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政大典藏 > College of Commerce > Department of Money and Banking > Periodical Articles > Item 140.119/121272

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/121272

Title:	Trader types and fleeting orders: Evidence from Taiwan Futures Exchange
Authors:	林靖庭 Lin, Ching‐Ting Kuo, Wei‐Yu 郭維裕
Contributors:	金融系;國貿系
Keywords:	fleeting order;network trading;order cancellation;Taiwan futures markets;trader types
Date:	2018-12
Issue Date:	2018-12-07 17:33:11 (UTC+8)
Abstract:	This paper investigates the relation between trader type and fleeting order strategy based on unique data from Taiwan Futures Exchange. We find that fleeting orders are more commonly used by institutional traders than individual traders. There exists intraday seasonality of fleeting orders submitted by institutional traders. Institutional traders do not chase market prices, but respond to changes in immediate execution costs. Network orders constitute a key component of the fleeting order strategy of proprietary traders. In sum, different types of traders, including individual traders, proprietary traders, and foreign traders, exhibit significantly different behaviors when deploying the fleeting order strategy.
Relation:	Journal of Futures Markets, Volume38, Issue12, Pages 1443-1469
Data Type:	article
DOI link:	https://doi.org/10.1002/fut.21963
DOI:	10.1002/fut.21963
Appears in Collections:	[Department of Money and Banking] Periodical Articles

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