English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 61345/61345 (100%)
造訪人次 : 16247103      線上人數 : 221
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋


    請使用永久網址來引用或連結此文件: http://ir.lib.ncu.edu.tw/handle/987654321/71755


    題名: 演算法交易對市場日內價格效率性的影響: 以外匯市場為例;The Effect of Algorithmic Trading on Intraday Price Efficiency: Evidence from Foreign Exchange Market
    作者: 洪禎蔚;Hong,Zhen-Wei
    貢獻者: 財務金融學系
    關鍵詞: 演算法交易;外匯市場;市場價格效率性;日內資料;algorithmic trading;foreign exchange market;market efficiency;intraday data
    日期: 2016-07-05
    上傳時間: 2016-10-13 13:50:38 (UTC+8)
    出版者: 國立中央大學
    摘要: 本論文研究演算法交易(algorithmic trading)對外匯市場價格效率性的影響,採用歐元兌美元及日圓兌美元的日內交易報價資料,建構結構性向量自我迴歸(SVAR)模型進行分析,發現演算法交易與市場交易規模呈現相反的趨勢線圖,且演算法交易與市場價格效率性呈現反向關係,即演算法交易傾向在市場效率性較差時進入市場,最後,發現當演算法交易愈活絡時,市場效率性會隨之提升,說明演算法交易能夠改善市場效率,且可進一步推測演算法交易者為資訊交易者(informed traders)。;This thesis studies the impact of algorithmic trading (AT) on informational efficiency in the foreign exchange market. My data rely on a novel of intraday data consisting of both quote data and transaction data in two currency pairs: euro-dollar, and dollar-yen. The thesis estimates a structural vector autoregression model. The results show that AT exhibits a strong reverse pattern with trade size, and that greater AT activity is related to lower market efficiency which suggests that algorithmic traders strategically enter the market when informational efficiency is lower. AT is associated with an increase in market efficiency in the subsequent intraday period. The results strongly suggest that algorithmic trading is helpful for market efficiency and algorithmic traders are informed.
    顯示於類別:[財務金融研究所] 博碩士論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    index.html0KbHTML167檢視/開啟


    在NCUIR中所有的資料項目都受到原著作權保護.

    社群 sharing

    ::: Copyright © National Central University. | 國立中央大學圖書館版權所有 | 收藏本站 | 設為首頁 | 最佳瀏覽畫面: 1024*768 | 建站日期:8-24-2009 :::
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋  - 隱私權政策聲明