Picking-off Risk, Non-execution Risk and Order Aggressiveness of Limit Orders

• Main Authors: Pei-fang You, 游佩芳
• Other Authors: Tai Ma
• Format: Others
• Language: en_US
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/89180756028625787005

碩士 === 國立中山大學 === 財務管理學系研究所 === 102 === This study investigates the relationship between non-execution risk, picking-off risk and order aggressiveness. We use order-level data and display data from the Taiwan Stock Exchange to classify the order aggressiveness of each order. We construct the measurement of non-execution risk and, picking-off risk. We define total risk as non-execution risk plus picking-off risk. Our main findings are as follows. (1) The more aggressive the order, the higher the filled rate and the shorter the execution time. (2) When investors want to trade using sell orders, the more aggressive the price, the lower the total risk. (3) Under sufficient liquidity and low volatility market conditions, the lower the aggressive price, the lower the total risk when investors want to trade using buy orders. (4) There exists a tradeoff relationship between non-execution risk and picking-off risk. (5) The main risk affecting total risk of more aggressive orders is picking-off risk. On the other hand, (6) the main risk affecting total risk of less aggressive orders is non-execution risk.