Order Aggressiveness, Trading Patience, and Trader Types in a Limit Order Market
研究了台湾股指期货市场中外国机构、期货自营公司、个人日内与非日内交易者的订单激进性和交易耐心差异，发现个人交易者更激进，外国机构更有耐心，且订单簿活动影响决策。
This study examines the order aggressiveness and trading patience of foreign institutional traders, futures proprietary firm traders, individual day and non‐day traders in the Taiwan index futures market. We consider order choice given a completely transparent limit order book. Our empirical results show that individual (foreign institutional) traders use a more aggressive (patient) order submission strategy than the other trader types. We find significant differences among trader types in the timing of order aggressiveness and trading patience over the intraday time period. Both top and rest‐of‐the‐order‐book activities affect traders’ order submission decisions. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:1094–1123, 2017