According to the empirical findings from evolution of liquidity, this dissertation constructs an optimal order submission strategy model within which a mixture of market and limit orders can be submitted by both informed and uninformed traders. In the Stacklberg Game Model, informed traders with short-lived private information are regarded as leaders, and uniformed traders with learning behaviors are referred as followers. Our theoretical findings conclude as follows: Firstly, the order strategies of all traders can be characterized as coming under one of seven regimes, pure market buy orders, a combination of market and limit buy orders, pure limit buy orders, a combination of limit buy and limit sell orders, pure limit sell orders, a combination of market and limit sell orders, and pure market sell orders. Traders will select their optimal trading strategy according to the regime within which their liquidation value falls. Parlour (1998) is a special case of this study. Secondly, an increase (reduction) in liquidation value will result in a non-linear increase in the optimal proportion of market order submissions by buyers (sellers). Thirdly, the probability of submitting limit orders for uniformed traders increases when information traders get large profit from the private information. The extreme case is uniformed traders only submit limit orders. This result is consistent with Foucault (1999). Fourthly, the price interval will be much wider when limit orders are submitted by uniformed traders than by informed traders. The reasons are that uniformed traders have no private information and that they are high risk aversion. Finally, numerical illustrations confirm the reliability of this model.

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This paper aims to first develop a model that analyzes how investors place orders in an order driven market. In this model, investors have different share evaluations and information is asymmetric. Private information is short-lived, and types of orders include a market order and a limit order. A market with or without bid-ask prices can influence investors¡¦ choices when submitting market orders. Hence, we discuss two kinds of market conditions in the first model. The first condition is a market with bid-ask prices, and the second is a market without bid-ask prices. Secondly, we develop an integrated model to analyze how an informed trader optimally chooses any combination of a market buy, market sell, limit buy and limit sell. In this model the informed trader observes the terminal value of a security. Then, the trader makes a choice of orders to submit under a market with bid-ask prices. As for the first model, there are some results in the first condition. At equilibrium, the optimal price of a limit order placed by an uninformed trader is related to the difference in share valuation and to adverse selection. The uninformed trader will request adverse selection risk premium, and the risk premium is related to the proportion of informed traders in the market and the value of private information. At this moment, informed traders get information benefits by submitting market orders. The information benefits are related to the difference in share valuation and the value of private information. On the other hand, we have found that informed traders will also experience adverse selection problem when placing limit orders and request risk premiums in limit prices. Informed traders¡¦ limit orders will be executed with the market orders of informed and uninformed traders who will be submitting next. The adverse selection risk of informed traders¡¦ limit orders is only related to private information value if uninformed traders don¡¦t place market orders. However, when uninformed traders submit only market orders, the adverse selection risk is related to the ratio of informed traders and private information value. From the first model, our results indicate the behaviors of informed traders who cannot submit market orders under a market with private information are short-lived like those of uninformed traders. However, we would like to know if an informed trader may submit a limit order. In the second model, in order to get information profit, the informed trader submits not only a market order, but also a limit order, even if the market has bid-ask prices and private information is not short-lived again. A combination of market-limit orders is more profitable than only a market order. In addition, limit orders enhance the profitability of market orders by reducing their losses in bad states. Finally, we obtain the result of price improvement for market orders.

This paper provides microstructure models of order-driven market to analyze the dynamic dependencies of order strategy, price formation and order book information. This study gradually derives three models to shed light on those dynamic dependencies: risk-neutral order-submission model, risk-averse order-submission model and revision order-submission model based on order book information. Those inferences support that the order-driven market dynamically adjusts the bid/ask at any moment to generate enough price improvement return in order to cover the fluctuations of the adverse selection risk and the non-execution risk faced by limit order submitters of both side. In risk-neutral order-submission model, the model anatomizes adverse selection cost and bid-ask spread under risk-neutral preference of order submitters. This study finds that adverse selection cost comprises three components: arrival probability of informed traders, execution probability of setting price of limit order, cost-to-benefit ratio of investment. In risk-averse order-submission model, the model analyzes the optimal order-submission behavior of risk-averse uninformed traders. This study finds that the asset volatility is the key determinant of the adverse selection risk and the non-execution risk, and thereby the bid-ask spread is associated with the asset volatility. The novelty approach of this model could connect both previous risk-neutral models of Handa, Schwartz and Tiwari (2003) and Foucault (1999), which are the special cases of the reduced form of this model. In revision order-submission model, the model analyzes adverse selection costs and price formation of bid-ask spread, dynamically adjusted by previous state of limit order book in an electronic limit order market. Using order book data from the Taiwan Stock Exchange, the empirical analysis corroborates the following findings: (1) the state of the limit order book significantly affects subsequent order aggressiveness; (2) adverse selection cost and spread are negatively associated with the precision of order book information; (3) information effects of limit order book on the bid-ask spread provide strong support for the model.

