Order Revisions, Order Aggressiveness, and Performance

• Main Authors: Chen, Wan-Yu, 陳婉瑜
• Other Authors: Hsieh, Pei-Fang
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/msn93p

碩士 === 國立清華大學 === 計量財務金融學系 === 106 === This study provides the evidence whether the limit order cancellations and revisions are associated with investors' trading strategies based on the unique order and transaction data of options and futures provided by Taiwan Futures Exchange (TAIFEX). We find that the dealers, who cancel or revise orders and concurrently submit the aggressive orders indeed have higher execution rate of their orders. However, in futures market for low liquidity contracts the higher execution rate has no improvement on their trading profits, which means they just tend to chase the market. We also find that the foreign institutional investors, which are considered as informed traders and make notable profits in Taiwan options and futures market, do also frequently cancel or revise orders. Our findings provide consistent viewpoint with previous studies that indicate the order cancellations and revisions are kinds of trading strategies.