- 學位論文
臺灣期貨市場委託積極度及新進委託單之研究
A study of Order Aggressiveness and Incoming Order in Taiwan Futures Market
摘要
由於投資人原始委託資料取得不易，既使可以取得，成本也相對昂貴且非即時的資料，因此應用原始委託資料實證投資人委託積極度，有時效及成本的限制。所以本研究延伸胡星陽、詹場(2008)推導集合競價市場之委託單失衡衡量法，於採連續競價制度之台灣期貨市場，試圖不用原始委託資料，僅使用揭示的最佳五檔買賣價格與委託量，及時推得各種價格下之新進委託單，進而衡量投資人的委託積極度。 本研究使用2006年7月1日至12月31日近月臺指期貨投資人原始委託日內資料，驗證本研究推導方法推得之新進淨委託正確性。本研究之推導方法，大致上能正確推得各種買賣價下之新進淨委託量。 另外，本研究同時探討影響投資人委託積極度之因素，實證結果發現買方投資人的委託積極度與成交量及賣方深度呈正相關，與報酬、價格波動、價差、買方深度呈負相關；賣方投資人的委託積極度與成交量、報酬、及買方深度呈正相關，與價格波動、及賣方深度呈負相關。
並列摘要
This study focuses on the order aggressive of order-driven market. I examine the relationship between the state of the limit order book and the subsequent trading aggressiveness of the trader’s decision. I develop the method to infer the order aggressive. The information needed for applying the method is: trade price, both the best bid and ask, and their sizes. In general, the information is available for all traders. To prove the effective of my method, my empirical is based on order and transaction data from Taiwan Futures Market, which is an order-driven electronic market. The empirical result shows that my method is valid to measure the order aggressive. Also, I find that buyer (seller) order become more aggressive when the volume increase, the price decrease (increase), the volatility decrease, the spread narrow, the opposite side book is thicker, and the own side book is thinner.