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Order Aggressiveness, Trading Patience, and Trader Types in a Limit Order Market

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  • Junmao Chiu
  • Huimin Chung
  • George H. K. Wang

Abstract

This study examines the order aggressiveness and trading patience of foreign institutional traders, futures proprietary firm traders, individual day and non‐day traders in the Taiwan index futures market. We consider order choice given a completely transparent limit order book. Our empirical results show that individual (foreign institutional) traders use a more aggressive (patient) order submission strategy than the other trader types. We find significant differences among trader types in the timing of order aggressiveness and trading patience over the intraday time period. Both top and rest‐of‐the‐order‐book activities affect traders’ order submission decisions. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:1094–1123, 2017

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  • Junmao Chiu & Huimin Chung & George H. K. Wang, 2017. "Order Aggressiveness, Trading Patience, and Trader Types in a Limit Order Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(11), pages 1094-1123, November.
    • Handle: RePEc:wly:jfutmk:v:37:y:2017:i:11:p:1094-1123
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    Cited by:

    1. Yue Zhao & Difang Wan, 2018. "Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 243-270, February.
    2. Chu, Gang & Zhang, Yongjie & Zhang, Xiaotao, 2021. "An analysis of impact of cancellation activity on market quality: Evidence from China," Economic Modelling, Elsevier, vol. 102(C).
    3. Hung, Pi-Hsia & Lien, Donald, 2019. "Trading aggressiveness, order execution quality, and stock price movements: Evidence from the Taiwan stock exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 231-251.
    4. Tian, Xiao & Duong, Huu Nhan & Kalev, Petko S., 2019. "Information content of the limit order book for crude oil futures price volatility," Energy Economics, Elsevier, vol. 81(C), pages 584-597.

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