The Predictability of Options limit order book on return between different investors

碩士 === 淡江大學 === 財務金融學系碩士班 === 102 === This paper collect height, weight and order imbalance information of option limit order book, and use model of Cao, Hansch, and Wang(2009) which uses the information of future limit order book to predict the abnormal return, to test the predictability of options...

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Bibliographic Details
Main Authors: Kang-Jen Wu, 吳剛任
Other Authors: Dr. William T. Lin
Format: Others
Language:zh-TW
Published: 2014
Online Access:http://ndltd.ncl.edu.tw/handle/91825692212142146295