The Information Content of the Option Limit-order Book and the Power to Predict Price
碩士 === 淡江大學 === 財務金融學系碩士班 === 102 === This paper use the method of Cao, Hansch and Wang(2009) for the Taiwan futures market to discuss the information about future price change content of Taiwan Stock Index Option`s limit order book. We construct the original intraday situation of the limit order b...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/11630621310940964531 |