A Dynamic Model of Order Execution and the Intraday Cost of Limit Orders

委託單執行的動態及限價單成本的日內型態分析

蔡怡純(I-Chun Tsai) ； 馬黛(Tai Ma)

《台灣管理學刊》 9卷2期 (2009/08) Pp. 137-163

https://doi.org/10.6295/TAMJ.2009.0902.02

摘要

本文建構了一個委託單驅動市場的動態模型來分析交易者下限價單的決策，模型假設交易者對資產的評價不同，而在考慮了非資訊交易者的學習過程後，我們可以分析委託單成交的動態。本文的模型推論與既存的討論委託單序列及執行之實證文獻密切相關，並補足了文獻對限價委託單成本討論的缺乏：文中指出非資訊交易者之限價單交易成本的日內型態為U型。

關鍵字

委託單驅動市場 ； 成交機率 ； 委託單序列 ； 日內型態 ； 執行成本

並列摘要

We developed a dynamic model of limit order in an order-driven market, wherein traders differ in their share valuations. Taking into consideration the Traders' learning process, and allowing variations in the conditional probability of limit order execution, we can analyze the dynamics of such order execution. Our results, which have interesting empirical implications, are closely related to existing literature on order sequences and order execution, and yield further insight into the dynamic process of order execution. Furthermore, the paper complements literature on transaction costs of limit orders, as this study shows that the intraday pattern of the cost of limit order submitted by uninformed traders is U-shaped.

並列關鍵字

order-driven market ； probability of execution ； order sequences ； intraday patterns ； execution cost

參考文獻

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