ASIA unversity:Item 310904400/63799
English  |  正體中文  |  简体中文  |  Items with full text/Total items : 90120/105277 (86%)
Visitors : 8144014      Online Users : 1816
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    ASIAIR > College of Management > Department of Finance > Proceedings >  Item 310904400/63799


    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/63799


    Title: The Information Content of the Limit Order Book and the Corresponding Trading Strategy
    Authors: William, T.Lin;Tsai, Shih-Chuan;Zheng, Zhenlong;Lung, Pei-Yau
    Contributors: Department of Banking and Finance, Tamkang University;College of Management, Taiwan Normal University;Department of Finance, Xiamen University
    Keywords: Information content;Limit order book;Order aggressiveness;Trading strategy
    Date: 2013
    Issue Date: 2013-08-07 09:38:19 (UTC+8)
    Publisher: Department of Banking and Finance, Tamkang University;College of Management, Taiwan Normal University;Department of Finance, Xiamen University
    Abstract: This paper explores the relationship between orders and performance in the Taiwan futures market and aims to predict the futures price change using the order aggressiveness and information content in the limit order book. The results show that the performance of market orders of TAIEX futures is significantly positive, indicating that the market orders contain information. The five quotes of the limit order book can predict the change in futures prices, especially when there is an uptrend in the market. The predictability of the change in futures prices also increases when the imbalance in the price impact between the demand and supply schedules is extreme. We also use the five quotes of the limit order book to propose a trading strategy. This trading strategy could earn positive returns even when transaction costs are taken into account.
    Relation: 2013中部學術財金研討會 論文發表
    Appears in Collections:[Department of Finance] Proceedings

    Files in This Item:

    File SizeFormat
    index.html0KbHTML70View/Open


    All items in ASIAIR are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback