An Empirical Study of Layering and Pegging Tactics in Taiwan Futures Market
碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 100 === The efficiency of information technology speeds up the transactions in financial markets and makes various order-placing tactics possible. The research uses layering and pegging tactics combined with the trading algorithms, including TWAP and VWAP, to improv...
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| Format: | Others |
| Language: | zh-TW |
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| Online Access: | http://ndltd.ncl.edu.tw/handle/90206014724449325169 |
| Summary: | 碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 100 === The efficiency of information technology speeds up the transactions in financial markets and makes various order-placing tactics possible. The research uses layering and pegging tactics combined with the trading algorithms, including TWAP and VWAP, to improve the performance of original algorithms. Empirical studies in Taiwan futures market were made to show the applicability of the tactics.
The empirical systems were developed on Visual C#. The results showed that the layering tactics and pegging tactics could improve the TWAP and VWAP algorithms. Furthermore, the pegging tactic was superior to the layering tactics in terms of transaction costs.
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