THE IMPACTS OF INDIVIDUAL DAY TRADING STRATEGIES ON MARKET LIQUIDITY AND VOLATILITY: EVIDENCE FROM THE TAIWAN INDEX FUTURES MARKET

Chou Robin K.; Wang George H. K.; Wang Yun-Yi

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THE IMPACTS OF INDIVIDUAL DAY TRADING STRATEGIES ON MARKET LIQUIDITY AND VOLATILITY: EVIDENCE FROM THE TAIWAN INDEX FUTURES MARKET

机译：个人即日交易策略对市场流动性和波动性的影响：来自台湾指数期货市场的证据

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We investigate the investment strategies of individual day traders in the Taiwan Index Futures market, along with their impact on market liquidity and volatility. Our results indicate a tendency among most individual day traders to behave as irrational contrarian traders. We also present consistent evidence to show that most individual day traders provide market liquidity by reducing the bid-ask spread, temporary price volatility, and the temporal price impacts. Our results, which are consistent with the experimental results of Bloomfield, O'Hara, and Saar (2009) [Review of Financial Studies, 22:2275-2302], provide no support for the general criticism that day trading destabilizes the market while also exacerbating market volatility. (c) 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:399-425, 2015

机译：我们调查台湾指数期货市场中个别日间交易者的投资策略，以及它们对市场流动性和波动性的影响。我们的结果表明，大多数个人即日交易者倾向于表现为非理性逆势交易者。我们还提供了一致的证据，以表明大多数个人即日交易者通过降低买卖差价，暂时的价格波动和暂时的价格影响来提供市场流动性。我们的结果与Bloomfield，O'Hara和Saar（2009）的实验结果一致[金融研究评论，22：2275-2302]，不支持普遍的批评，即日间交易破坏了市场的稳定，同时加剧了市场波动。（c）2014 Wiley Periodicals，Inc.Jut Fut Mark 35：399-425，2015年

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《The journal of futures markets》 |2015年第5期|399-425|共27页
作者
Chou Robin K.; Wang George H. K.; Wang Yun-Yi;
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Natl Chengchi Univ, Coll Commerce, Finance & Risk & Insurance Res Ctr, Taipei 11623, Taiwan;

George Mason Univ, Sch Management, Finance, Fairfax, VA 22030 USA;

Feng Chia Univ, Finance, Taichung 40724, Taiwan;

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机译：我们在限价订单簿中开发了冰山订单执行的顺序交易模型。 Iceberg-trader可以自由地揭露他的交易意图，或者（部分）屏蔽其他市场参与者的真实订单规模。订单暴露最终会导致市场反应激烈（“市场影响”），导致交易成本上升。另一方面，冰山交易员在隐藏他的意图时面临优先权损失，因为大多数电子限价订单都会惩罚隐藏流动性的使用。因此，冰山商人面临着找到正确权衡的问题。我们的模型为限额订单市场中的冰山交易者提供了最佳的风险敞口策略。特别是，我们提供了一系列分析性陈述，这些陈述与最近关于交易者暴露策略决定因素的实证研究结果一致。在此框架下，我们还研究了市场影响以及限价订单的市场影响。我们为来自美国标准普尔500指数的一系列高科技股票提供最佳曝光配置文件，以及它们如何随着本书的规模扩展。我们最终根据极限订单测试了冰山的表现，发现冰山订单可以显着提升贸易业绩高达60％。

THE IMPACTS OF INDIVIDUAL DAY TRADING STRATEGIES ON MARKET LIQUIDITY AND VOLATILITY: EVIDENCE FROM THE TAIWAN INDEX FUTURES MARKET

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