In this study, the authors investigate the relationship between price movement and the depth of limit order books, as well as the relationship between order submission/ cancellation and depth for institutional and individual investors, respectively. They find that the relationship between the...

In this paper, we investigate the relationship between volatility of and liquidity provision through the aggregation of high-frequency data on the stock index option markets of Taiwan. Strong evidence shows the different behaviors of liquidity supply for market makers and nonmarket makers. In...

The assumption of dynamic lapse behavior is path-dependence related to the performance of underlying assets. This causes the pricing and reserving of investment guarantee products to be more difficult to deal with. The lack of actual experience of such policyholders’ behavior is also an...