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

• 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

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 limit order book on return, and divide the investor to individual investor, institution excluding market maker, and market maker. Because the sample period including financial crisis and the changing of the revealing frequency in stock market, we also test whether predictability of options limit order book would change or not in these two period, Because different kind of investor would not have the same information and knowledge, and the trading volume of TXO is largest in option market, we use the TXO data to build the different kind investor’s limit order book, and calculate the best five order price and order volume. By this information, we could realize the order aggressive of different kind investor, and expect the future trend of option price. This paper’s empirical figures out that, limit order book of individual investor has the best predictability on option price. In financial crisis period, the predictability would be down, but when revealing frequency in stock market increases, the predictability on option price would up.