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政大典藏 > College of Commerce > Department of Finance > Periodical Articles > Item 140.119/71565

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/71565

Title:	限價單或是市價單? 價格改善與延遲交易之抵換關係探討
Other Titles:	Limit Order or Market Order? The Trade-Off between Price Improvement and Delayed Execution
Authors:	蔡怡純;馬黛;陳明吉 Tsai, I-Chun;Ma, Tai;Chen, Ming-Chi
Contributors:	財管系
Keywords:	asymmetric information;order-driven market;market order;limit order
Date:	2007-07
Issue Date:	2014-11-19 15:55:18 (UTC+8)
Abstract:	We develop a dynamic model of order submission strategies in an order-driven market, where traders differ in their share valuations. Our model shows that several factors influence the uninformed trader’s choice of order to submit: the market price, the expected asset value, the probability of order execution, and the tick. In addition to these factors, the non-execution probabilities arising from improving the price of execution also influence the limit price. The findings and implications of the model can explain the empirical findings of the relationships among the spread, the asset value volatility, the expected asset value, and the trader`s order submission strategy. Further, the results suggest that overconfident traders tend to submit market orders.
Relation:	經濟與管理論叢, 3(2), 201-223
Data Type:	article
Appears in Collections:	[Department of Finance] Periodical Articles

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