Title page for etd-0718106-153008


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URN etd-0718106-153008
Author An-pin Wey
Author's Email Address No Public.
Statistics This thesis had been viewed 5069 times. Download 1799 times.
Department Applied Mathematics
Year 2005
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Studies on the bid ask spread component using high frequency trading data
Date of Defense 2006-06-15
Page Count 46
Keyword
  • trade volume
  • quoted midpoint
  • quoted depth
  • bid-ask spread component
  • bid-ask spread
  • Abstract In this paper, we use the high frequency trading data of New York Stock Exchange to analyze the bid-ask spread components. It is found that there is an exponential relationship between the log returns of quoted midpoints and the trade volume. We also observe a negative linear correlation between the changes of quoted depth and the trade volume. Furthermore, changes of the quoted ask depth and the quoted bid depth are asymmetric due to the trading direction. Furthermore, statistical quality control charts, p-charts, are built for fixed number of trades to monitor unusual trades entering the market. Finally, logistic regression models are established to predict the probabilities of unusual trades entering the market based on the quotes and the quoted depth adjustments of the market makers.
    Advisory Committee
  • Mong-Na Lo Huang - chair
  • CHI-JENG WANG - co-chair
  • Mei-Hui Guo - advisor
  • Files
  • etd-0718106-153008.pdf
  • indicate accessible in a year
    Date of Submission 2006-07-18

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