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博碩士論文 etd-0718106-153008 詳細資訊
Title page for etd-0718106-153008
論文名稱
Title
應用高頻交易資料對買賣價差成份的研究
Studies on the bid ask spread component using high frequency trading data
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
46
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2006-06-15
繳交日期
Date of Submission
2006-07-18
關鍵字
Keywords
價差成分、報量、報價中點、交易量、買賣價差
trade volume, quoted midpoint, quoted depth, bid-ask spread component, bid-ask spread
統計
Statistics
本論文已被瀏覽 5759 次,被下載 2091
The thesis/dissertation has been browsed 5759 times, has been downloaded 2091 times.
中文摘要
我們利用紐約證券交易所的高頻交易資料對價差的成分進行分析。研究結果發現報價中點的對數報酬與交易量存在指數關係,而買、賣報量改變與交易量之間則呈現負相關的線性關係,同時也發現買、賣報量改變會由於交易方向的不同而呈現不對稱的現象。此外,我們建立機率管制圖藉此偵測在固定交易筆數中是否有不尋常交易進入市場。最後,我們建立邏輯斯特迴歸模型,利用造市者報價與報量的調整預測對市場價格具影響力的交易出現的機率。
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.
目次 Table of Contents
目錄
第一章 導論 ------------------------------------------- 1

第二章 資料分析說明 ---------------------------------- 3

第三章 市場資料分析
3.1 報價中點與交易量相關性分析 ------------------- 5
3.2 買賣報量與交易量相關性分析 ------------------- 7

第四章 監測市場中的交易資訊
4.1 機率管制圖的監控 ----------------------------- 11
4.2 邏輯斯特迴歸模型配適 ------------------------- 15

第五章 結論 ------------------------------------------ 20

參考文獻 ----------------------------------------------- 21

附錄一 附圖 ----------------------------------------- 23
附錄二 附表 ----------------------------------------- 31
附錄三 股票代號對照表 ------------------------------- 41
附錄四 原始資料型態節錄 ----------------------------- 42
參考文獻 References
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Demsetz, H. (1968). The cost of transacting. Quarterly Journal of Economics 82, 33-53.
Easley, D. and O’Hara, M. (1987a). Price, Trade size and information in securities markets. Journal of Financial Economics 19, 69-90.
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Stoll, H. R. (1978a). The Supply of Dealer Services in Securities Markets. The Journal of Finance 33, 1133-1151.
Stoll, H. R. (1978b). The pricing of security dealer services: An empirical study of NASDAQ stocks. Journal of Financial 33, 1133-1172.
Stoll, H. R. (1989). Inferring the Components of the Bid Ask Spread: Theory and Empirical Tests. The Journal of Finance 44, 115-134.
Sugato, C. (2001). Stealth-trading: Which traders’ trades move stock prices?. Journal of Financial Economics 61, 289-307.
Tinic, S. M. (1972). The economics of liquidity services. Quarterly Journal of Economics 86, 79-93.
Tinic, S. M. and West, R. R. (1972). Competition and the pricing of dealer service in the over-thecounter stock market. Journal of Financial and Quantitative Analysis 7, 1707-1727.
Thomas, J. G., Gautam, K. and Nimalendran, M. (1991). Estimation of the Bid-Ask Spread and it’s Components: A New Approach. The Review of Financial Studies 4, 623-656.
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