Picking-off Risk, Non-execution Risk and Order Aggressiveness of Limit Orders
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 measure...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/89180756028625787005 |