從選擇權限價單修正率檢視投資人交易之隱含資訊 - 以台指選擇權為例

The information content of limit order revisions : an empirical analysis of TXO

鄭珪欣(Cheng, Kuei Hsin)

指導教授 ： 謝佩芳

國立清華大學/科技管理學院/計量財務金融系/碩士(2015年)

摘要

投資人除利用選擇權進行避險，也利用選擇權的交易策略以賺取價差。投資人下單時會根據當下之市場狀態或其所擁有對市場的私有資訊。再者，委託單的修正表示投資人在監控市場變化之後修正其投資策略。因此，修正後的委託單會反映出投資人對於市場狀況的新預期。而委託單之修正代表投資人取消委託單或修改委託單之委託量的行為。本研究中利用限價單之修正率探討影響修正率的因素，以及各類投資人所受因素是否有所不同。

關鍵字

修正率 ； 資訊內涵 ； 限價單

並列摘要

Investors can hedge and earn the spread by trading option. When they submit a new order, they make decision depending on the information they can gather. They continue to monitor the market to revise their trading strategies. Therefore, their revised orders will reflect their new expectation in the market. Revision means that modifying and cancelling a limit order. We will use limit order revision ratio to find
out which kind of factors will affect it the most.

並列關鍵字

Revision ratio ； Information content ； Limit order

參考文獻

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