The impact of liquidity supply from very-short-term trading on realized volatility in the Taiwan futures market
碩士 === 國立臺灣師範大學 === 管理研究所 === 104 === This research employs intraday high frequency data on TAIEX futures. In our study, we define a trade with a holding period below 10 seconds as a very-short-term trade. We compare the order imbalance which excludes very-short-term trades and the order imbalanc...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/56741937715108795360 |