Cognitive Limitation and Investment Performance: Evidence from Limit Order Clustering
研究发现，在台湾期货交易所，投资者若在整数价位提交更多限价单（作为认知捷径），其认知能力较低，且在各类交易中损失更大，且认知能力与绩效正相关，交易经验可缓解此局限。
We hypothesize that cognitive limitation may be manifested in a disproportionately large volume of limit orders submitted at round-number prices if investors use these numbers as cognitive shortcuts. Using detailed limit order data in the Taiwan Futures Exchange, we find that investors with lower cognitive abilities, defined as higher limit order submission ratios at round numbers, suffer greater losses in their round-numbered and non-round-numbered limit orders, market orders, and round-trip trades. The positive correlation between cognitive ability and investment performance is monotonic and robust across futures and options markets. In addition, past trading experience helps to mitigate the cognitive limitation.