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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 引用關係劉曦敏 引用關係
作者(外文):Chen, Hsiao-chiLiu, 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 spreadsQuoted depthsMarket ordersLimit orders
原始連結:連回原系統網址new window
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  • 點閱點閱:98
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。
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.
期刊論文
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4.Kavajecz, K. A.(1999)。A Specialist's Quoted Depth and Limit Order Book。Journal of Finance,54,747-771。  new window
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。  new window
6.Foucault, Thierry、Kadan, Ohad、Kandel, Eugene(2005)。Limit Order Book as A Market for Liquidity。Review of Financial Studies,18(4),1171-1217。  new window
7.Black, F.(1971)。Towards a Fully Automated Exchange。Financial Analysts Journal,27(4),29-34。  new window
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。  new window
9.Foucault, T., S. Moinas and E. Theissen(2007)。Does Anonymity Matter in Electronic Limit Order Markets?。Review of Financial Studies,20,1707-1747。  new window
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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。  new window
15.Easley, David、O'Hara, Maureen(1987)。Price, trade size and information in securities markets。Journal of Financial Economics,19(1),69-90。  new window
16.Foucault, Thierry(1999)。Order Flow Composition and Trading Costs in A Dynamic Limit Order Market。Journal of Financial Markets,2(2),99-134。  new window
17.Goettler, Ronald L.、Parlour, Christine A.、Rajan, Uday(2005)。Equilibrium in a Dynamic Limit Order Market。Journal of Finance,60(5),2149-2192。  new window
18.Handa, Puneet、Schwartz, Robert A.(1996)。Limit Order Trading。Journal of Finance,51(5),1835-1861。  new window
19.Harris, Lawrence(1998)。Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems。Financial Market, Institutions and Instruments,7(2),1-76。  new window
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。  new window
21.Chakravarty, S. and C. W. Holden(1995)。“An Integrated Model of Market and Limit Orders,”。Journal of Financial Intermediation,4,213-241。  new window
22.Domowitz, I.(1993)。“A Taxonomy of Automated Trade Execution Systems,”。Journal of International Money and Finance,12,607-631。  new window
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。  new window
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。  new window
25.Parlour, C. A.(1998)。“Price Dynamic in Limit Order Market,”。Review of Financial Studies,11,789-816。  new window
26.Wald, J. K. and H. T. Horrigan(2005)。“Optimal Limit Order Choice,”。Journal of Business,78,597-619。  new window
27.Domowitz, I.(1993)。A Taxonomy of Automated Trade Execution Systems。Journal of International Money and Finance,12,607-631。  new window
28.Chakravarty, S.、Holden, C. W.(1995)。An Integrated Model of Market and Limit Orders。Journal of Financial Intermediation,4,213-241。  new window
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。  new window
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。  new window
31.Parlour, C. A.(1998)。Price Dynamic in Limit Order Market。Review of Financial Studies,11,789-816。  new window
32.Wald, J. K.、Horrigan, H. T.(2005)。Optimal Limit Order Choice。Journal of Business,78,597-619。  new window
研究報告
1.Angel, J. A.(1990)。“Order Placement Strategy of Informed Investors: Market vs. Limit Orders,”。  new window
2.Chen, H.-C., S.-M. Liu and S. L. Slezak(2000)。“Liquidity and Joint Determination of Spreads and Depths,”。  new window
3.Hollifield, B., R. A. Miller and P. Sandas(1999)。“An Empirical Analysis of Limit Order Markets,”。  new window
4.Kavajecz, K. A.(1998)。“A Specialist’s Quoted Depth as a Strategic Choice Variable,”。  new window
5.Kumar, P. and D. Seppi(1994)。“Limit and Market Orders with Optimizing Traders,”。  new window
6.Rock, K.(1996)。“The Specialist’s Order Book and Price Anomalies,”。  new window
7.Angel, J. A.(1990)。Order Placement Strategy of Informed Investors: Market vs. Limit Orders。  new window
8.Beber, A.、Caglio, C.(2005)。Order Submission Strategies and Information: Empirical Evidence from the NYSE。  new window
9.Hollifield, B.、Miller, R. A.、Sandas, P.(1999)。An Empirical Analysis of Limit Order Markets。  new window
10.Kavajecz, K. A.(1998)。A Specialist’s Quoted Depth as a Strategic Choice Variable。  new window
11.Kumar, P.、Seppi, D.(1994)。Limit and Market Orders with Optimizing Traders。  new window
12.Rock, K.(1996)。The Specialist’s Order Book and Price Anomalies。  new window
13.Chen, H.-C.、Liu, S.-M.、Slezak, S. L.(2000)。Liquidity and Joint Determination of Spreads and Depths。  new window
 
 
 
 
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