Transaction Costs Comparison of Different Trading Algorithms - An Empirical Study of Taiwan Futures Market

• Main Authors: Wei-Di Shao, 邵韋迪
• Other Authors: Chieh-Yow ChiangLin
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/61132522722294264048

碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 100 === Transaction costs are important issues for financial traders and academia. When traders adjust the portfolio by block trade, the transaction costs are often exceeded expectations. Even the trading strategies can be superior to the market performance, the actual trading results are under- performance compared to the market due to the transaction costs. This is why the algorithmic trading should be used. However, different algorithmic trading strategies focus on different sources of transaction costs. It might be impact cost or timing risk or both of them.This research intended to measure the cost structure by using different trading algorithms in Taiwan stock index futures market. The empirical systems were developed on Visual C#. Through the system, different transaction costs were measured when applying various trading algorithms in Taiwan futures market. This study found that the market impact costs when using the TWAP algorithm strategy were more than the ones when using other algorithms significantly, but the timing risk costs and the price trend costs among various algorithms kept no significant difference. The POV algorithm strategy had higher spread costs, and the MC algorithm strategy had lower spread costs.