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|Title: ||台灣期貨市場快速刪單之研究 —從投資者身分別探討|
A Study of Fleeting Orders in Taiwan’s Futures Markets Across Investor Types
Zhang, Ting Jun
Lin, Ching Ting
high frequency trading
Taiwan’s futures markets
|Issue Date: ||2015-07-27 11:24:18 (UTC+8)|
|Abstract: ||本篇論文主要探討台灣期貨市場於2005年至2008年的快速抽單(Fleeting orders)現象。文章將市場交易者區分為機構法人、散戶、自營商以及外資共四類族群，研究抽單背後的動機是否與各族群中交易者的下單積極程度、追價動作，或是降低成交成本有關。實證結果顯示，機構法人在快速抽單動作上無顯著動機；在散戶部分，僅部分散戶具有能力進行快速抽單，而其主要動機是為了降低交易成本。自營商的進場動機，主要是以造市為考量，因此測試市場上是否存在更激進的交易對手單是快速抽單的原因之一。此外，自營商亦會因要降低成交成本而進行快速抽單的動作。由於外資的主要策略是使用波段操作獲取大額利潤，無顯著證據證明外資進行快速抽單的動機是涵蓋於上述三種假設。|
This paper focuses on the phenomenon of fleeting orders in Taiwan’s futures markets from 2005 to 2008. Traders who in the markets will be divided into local institutional investors, individual, Dealer, and foreign institutional investors. Our study will find the motivation behind fleeting orders under the three hypotheses: attractive, chasing, and the cost-of-immediacy. The empirical results show that local institutional investors have no significant motivation. Only part of individual investors have the ability to use fleeting orders, and their main motivation is to reduce transaction costs. Dealers act as a market maker, so the main motivation for dealers is to raise liquidity. So to test whether a more aggressive limit orders exists in the market is one of the reasons for them to submit fleeting orders. In addition, dealers will also cancel limit orders in order to reduce the transaction costs. Because the main strategy for foreign institutional investors is to obtain a large profit during a period, they have no significant evidence to explain any motivation under the three assumptions.
This article also analysis the relationship between fleeting orders and performance, and investigate whether the high fleeting ratio could bring much better profits. The empirical result show that all of four type investors have no significant positive correlation of fleeting orders and performance, but individual investors have significant negative correlation of fleeting orders and performance. Each of four type investors has different trading patterns, so that we should treat them case by case. The contribution of this paper is to prove that the four type investors have different strategies when they use trading program, and they also have different experience in Taiwan’s futures markets.
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|Source URI: ||http://thesis.lib.nccu.edu.tw/record/#G1023520181|
|Data Type: ||thesis|
|Appears in Collections:||[金融學系] 學位論文|
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