English  |  正體中文  |  简体中文  |  Post-Print筆數 : 11 |  Items with full text/Total items : 88668/118332 (75%)
Visitors : 23507159      Online Users : 615
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/64745


    Title: An Order-Driven Agent-Based Artificial Stock Market to Analyze Liquidity Costs of Market Orders in the Taiwan Stock Market
    Authors: 陳樹衡
    Huang, Yi-Ping;Chen, Shu-Heng;Hung, Min-Chin;Yu, Tina
    Contributors: 經濟系
    Date: 2011
    Issue Date: 2014-03-20 16:24:20 (UTC+8)
    Abstract: 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 [2]. 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; 2) the random market orders arrival time designed in the DFGIS model; and 3) the zero-intelligence of the artificial agents in our model. 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.
    Relation: Natural Computing in Computational Finance Studies in Computational Intelligence Volume 380, 2012, pp 163-179
    Data Type: book/chapter
    DOI 連結: http://dx.doi.org/10.1007/978-3-642-23336-4_9
    DOI: 10.1007/978-3-642-23336-4_9
    Appears in Collections:[經濟學系] 專書/專書篇章

    Files in This Item:

    File Description SizeFormat
    163179.pdf258KbAdobe PDF996View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback