markets。Journal of Financial Economics，19(1)，69-90。
16.	Foucault, Thierry(1999)。Order Flow Composition and Trading Costs in A Dynamic Limit Order Market。Journal of Financial Markets，2(2)，99-134。
17.	Goettler, Ronald L.、Parlour, Christine A.、Rajan, Uday(2005)。Equilibrium in a Dynamic Limit Order Market。Journal of Finance，60(5)，2149-2192。
18.	Handa, Puneet、Schwartz, Robert A.(1996)。Limit Order Trading。Journal of Finance，51(5)，1835-1861。
19.	Harris, Lawrence(1998)。Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems。Financial Market, Institutions and Instruments，7(2)，1-76。
20.	Lee, Charles M. C.、Mucklow, Belinda、Ready, Mark J.(1993)。Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis。The Review of Financial Studies，6(2)，345-374。
21.	Chakravarty, S. and C. W. Holden(1995)。“An Integrated Model of Market and Limit Orders,”。Journal of Financial Intermediation，4，213-241。
22.	Domowitz, I.(1993)。“A Taxonomy of Automated Trade Execution Systems,”。Journal of International Money and Finance，12，607-631。
23.	Kavajecz, K. A. and E. R. Odders-White(2001)。“An Examination of Changes in Specialists’ Posted Price Schedules,”。Review of Financial Studies，14，681-704。
24.	Liu, S.-M., W.-J. Tseng and H.-C. Chen(2001)。“Liquidity Measurement for Markets with Quote-Driven Trading Mechanism: An Empirical Analysis Using Intraday Data of NYSE and Nasdaq,”。Taipei Economic Inquiry，37: 2，1-39。
25.	Parlour, C. A.(1998)。“Price Dynamic in Limit Order Market,”。Review of Financial Studies，11，789-816。
26.	Wald, J. K. and H. T. Horrigan(2005)。“Optimal Limit Order Choice,”。Journal of Business，78，597-619。
27.	Domowitz, I.(1993)。A Taxonomy of Automated Trade Execution Systems。Journal of International Money and Finance，12，607-631。
28.	Chakravarty, S.、Holden, C. W.(1995)。An Integrated Model of Market and Limit Orders。Journal of Financial Intermediation，4，213-241。
29.	Kavajecz, K. A.、Odders-White, E. R.(2001)。An Examination of Changes in Specialists' Posted Price Schedules。Review of Financial Studies，14(3)，681-704。
30.	Liu, S.-M.、Tseng, W.-J.、Chen, H.-C.(2001)。Liquidity Measurement for Markets with Quote-Driven Trading Mechanism: An Empirical Analysis Using Intraday Data of NYSE and Nasdaq。Taipei Economic Inquiry，37(2)，1-39。
31.	Parlour, C. A.(1998)。Price Dynamic in Limit Order Market。Review of Financial Studies，11，789-816。
32.	Wald, J. K.、Horrigan, H. T.(2005)。Optimal Limit Order Choice。Journal of Business，78，597-619。

研究報告
1.	Angel, J. A.(1990)。“Order Placement Strategy of Informed Investors: Market vs. Limit Orders,”。
2.	Chen, H.-C., S.-M. Liu and S. L. Slezak(2000)。“Liquidity and Joint Determination of Spreads and Depths,”。
3.	Hollifield, B., R. A. Miller and P. Sandas(1999)。“An Empirical Analysis of Limit Order Markets,”。
4.	Kavajecz, K. A.(1998)。“A Specialist’s Quoted Depth as a Strategic Choice Variable,”。
5.	Kumar, P. and D. Seppi(1994)。“Limit and Market Orders with Optimizing Traders,”。
6.	Rock, K.(1996)。“The Specialist’s Order Book and Price Anomalies,”。
7.	Angel, J. A.(1990)。Order Placement Strategy of Informed Investors: Market vs. Limit Orders。
8.	Beber, A.、Caglio, C.(2005)。Order Submission Strategies and Information: Empirical Evidence from the NYSE。
9.	Hollifield, B.、Miller, R. A.、Sandas, P.(1999)。An Empirical Analysis of Limit Order Markets。
10.	Kavajecz, K. A.(1998)。A Specialist’s Quoted Depth as a Strategic Choice Variable。
11.	Kumar, P.、Seppi, D.(1994)。Limit and Market Orders with Optimizing Traders。
12.	Rock, K.(1996)。The Specialist’s Order Book and Price Anomalies。
13.	Chen, H.-C.、Liu, S.-M.、Slezak, S. L.(2000)。Liquidity and Joint Determination of Spreads and Depths。

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