臺灣博碩士論文加值系統

本文運用2007年和2008年帶有投資者id的詳細台灣證劵交易資料，實證分析了建立在微結構揭示機制上的高頻交易欺騙策略，此策略通過讓低成交可能性的大型消極委託單揭示在五檔委託之上，製造出五檔委託失衡之假像，從而欺騙和誤導一般投資者提前交易，自身則在反向交易，降低交易成本。
研究發現高頻交易欺騙策略在台灣被經常使用，其中一個高頻交易者更是平均每天在69只個股上使用欺騙策略。為有欺騙之效果，高頻交易者所下之虛假委託單的價格平均處於第三檔與第四檔之間，被揭示但成交可能性極低，策略的平均實施時間將近當日個股交易時間的1/3.通過大型消極委託，高頻交易者可以製造嚴重的五檔委託失衡假象，明顯降低了五檔揭示制度的有效性。通過相對績效分析，高頻交易欺騙策略的確可以降低交易成本，實現相對獲利，且其在買時的欺騙效果比賣出時的好。最後通過兩階段GMM，我們發現高頻交易欺騙策略會提高個股波動性，消極大單為賣的時候，欺騙策略對個股波動性的影響更大；波動性越高，欺騙策略交易量越大，虛假委託越小。

I analysis a spoofing strategy in which high frequency trading spoof and mislead the investors through placing large orders with little chance of being executed to cause an order imbalance. And at the same time high frequency trading trade opposite with less transaction cost.
Using the complete intraday order and trade data of the Taiwan Exchange in a custom data set identifying individual accounts, I find that spoofing strategy is used often especially a dealer(Proprietary trader) use it sixty-nine times each day. To spoof and mislead the other traders ,high frequency trading place orders between the best third and fourth bid/ask which are little chance of being executed but will be disclosed in the order book .With the large negative orders, high frequency trading sometimes can cause a serious order imbalance which reduce the effectiveness of the order-disclosure rule obviously. What’s more, with the use of spoofing strategy, high frequency trading can achieve substantial extra profits and increase the intraday stock volatility.

目錄
學位論文審定書 i
誌謝辭 ii
摘要 iii
Abstract iv
圖次 vi
表次 vii
第一章 緒論 1
第一節 研究背景 1
第二節 研究動機 2
第三節 研究目的 3
第四節 研究流程 5
第五節 研究貢獻 7
第二章 文獻探討 9
第一節 高頻交易之定義 9
一、 識別高頻交易 9
二、 高頻交易分類 9
第二節 高頻交易之策略 12
一、 高頻交易策略分類 12
二、 高頻交易策略與市場公平性 14
三、 高頻交易與個股波動性 17
第三章 高頻交易欺騙策略介紹 19
第四章 研究方法 21
第一節 高頻交易定義 21
第二節 高頻交易欺騙策略定義 22
第三節 高頻交易欺騙策略績效 23
第四節 高頻交易欺騙策略與波動性之互動影響 26
第五章 樣本選取與敘述統計 28
第一節 資料選取範圍及說明 28
第二節 敘述性統計 28
一、 高頻定義變數敘述統計 28
二、 高頻交易欺騙策略變數敘述統計 29
三、 高頻交易欺騙策略績效敘述統計 39
第六章 實證結果 43
第七章 結論 47
參考文獻 49
附錄 53

參考文獻
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二、中文部分
姜林杰祐 ,2012, 程式交易方法與實務應用 新陸書局
黃宏瑞 ，2012 ，淺談高頻交易之發展與近況