股市投資人投單策略形成之模擬研究

劉維琪 ； 吳欽杉 ； 劉玉珍

《管理評論》 9卷 (1990/07) Pp. 139-154

https://doi.org/10.6656/MR.1990.9.CHI.139

摘要

欲設計交易制度以提高股市績效，首須探討投資人的策略反應行為。本研究經由模擬分析觀察市場投單策略的型態，同時也發現雙帆形分配僅為一種特例，此外，本研究探討觀察投資屬性與投單策略的關係，結果發現：公司規模越小，投資人需求彈性越大，進出價差越小，投資人越無法忍受訂單不能成交時，就越可能投遞市價訂單。

關鍵字

投單策略 ； 市價委託 ； 限價委託 ； 雙帆形分配 ； 引力效果

並列摘要

The pattern of investors' order placement strategy have to be understood first in order to design a workable trading system and/or to improve stock market performance. This simulation study observes the pattern of order placement straegy and find that yawl distribution suggested is just a special case. Furthermore, this paper examines the relationship between investors' attributes and their order placement strategy. The simulation results conclude that invertors are more tend to place market orders as firm size becomes smaller, the demand elasticity is larger, the bid-ask spread turns to be smaller, or the investors are more difficult to endure the probability of unexecution of orders.

並列關鍵字

Order placement strategy ； Market order ； Limit order ； Yawl distibution ； Pravitational pull