Order Aggressiveness, Trading Patience, and Trader Types in a Limit Order Market

Junmao Chiu*, Huimin Chung, George H.K. Wang

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

5 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)1094-1123
Number of pages30
JournalJournal of Futures Markets
Volume37
Issue number11
DOIs
StatePublished - 1 Nov 2017

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