Fast trading and price discovery in the financial crisis: Evidence from the Taiwan futures market

William T. Lin, Zi Huang Huang, Shih Chuan Tsai*

*此作品的通信作者

研究成果: 書貢獻/報告類型會議論文篇章

摘要

This paper used millisecond-level intraday data from the Taiwan futures market during the financial crisis to propose an effective data processing method using the program and a non-SQL database. Fast traders were classified based on the investors’ trading volume and position size. First, the state space model was used to decompose the prices. It was discovered that fast trading (FT) can cause permanent price increments, which are independent of temporary prices. FT during the financial crisis helped improve price efficiency and liquidity. Second, the activity of FT is based on public information, which makes price discovery during a high-Volatility Index (VIX) period possible and causes an increase in the adverse selection cost of non-fast traders (non-FT).

原文英語
主出版物標題Web Information Systems and Applications - 17th International Conference, WISA 2020, Proceedings
編輯Guojun Wang, Xuemin Lin, James Hendler, Wei Song, Zhuoming Xu, Genggeng Liu
發行者Springer Science and Business Media Deutschland GmbH
頁面525-536
頁數12
ISBN(列印)9783030600280
DOIs
出版狀態已發佈 - 2020
事件17th International Conference on Web Information Systems and Applications, WISA 2020 - Guangzhou, 中国
持續時間: 2020 九月 232020 九月 25

出版系列

名字Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
12432 LNCS
ISSN(列印)0302-9743
ISSN(電子)1611-3349

會議

會議17th International Conference on Web Information Systems and Applications, WISA 2020
國家/地區中国
城市Guangzhou
期間2020/09/232020/09/25

ASJC Scopus subject areas

  • 理論電腦科學
  • 電腦科學(全部)

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