Economics at your fingertips  

Trader types and fleeting orders: Evidence from Taiwan Futures Exchange

Wei‐Yu Kuo and Ching‐Ting Lin

Journal of Futures Markets, 2018, vol. 38, issue 12, 1443-1469

Abstract: This paper investigates the relation between trader type and fleeting order strategy based on unique data from Taiwan Futures Exchange. We find that fleeting orders are more commonly used by institutional traders than individual traders. There exists intraday seasonality of fleeting orders submitted by institutional traders. Institutional traders do not chase market prices, but respond to changes in immediate execution costs. Network orders constitute a key component of the fleeting order strategy of proprietary traders. In sum, different types of traders, including individual traders, proprietary traders, and foreign traders, exhibit significantly different behaviors when deploying the fleeting order strategy.

Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2020-07-04
Handle: RePEc:wly:jfutmk:v:38:y:2018:i:12:p:1443-1469