本論文首先建構一個交易者對證券有高低評價與資訊不對稱的委託單驅動市場，私有資訊具短期存在，委託單類型有市價單與限價單的情況下，研究交易者對單種委託單的下單策略。因為市場報價存在與否，會影響交易者能否選擇市價單。所以此模型分成兩種情況：情況一為市場存在報價；情況二為市場不存在報價。接著，第二個模型則是建構在市場存在報價，知訊者知悉證券的清算價值，研究知訊者對於市價單與限價單的組合型下單決策。
本文發現，在第一個模型的第一種情況下，非知訊者限價單的最適價格與證券評價差異以及逆選擇問題二項因素有關。其要求的逆選擇風險補償與知訊者比率和私有資訊價值大小有關。此時，因為知訊者可以使用市價單以快速獲取資訊利益，其獲利為市場上對證券評價差異與私有資訊價值的線性組合。
第一個模型的第二種情況下，知訊者無法使用市價單，當其使用限價單時，也會遭遇逆選擇問題，在限價中要求風險補償。知訊者的限價單可能與接著進場的知訊者或非知訊者的市價單相互成交。當非知訊者不使用市價單時，使用限價單的知訊者，其逆選擇風險只與私有資訊價值大小有關。當非知訊者只使用市價單，則逆選擇風險就與知訊者比率以及私有資訊價值大小有關。
由第一個模型可以瞭解到當私有資訊短期存在時，不能使用市價單的知訊者之行為就猶如非知訊者。在本文的第二個模型中，放寬私有資訊短期存在的限制，發現知訊者為獲取資訊利益，不僅使用市價單，也會使用限價單策略。在知訊者組合型的下單行為中，限價單可以增加知訊者的利潤，並且作為市價單的防護網。最後，本研究也得到市價單會獲得價格改善的結果。

This paper aims to first develop a model that analyzes how investors place orders in an order driven market. In this model, investors have different share evaluations and information is asymmetric. Private information is short-lived, and types of orders include a market order and a limit order. A market with or without bid-ask prices can influence investors’ choices when submitting market orders. Hence, we discuss two kinds of market conditions in the first model. The first condition is a market with bid-ask prices, and the second is a market without bid-ask prices.
Secondly, we develop an integrated model to analyze how an informed trader optimally chooses any combination of a market buy, market sell, limit buy and limit sell. In this model the informed trader observes the terminal value of a security. Then, the trader makes a choice of orders to submit under a market with bid-ask prices.
As for the first model, there are some results in the first condition. At equilibrium, the optimal price of a limit order placed by an uninformed trader is related to the difference in share valuation and to adverse selection. The uninformed trader will request adverse selection risk premium, and the risk premium is related to the proportion of informed traders in the market and the value of private information. At this moment, informed traders get information benefits by submitting market orders. The information benefits are related to the difference in share valuation and the value of private information.
On the other hand, we have found that informed traders will also experience adverse selection problem when placing limit orders and request risk premiums in limit prices. Informed traders’ limit orders will be executed with the market orders of informed and uninformed traders who will be submitting next. The adverse selection risk of informed traders’ limit orders is only related to private information value if uninformed traders don’t place market orders. However, when uninformed traders submit only market orders, the adverse selection risk is related to the ratio of informed traders and private information value.
From the first model, our results indicate the behaviors of informed traders who cannot submit market orders under a market with private information are short-lived like those of uninformed traders. However, we would like to know if an informed trader may submit a limit order. In the second model, in order to get information profit, the informed trader submits not only a market order, but also a limit order, even if the market has bid-ask prices and private information is not short-lived again. A combination of market-limit orders is more profitable than only a market order. In addition, limit orders enhance the profitability of market orders by reducing their losses in bad states. Finally, we obtain the result of price improvement for market orders.

第壹章 緒論 1
第一節 研究動機 1
第二節 研究目的 9
第三節 論文架構與內容 12

第貳章 文獻探討 16
第一節 逆選擇問題 16
第二節 委託單驅動市場 19
第三節 下單決策 21
第四節 相關文獻與本論文模型之對照 27

第參章 單種委託模型 33
第一節 模型描述 33
第二節 市場存在買賣報價之模型推導與分析（情況一） 36
第三節 市場不存在買賣報價之模型推導與分析（情況二） 48
第四節 小結 57
第肆章 組合委託模型 62
第一節 模型描述 62
第二節 模型推導與分析 66
第三節 小結 76
第伍章 結論與建議 78
第一節 結論 78
第二節 未來研究方向 80

參考文獻 82
附錄 87
表目錄
表一 單種委託模型之文獻與假設命題的對照 27
表二 組合委託模型之文獻與假設命題的對照 30
表三 市場存在報價，資訊短期存在時，交易者委託單之獲利 58
表四 市場不存在報價，訊息短期存在時，知訊者下單之風險
與獲利 60
表五 組合委託模型中買(賣)方知訊者的委託單之可能成交對象 65
表六 單種與組合委託模型分析結果之對照 77
圖目錄
圖1 論文架構圖 13
圖2 單種委託模型事件發生過程 34
圖3 單種委託模型之假設與探討議題 35
圖4 市場存在報價，交易者下單決策分析 37
圖5 市場上缺乏報價時，知訊者下單決策過程 49
圖6 組合委託模型之假設與探討議題 63
圖7 組合委託模型之知訊者下單類型與決策變數說明 63
圖8 組合委託模型之非知訊者下單類型與決策變數說明 64
圖9 知訊者的下單策略圖 73

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