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

價差、深度、及市價單和限價單的最適下單策略

陳孝琪(Hsiao-Chi Chen) ； 劉曦敏(Shi-Miin Liu)

《經濟研究》 46卷1期 (2010/01) Pp. 1-67

https://doi.org/10.29765/TEI.201001.0001

摘要

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。

關鍵字

買賣價差 ； 報價深度 ； 市價單 ； 限價單

並列摘要

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.

並列關鍵字

Bid-ask Spreads ； Quoted Depths ； Market Orders ； Limit Orders

參考文獻

Anand, A.,S. Chakravarty,T. Martell(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.

Angel, J. A.(1990).Order Placement Strategy of Informed Investors: Market vs. Limit Orders.(University of California at Berkeley Working Paper).

Bae, K-H.,H. Jang,K. S. Park(2003).Traders' Choice between Limit and Market Orders: Evidence from NYSE Stocks.Journal of Financial Market.6,517-538.

FAME Research Paper Series

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