摘要
本篇論文建構三個理論模型以討論委託單驅動市場的相關課題。第一個模型探討非資訊的限價單交易者的學習過程: 預期限價單成交機率的動態、最適限價的動態調整、限價單交易成本的日內型態; 第二個模型探討非資訊交易者的投單策略與限價策略，以觀察一些外生變數 (如: 市價買賣價、資產期望值、未成交風險機率、檔位等等)對投單及限價策略的影響; 第三個模型考量了資訊不對稱和交易者投單策略的相互影響，來探討委託單趨動市場中不同交易者的投單策略、成交機率、逆選擇成本、未成交風險及價差等課題。
根據三個模型的分析，本論文得到許多支持目前實証相關文獻的結論，如:投單策略的決定因素、委託單市場的價差分析、委託單市場日內型態的說明、委託單序列的描述…等等。
本論文的貢獻在於說明幾個實証上觀察到的現象，而這些現象是目前理論文獻尚無完整解釋的，如: 委託單到達或委託單執行序列的非隨機、限價單交易者的動態調整、限價單成本的描述與其日內型態、價差與資產價格波動性對交易者下限價單偏好的影響、資訊交易者的投單策略。期盼透過本論文的研究，讓人們可以更詳細了解委託單市場的微結構。

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目錄
第壹章 導論……………………………………………………………5
第一節 研究動機…………………………………………………………….5
第二節 研究目的…………………………………………………………….9
第三節 論文架構與內容簡介……………………………………………….11
第貳章 文獻回顧………………………………………………………14
第一節 委託單趨動市場之交易者投單策略……………………………….14
第二節 証券交易者之策略行為…………………………………………….16
第三節 資訊內涵…………………………………………………………….17
第四節 交易時間與價格行為……………………………………………….19
第五節 小結………………………………………………………………….20
第參章 委託單市場成交機率、價格形成、交易成本的動態行為….22
第一節 模型假設…………………………………………………………….22
第二節 均衡價格與價差…………………………………………………….24
第三節 均衡價格與價差的影響因素……………………………………….29
第四節 動態分析…………………………………………………………….31
第五節 委託單序列………………………………………………………….34
第六節 限價單交易成本的日內型態……………………………………….35
第七節 模型推論……………………………………………………………36
第八節 小結…………………………………………………………………39
第肆章 委託單市場非資訊交易者投單與限價策略…………………41
第一節 模型假設…………………………………………………………….41
第二節 市價單或限價單: 投單策略分析…………………………………..44
第三節 限價單之價格決定: 限價策略分析………………………………..49
第四節 數值分析………………………………………………………….…51
第五節 模型應用與文獻討論……………………………………………….55
第六節 小結………………………………………………………………….58
第伍章 委託單市場資訊與非資訊交易者投單策略的相互影響……60
第一節 理論模型…………………………………………………………….60
第二節 模型假說與實証方法……………………………………………….76
第三節 資料描述與實証結果……………………………………………….78
第四節 小結………………………………………………………………….80
第陸章 結論……………………………………………………………82
附錄……………………………………………………………………..87
參考文獻………………………………………………………………..97

表目錄
表1.1 論文模型簡述………………………………………………………………13
表5.1 公司特性的簡單統計量……………………………………………………79
表5.2 模型5.1的估計結果 (限價策略為1%)…………………………………..79
表5.3 模型5.2的估計結果……………………………………………………….80
圖目錄
圖3.1 非資訊交易者所預期面對的市場情況……………………………………26
圖3.2 x、y值分佈…………………………………………………………………28
圖4.1 非資訊交易者所預期面對的市場情況……………………………………45
圖4.2 市價買價與最適限價之間的關係…………………………………………52
圖4.3 非資訊交易者的資產期望值與最適限價之間的關係……………………53
圖4.4 要求價格改善所增加的未成交風險機率與最適限價之間的關係………53
圖4.5 市場繼續交易之機率與最適限價之間的關係……………………………54
圖4.6 檔位與最適限價之間的關係………………………………………………54
圖5.1 流動性交易者賣方數量與買方下限價單決策之關係……………………69
圖5.2 流動性交易者賣方數量與資訊交易者下限價單決策之關係( <0).74
圖5.3 流動性交易者賣方數量與資訊交易者下限價單決策之關係( =0).74

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