從下單積極性預測台指期貨價格

Forecasting the TX Futures Price from Order Aggressiveness

鄭景隆(ching- lung cheng)

指導教授 ： 林蒼祥 ； 蔡蒔銓

淡江大學/商學院/財務金融學系碩士班/碩士(2010年)

https://doi.org/10.6846/TKU.2010.00372

摘要

本研究第一部分主要是利用Anan,Chakravarty and Martell(2005)的方法，了解期貨市場投資人日內下單的行為與績效的關聯，實證結果發現台指期貨市場下市價單的績效都顯著為正，因此，本文第二部分想要了解是否能夠利用限價委託簿揭露的資訊，觀察不同的委託簿狀況，預測未來投資人最有可能採取下市價單的時機，藉此預測下一期價格的變動。主要利用Cao,Hansch and Wang (2008)的模型，從投資人下單積極性預測下一期的價格變化，同時從預測模型的解釋能力，探討委託簿揭露5檔各檔次所具有資訊性。

關鍵字

限價委託簿 ； 台指期貨 ； 下單積極性

並列摘要

The first part of this study is the use Anan, Chakravarty and Martell (2005) method to understand the orders associated performance in the futures market, empirical results show that performance of maket order of TX is significantly positive. Therefore, the second part, I use the information in the limit order book to predict the futures price.I use Cao, Hansch and Wang (2008) model, from order aggressiveness forecast the future price , and study the limit order book of five tick of the information content by explanatory power of model.

並列關鍵字

limit order book ； TX ； order aggressiveness

參考文獻

Anan,A., Chakravarty, S., & Martell,T.,(2005).Empirical evidence on the evolution of liquidity:Choice of market versus limit orders by informed and uninformed traders. Journal of Financial Markets, 8, 289–309.

Biais, B., Hillion, P., & Spatt, C. (1995). An empirical analysis of the limit order bookand the order flow in the Paris Bourse. Journal of Finance, 50, 1655–1689.

Barber, B., Lee, Y.-T., Liu, Y.-J., & Odean, T. (2008). Just how much do individual investors lose by trading? The Review of Finan-cial Studies, 21(3),117–135.

Bloomfield, R., O’Hara, M.,& Saar, G.,(2005). The ‘Make or Take’ decision in an electronic market: evidence on the evolution of liquidity. Journal of Financial Economics, 75, 165–199.

Cao, C., Hansch, O., & Wang, X. (2008). Order placement strategies in a pure limitorder book market. Journal of Financial Research, 31, 113–140.