|
參考文獻 1.林建甫,陳禮潭,李明煌(1998) ,「股票價格之模型誤設與投機泡沬:一般化Kalman filter的分析」,中研院社科所人文及社會科學集刊,第10卷第3期,頁361-394。 2.黃玉娟、陳培林、鄭堯任(2007) ,「交易機制改變對市場績效之影響:透明度與撮合頻率之探討」,證券市場發展季刊,第19卷第1期,頁133-158。 3.喬帥、鄭振龍、陳志英 (2018),「期權市場老練散戶交易行為分析」,管理科學學報,2018年10月接受。 4.蕭朝興、尤靜華、林庭宇(2009),「臺灣股市投資人競價策略與價格優劣之比較」,中山管理評論,第17卷,第4期,頁927-970。 5.智庫百科https://wiki.mbalib.com/zh-tw 6.臺灣期貨交易所http://www.taifex.com.tw/cht/index。 7.臺灣證券交易所http://www.tse.com.tw/ch/index.php。 8.Ait-Sahalia, Y., & Yu, J. (2008). High frequency market microstructure noise estimates and liquidity measures (No. w13825). National Bureau of Economic Research. 9.Barberis, N., A. Shleifer, and R. Vishny. (1998). A model of investor sentiment, Journal of Financial Economics, 49(3), 307-343. 10.Cao, C., Hansch, O., & Wang, X. (2009). The information content of an open limit‐order book. Journal of Futures Markets, 29(1), 16-41. 11.Chordia, T., & Subrahmanyam, A. (2004). Order imbalance and individual stock HRIurns: Theory and evidence. Journal of Financial Economics, 72(3), 485-518. 12.Diebold, F. X., & Strasser, G. (2013). On the correlation structure of microstructure noise: A financial economic approach. The Review of Economic Studies, 80(4), 1304-1337. 13.Ghysels, E., & Sinko, A. (2011). Volatility forecasting and microstructure noise. Journal of Econometrics, 160(1), 257-271. 14.Harris, L. E., & Panchapagesan, V. (2005). The information content of the limit order book: Evidence from NYSE specialist trading decisions. Journal of Financial Markets, 8(1), 25-67. 15.Hu, S. Y. (2006). A simple estimate of noise and its determinant in a call auction market. International Review of Financial Analysis, 15(4), 348-362. 16.Jondeau, E., Lahaye, J., & Rockinger, M. (2015). Estimating the price impact of trades in a high-frequency microstructure model with jumps. Journal of Banking & Finance, 61, S205-S224. 17.Lin, W. T., Tsai, S. C., & Chiu, P. (2016). Do foreign institutions outperform in the Taiwan options market? The North American Journal of Economics and Finance, 35, 101-115. 18.Lin, W. T., Tsai, S. C., Zheng, Z., & Qiao, S. (2017). Does options trading convey information on futures prices?. The North American Journal of Economics and Finance, 39, 182-196. 19.Liu, L. Y., Patton, A. J., & Sheppard, K. (2015). Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes. Journal of Econometrics, 187(1), 293-311. 20.Chiu, C. H. (1978). OPTIMAL OPEN MARKET STRATEGY: A Generalized Kareken-Muench-Wallace Model (Unpublished doctoral dissertation). The Ohio State University. 21.Huang, W. Y. (2017). Can Fast Trading Forecast the Direction or the Noise of Futures Prices? (Unpublished master''s thesis). Tamkang University.
|