Order Aggressiveness, Order Book Conditions, and Long-memory in an Order-driven Market
2009/10/20
研討會日期 : 2009-10-20
時間 : 14:30
主講人 : 山本竜市助理教授
地點 : B110
演講者簡介 : 山本竜市教授為Ph.D. in International Economics and Finance，Brandeis University (2006)。現為政治大學國貿系助理教授。其主要研究領域為國際金融及國際經濟。
演講摘要 : Recent empirical research has provided the following two results on the behaviors of stock investors. First, they tend to submit more aggressive orders as the depth on the same side of the order book becomes thicker, in order to avoid non-execution of their orders. Second, they are likely to place less aggressive orders as the bid-ask spread becomes wider, because they can trade a share soon at a better price than the price at which market orders are executed. The empirical evidence suggests that investors’ order submissions are influenced by the order-book condition and involve a trade-off between advantageous price and immediacy of execution. In this paper we conjecture that those strategies are related to long-memories of volume, volatility and order signs. We provide theoretical economic foundation to explain that those agents’ behaviors are critical for generating all long-memories.
