This study develops a multiple-period, competitive rational expectations model for examining how competitive informed traders time their informed trading and how information is incorporated into prices. It is found that informed traders may choose either to trade early or late on their...

This article provides a model of order-submission strategy and price formation by analysing the optimal behaviour of risk-averse uninformed traders. According to our inference, the market dynamically adjusts the bid/ask at any moment to generate enough price improvement return in order to cover...

Chinese Abstract: 本文檢定企業之媒體管理與後續發生財務危機之相關性。以台灣50 成份 股為訓練樣本，使用支援向量機的演算法建立正負面新聞分類的依據。針對台 灣證券市場在1995 年至2010...

This paper presents an integrated microstructure model of risk-averse uninformed and informed traders for the evolution of liquidity. Under an actively monitoring market, limit order book as a medium for information and order strategies of traders, thereby market order arrival of informed...

This paper analyzes the effects of removing price limits and term structure upon order-submission behaviors in IPOs. Many Emerging markets impose limits on trading prices within a trading day to prevent the market from overreaction, especially in IPOs market. With a sample of Taiwan IPOs, the...