| Summary: | 碩士 === 國立交通大學 === 財務金融研究所 === 104 === Due to the prevalence of the electronic finance, the transaction proportion of high frequency trading around the world is raising year by year. High frequency traders (HFTs) could benefit greatly with the help of algorithms and the variety of their trading strategies. Therefore, the behavior, strategy and market impact of the high frequency traders are extensively discussed in academia recently. This research sifts the high frequency traders from the participants in Taiwan option market, and analyzes the ordering and trading difference between the HFTs and non-HFTs when the market situation changed. The research also distinguishes the orders for market making strategy and opportunistic strategy in HFTs orders, based on the market maker rule in Taiwan option market. We find that the order submission of HFTs and non-HFTs are not different in rising and declining stock market. Both traders are more active in the trading days with high market volatility. HFTs are persistently more active than non-HFTs, regardless the changes in market situation. Finally, HFTs’ ordering volume is similar when they implement market making and opportunistic strategies, however, HFTs’ trading volume is substantially larger when they implement opportunistic strategies than market making strategies.
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