政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/61083
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/61083


    Title: Liquidity Cost of Market Orders in the Taiwan Stock Market: A Study based on an Order-Driven Agent-Based Artificial Stock Market
    Authors: Huang,Yi-Ping;Chen,Shu-Heng;Hung,Ming-Chin;Yu,Tina
    Contributors: 政大經濟系
    Keywords: Order-driven;Liquidity cost;Zero-intelligence traders;Agent-based artificial stock market
    Date: 2012-06
    Issue Date: 2013-09-17 16:13:25 (UTC+8)
    Abstract: We developed an order-driven agent-based artificial stock market to analyze the liquidity costs of market orders in the Taiwan Stock Market (TWSE). The agent-based stock market was based on the DFGIS model proposed by Daniels, Farmer, Gillemot, Iori and Smith (Daniels et al., 2003). We also improved the DFGIS model by using two average order size parameters. When tested on 10 stocks and securities in the market, the model-simulated liquidity costs were higher than those of the TWSE data. We identified some possible factors that have contributed to this result: 1) the overestimated effective market order size, which can be improved by using two average order size parameters; 2) the random market order arrival time designed in the DFGIS model; 3) the zero-intelligence of the artificial agents in our model; and 4) the price of the effective market order. We continued improving the model so that it could be used to study liquidity costs and to devise liquidation strategies for stocks and securities traded in the Taiwan Stock Market.
    Relation: International Review of Financial Analysis, 23, 72-80
    Data Type: article
    DOI link: http://dx.doi.org/10.1016/j.irfa.2011.06.013
    DOI: 10.1016/j.irfa.2011.06.013
    Appears in Collections:[Department of Economics] Periodical Articles

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