委託單驅動市場之投單策略分析

本文建構一個二期的賽局模型，以分析委託單驅動市場中流動性交易者與資訊交易者的投單策略。模型包含了三種交易者：散戶、資訊交易者和流動性交易者，並假設資訊交易者和流動性交易者可根據市場的條件及猜測交易對手的行爲而選擇下市價單或限價單。由模型的結果，我們可觀察交易者之間策略的互動，及分析流動性交易者下限價單的逆選擇成本與未成交風險。根據模型推論，在另一種交易者下限價單的條件下，流動性與資訊交易者下限價單的決策都會受到市價與資產期望值之間價差的影響。另外，交易對手中資訊交易者所佔的比例，會減少流動性交易者下限價單的偏好，而當內部價差減去限價單價格改善幅度的值愈小時，資訊交易者愈會下限價單以期望有價格改善。

關鍵字

委託單驅動市場；限價單；交易者投單策略

並列摘要

This report provides a theoretical game model for analyzing liquidity traders' and informed investors' order-submission strategies in an order-driven market. The model includes three kinds of investors: (1) noise traders, (2) informed traders and (3) liquidity traders. Although all kinds of investors want to buy or sell one unit of a security, both informed and liquidity traders can choose to place a market order or a limit order, conditioned on the state of the market. Through the use of several simplified assumptions, the risk of non-execution and the cost of adverse selection faced by liquidity traders when choosing to submit a limit order can be shown. By the equilibrium of this model, it was found that liquidity and informed investors' order-submission strategies depend on the spread of the asset value and the market price. It was also found that the proportion of informed traders influences the propensity of liquidity traders to submit a limit order.

並列關鍵字

order-driven market ； limit order ； order-submission strategies

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