本文主要研究限價單的未成交風險、picking-off風險與委託價格積極度之關系。使用臺灣證券交易所的委託檔與揭示檔資料，對逐筆委託單進行價格積極度的分類。本文建立了衡量未成交風險與picking-off 風險的方法，將未成交風險與picking-off 風險相加視為總風險。
本文主要發現有：(1)委託價格越積極，成交率越高及成交所需時間越短。(2)使用賣單下越積極的價格，總風險越小。(3)當市場流動性充足或波動不劇烈的時候，限價買單越不積極，總風險越小。(4)未成交風險與picking-off風險存在抵換關係。(5)越積極的委託單主要影響總風險的因素是picking-off風險。(6)越不積極的委託單主要影響總風險的因素是未成交風險。

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.

審定書 i
誌謝辭 ii
摘要 iii
ABSTRACT iv
1. INTRODUCTION 1
　1.1 Background Information . 1
　1.2 Research Purpose 2
　1.3 Limitations of Research 2
　1.4 Research Contributions 2
　1.5 Research Structure . 3
2. LITERATURE REVIEW 4
3. DATA AND METHODOLOGY . 8
　3.1 Trading of Security on the Taiwan Stock Exchange . 8
　3.2 Sample and Data Description 9
　3.3 Research Methodology . 12
　　3.3.1 Classification of Order Aggressiveness 12
　　3.3.2 Measuring Risks 12
　　3.3.3 Regression Model 15
4. EMPIRICAL RESULTS 17
　4.1 Execution Quality 17
　4.2 Order Survival Time 18
　4.3 Component of Risks 22
　4.4 Analyzing Risks under Extreme Market Condition 28
　4.5 Regression Results 35
5. CONCLUSION AND SUGGESTION 41
　5.1 Conclusion 41
　5.2 Research Suggestion 41
REFERENCES 42

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