Purpose– The purpose with the study is to with help of value stream mapping identify problem areas and wastes connected to the handling of order specific components. To be able to answer the purpose the following two research questions was formulated.   -      Which activities is non-value adding with the internal handling of order specific components?  -      Why does the non-value adding activities exist with the handling of order specific components? Method– Theories connected to value stream mapping was gathered to answer both of the studies research questions. Theory regarding Lean manufacturing, value stream mapping, customer order driven production, production strategies, information flow and working environment was necessary to build a solid ground for the study’s analysis. The study was designed as a case study where data was gathered from the business case. Data was gathered through interviews, observations and document studies which resulted in the data that the analysis was built from. To answer the research questions booth data and theory was analysed through pattern comparison. Findings– The findings of the first research question present different activities connected to the value stream for the order specific components that do not add any value to the customer. The activities could be; various labelling that leading to inappropriate processing, late deliveries resulting in waiting time and correction of existing products demanding rework. In order to make it possible to find out why the non-value adding activities exist the study shows that knowledge about primary causes to waste is required. These primary causes resulting in waste in the value stream could be poor working conditions, communication problems and the lack of sufficient technical knowledge. The principle based on analysing why the non-value adding activities exist by analysing the primary causes connected to it states to be general, but details regarding waste is business case unique. Implications– The study theoretically contributes to how a value stream mapping can be performed to be able to map the value flow and deal with the wastes from order specific components. Because the report builds on earlier research it can be seen as a reference at implementation of a value stream mapping at a manufacturing company. Practically the study contributes to map and identify wastes at a manufacturing company that operates through a customer order driven production. Practically knowledge about how the theory can be used to identify why non-value adding activities exist can also be found in the study. Limitations– The main purpose of the study aims to identify non-value adding activities, not necessarily coming up with prepositions on how to eliminate them. The delimitations states that the study is limited to investigate the value stream for order specific components which is bought straight from the supplier, not other components at the factory. / Syfte–Syftet med studien är att med hjälp utav en värdeflödesanalys identifiera problemområde och slöseri vid hantering av orderspecifika komponenter. För att besvara syftet formulerades följande två frågeställningar:  -       Vilka aktiviteter är icke värdeskapande vid intern hantering av orderspecifika komponenter?  -       Varför existerar de icke värdeskapande aktiviteterna för hantering av orderspecifika komponenter?   Metod–Teorier kopplat till värdeflödesanalys samlades in för att besvara studiens båda frågeställningar. Teori gällande Lean manufacturing, värdeflödesanalys, kunderorderstyrning, produktionsstrategier, informationsflöde och arbetsmiljö ansågs nödvändig för att utgöra en bra grund för studiens analys. Studien designades utifrån en fallstudie där empiri samlades från fallföretaget. Empirin samlades in genom intervjuer, observationer och dokumentstudier vilket resulterade i data vilket låg till grund för analysen. För att svara på frågeställningarna analyserades empiri och teori utifrån mönsterpassning. Resultat–Resultatet från studiens första frågeställning visar olika aktiviteter kopplade till värdeflödet till orderspecifika komponenter där inte något värde tillförs till kunden. Aktiviteterna kan vara varierande märkning vilket leder till överarbete, och leveranser. Det i sin tur innebär väntan och att korrigering av produkter kräver omarbete. För att det ska vara möjligt att ta reda på varför de olika icke värdeskapande aktiviteterna existerar visar studien att det krävs kunskap om grundorsakerna till varför slöseri uppstår. Grundorsaker vilka senare i flödet resulterar i slöseri kan bero på bristande förutsättningar, kommunikationsproblem samt avsaknad av tillräcklig teknisk kunskap. Principen att analysera varför icke värdeskapande aktiviteter existerar genom att analysera grundorsaken anses generell, medan detaljer kopplade till slöseri är fallspecifika. Implikationer–Teoretiskt bidrar studien till hur en värdeflödesanalys kan genomföras för att kartlägga värdeflödet och hantera slöseri för orderspecifika produkter. Då rapporten bygger på tidigare forskning kan den vara referens vid genomförande av värdeflödesanalys vid tillverkande företag. Praktiskt bidrar studien till att kartlägga och identifiera slöseri vid tillverkande företag vilka jobbar utifrån kundanpassning. Även praktisk kunskap om hur teorin kan användas för att identifiera varför icke värdeskapande aktiviteter existerar återfinns i studien. Begränsningar–Studiens huvudsakliga syfte är att identifiera icke värdeskapande aktiviteter, inte nödvändigtvis komma upp med förslag för att eliminera dessa. Begränsningar kopplade till avgränsningarna återfinns då studien är avgränsad mot att enbart studera flödet kopplat till orderspecifika komponenter där inköp sker direkt från leverantör, inte övriga komponenter.

