Title page for etd-0603114-124015


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URN etd-0603114-124015
Author CHENG YING YUAN
Author's Email Address No Public.
Statistics This thesis had been viewed 5348 times. Download 4 times.
Department Finance
Year 2013
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title HFT spoofing strategy 、performance and stock volatility
Date of Defense 2013-07-08
Page Count 65
Keyword
  • Stock volatility
  • Performance
  • Spoofing Strategy
  • High Frequency Trading
  • Abstract I analysis a spoofing strategy in which high frequency trading spoof and mislead the investors through placing large orders with little chance of being executed to cause an order imbalance. And at the same time high frequency trading trade opposite with less transaction cost.
    Using the complete intraday order and trade data of the Taiwan Exchange in a custom data set identifying individual accounts, I find that spoofing strategy is used often especially a dealer(Proprietary trader) use it sixty-nine times each day. To spoof and mislead the other traders ,high frequency trading place orders between the best third and fourth bid/ask which are little chance of being executed but will be disclosed in the order book .With the large negative orders, high frequency trading sometimes can cause a serious order imbalance which reduce the effectiveness of the order-disclosure rule obviously. What’s more, with the use of spoofing strategy, high frequency trading can achieve substantial extra profits and increase the intraday stock volatility.
    Advisory Committee
  • jie you jiang lin - chair
  • None - co-chair
  • Tai Ma - advisor
  • Jen-Jsung, Huang - advisor
  • Files
  • etd-0603114-124015.pdf
  • Indicate in-campus at 5 year and off-campus access at 5 year.
    Date of Submission 2014-07-03

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