MRR模型下交易策略的交易成本與報酬率之比較

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洪有辰(Yu-chen Hong) 查詢紙本館藏

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論文名稱

MRR模型下交易策略的交易成本與報酬率之比較

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摘要(中)

本文以賣方的觀點，觀察持有一定數量的特定股票之市場價格，並依序針對四種不同的交易策略，分別為動態程式 (dynamic programming； DP) 策略、跨界 (cross-boundary； CB) 策略、修正的跨界 (modified cross-boundary； MCB) 策略，以及相對等級 (relative rank； RR) 策略決定出最適當的出售時間點。同時我們結合了Madhaven et al. (1997) 提出的價格結構化模型 (MRR模型) 為基礎，考慮資訊不對稱對於交易成本的影響，探討日內股票交易的特徵，估計出買賣報價以及中間價格，最後再以報酬率來比較這四種交易策略之執行成果。

摘要(英)

For seller’s point of view, we observe stock prices of selling a certain amount of one find of specific stock and adopt four trading strategies, that is, dynamic programming, cross-boundary, modified cross-boundary, and relative rank strategy to determine when should is the optimal time for selling stocks. The MRR model which Madhaven et al. (1997) supposed is combined with these four trading strategies as the basis to analyze that information asymmetry has effect on trading cost. Through this model, we explore the characteristic of intraday stock trading, estimate bid/ask quote also midquote, and compare the trading strategies by return rates.

關鍵字(中)

★ 市場微結構
★ 交易量加權平均價格
★ 交易驅動

關鍵字(英)

★ microstructure
★ volume-weighted average price
★ trade initiation

論文目次

摘要 i
Abstract ii
致謝 iii
第一章緒論 1
第二章研究方法 3
2.1 交易策略概述 3
2.1.1 動態程式 (dynamic programming； DP) 策略 4
2.1.2 跨界 (cross-boundary； CB) 策略 8
2.1.3 修正的跨界(modified cross-boundary； MCB) 策略 10
2.1.4 相對等級 (relative rank； RR) 策略 12
2.2 MRR模型 15
第三章模擬研究 23
第四章實證分析 37
第五章結論與未來展望 40
參考文獻 41

參考文獻

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指導教授

傅承德(Cheng-der Fuh)

審核日期

2015-8-13

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