Title page for etd-0606114-235617


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URN etd-0606114-235617
Author Pei-fang You
Author's Email Address No Public.
Statistics This thesis had been viewed 5538 times. Download 1019 times.
Department Finance
Year 2013
Semester 2
Degree Master
Type of Document
Language English
Title Picking-off Risk, Non-execution Risk and Order Aggressiveness of Limit Orders
Date of Defense 2014-06-24
Page Count 51
Keyword
  • order aggressiveness
  • non-execution risk
  • picking-off risk
  • limit order
  • filled rate
  • order survival time
  • Abstract This study investigates the relationship between non-execution risk, picking-off risk and order aggressiveness. We use order-level data and display data from the Taiwan Stock Exchange to classify the order aggressiveness of each order. We construct the measurement of non-execution risk and, picking-off risk. We define total risk as non-execution risk plus picking-off risk.
    Our main findings are as follows. (1) The more aggressive the order, the higher the filled rate and the shorter the execution time. (2) When investors want to trade using sell orders, the more aggressive the price, the lower the total risk. (3) Under sufficient liquidity and low volatility market conditions, the lower the aggressive price, the lower the total risk when investors want to trade using buy orders. (4) There exists a tradeoff relationship between non-execution risk and picking-off risk. (5) The main risk affecting total risk of more aggressive orders is picking-off risk. On the other hand, (6) the main risk affecting total risk of less aggressive orders is non-execution risk.
    Advisory Committee
  • Shing-Yang Hu - chair
  • Shu-fan Hsieh - co-chair
  • Tai Ma - advisor
  • Files
  • etd-0606114-235617.pdf
  • indicate access worldwide
    Date of Submission 2014-07-07

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