Order Aggressiveness, Trading Patience, and Trader Types in a Limit Order Market

被引：6

作者：

Chiu, Junmao ^{[1
]}

Chung, Huimin ^{[2
]}

Wang, George H. K. ^{[3
]}

机构：

[1] Yuan Ze Univ, Coll Management, Finance, Taoyuan, Taiwan

[2] Natl Chiao Tung Univ, Grad Inst Finance, Finance, Hsinchu, Taiwan

[3] George Mason Univ, Sch Business, Finance, Fairfax, VA 22030 USA

来源：

JOURNAL OF FUTURES MARKETS | 2017年 / 37卷 / 11期

关键词：

INDEX FUTURES MARKET; LIQUIDITY PROVISION; FOREIGN INVESTORS; INSTITUTIONAL INVESTORS; EMPIRICAL-ANALYSIS; BOOK; INFORMATION; BEHAVIOR; TAIWAN; FLOWS;

D O I：

10.1002/fut.21832

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study examines the order aggressiveness and trading patience of foreign institutional traders, futures proprietary firm traders, individual day and non-day traders in the Taiwan index futures market. We consider order choice given a completely transparent limit order book. Our empirical results show that individual (foreign institutional) traders use a more aggressive (patient) order submission strategy than the other trader types. We find significant differences among trader types in the timing of order aggressiveness and trading patience over the intraday time period. Both top and rest-of-the-order-book activities affect traders' order submission decisions. (c) 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:1094-1123, 2017

引用

页码：1094 / 1123

页数：30

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