Title page for etd-0723108-154545


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URN etd-0723108-154545
Author Hui-Wen Liu
Author's Email Address jenny7223@hotmail.com
Statistics This thesis had been viewed 5100 times. Download 0 times.
Department Applied Mathematics
Year 2007
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Online transaction simulation sysyem of the Taiwan Stock Exchange
Date of Defense 2008-06-25
Page Count 46
Keyword
  • call market
  • order-driven market
  • EWMA
  • Chi-squared test
  • specialists
  • tick size
  • Taiwan security market
  • continuous market
  • Abstract Taiwan Security Market is a typical order-driven market, and the business transactions are matched through the electronic trading system since 1988. In this work, we study the joint distributions of tick size changes of bid price and ask price, bid volume, and ask volume for each matching order in Taiwan Stock Exchange (TSEC). Exponentially weighted moving
    average (EWMA) method is adopted to update the joint distribution of the incoming order variables aforementioned. Here we propose five methods to determine the update timing and consider three different initial matrices of the joint distributions. In empirical study, the daily matching data of two enterprises Uni-president Enterprises Corporation and Formosa Plastics Corporation in April, 2005 are
    considered. The goodness of fit for the joint distributions are determined by Chi-square Goodness of Fit Test. The results show that EWMA method provide good fit for most of the daily transaction data.
    Advisory Committee
  • Mong-Na Lo Huang - chair
  • Fu-Chuen Chang - co-chair
  • Tzu-Jen Wang - co-chair
  • Mei-Hui Guo - advisor
  • Files
  • etd-0723108-154545.pdf
  • indicate not accessible
    Date of Submission 2008-07-23

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