Taiwan Security Market is a typical order-driven market, and the business transactions are matched through the electronic trading system since 1988. In this work, we study the joint distributions of tick size changes of bid price and ask price, bid volume, and ask volume¡@for each matching order in Taiwan Stock Exchange (TSEC). Exponentially weighted moving average (EWMA) method is adopted to update the joint distribution of the incoming order variables aforementioned. Here we propose five methods to determine the update timing and consider three different initial matrices of the joint distributions. In empirical study, the daily matching data of two enterprises Uni-president Enterprises Corporation and Formosa Plastics Corporation in April, 2005 are considered. The goodness of fit for the joint distributions are determined by Chi-square Goodness of Fit Test. The results show that EWMA method provide good fit for most of the daily transaction data.

Syfte – Studiens syfte var att analysera hur uppkomsten av defekta produkter och omarbeten kan minska i kundorderstyrd montering genom effektivare material- och informationsflöden. Som hjälp till att besvara syftet har det brutits ned i två frågeställningar: I. Vilka möjliga orsaker till defekta produkter och omarbeten kan identifieras i kundorderstyrd montering? II. Hur kan förändringar i material- och informationsflöden minska uppkomsten av defekta produkter och omarbeten i kundorderstyrd montering? Metod – Studiens tillvägagångssätt pågick i en iterativ process och innefattade litteraturstudier samt en fallstudie. I samarbete med det kundorderstyrda företaget JELDWEN Sverige AB i Forserum, genomfördes fallstudien på deras monteringsavdelning. Fallstudien innefattade intervjuer, observationer samt dokumentstudier. Resultatet i studien har uppnåtts genom analysering och jämförelse av insamlad empiri och teori. Resultat – Studien identifierar orsaker till defekta produkter och omarbeten i form av brister i material- och informationsflöden. Orsakerna delas in i fyra huvudrubriker; informationsunderlag, rutiner, personal samt material, som i sin tur bryts ned i elva underrubriker. Samtliga orsaker bidrar till icke värdeskapande aktiviteter och bör därför minskas. En kombination av kanban och kittning är ett förändringsalternativ till nuvarande materialhantering, som säkerställer att rätt material är på rätt plats vid rätt tidpunkt. Informationsunderlag och upplärning bör tydliggöras för att minska osäkerheter hos operatörerna inom montering och därmed minska uppkomst av defekta produkter och omarbeten. Implikationer – I denna studie fastställs att förändringar i material- och informations– flöden kan effektivisera kundorderstyrd montering. För att åstadkomma detta måste bristande orsaker specifikt för varje tillverkande verksamhet identifieras. De förändringsalternativ som presenteras kan kräva vissa investeringar för tillverkande verksamheter och aspekter relaterade till kostnad bör därmed beaktas. Begränsningar – Fallstudien som genomfördes var av enskild karaktär vilket innebär begränsningar i studiens generaliserbarhet. Studien hade till avsikt att identifiera möjliga orsaker till problemet som presenterats, kopplat till material- och informationsflöden. Utifrån denna avgränsning kan väsentliga orsaker utöver detta försummats. / Purpose – The purpose of the study was to analyse how the occurrence of defect products and rework can decrease within customer-order-driven assembly through more efficient material- and information flows. In order to help answering the purpose, the purpose has been decomposed into two questions: I. What possible causes of defective products and rework can be identified in customer-order-driven assembly? II. How can changes in the material- and information flows decrease the occurrence of defect products and rework in customer-order-driven assembly? Method – The approach of the study was iterative and included literature studies and a case study. In cooperation with JELD-WEN Sverige AB in Forserum, which has a high degree customer-order-driven manufacturing, the case study was conducted on their assembly department. The case study included interviews, observations and document studies. The result of the study has been achieved through comparison and analysis of empirical data and theory. Findings – The study identifies the causes of defect products and rework in forms of flaws in material- and information flows. The causes are divided into four headlines; information base, routines, employees as well as material which in turn are broken down into eleven subheadings. All causes contribute to non-value adding activities and should therefore be minimized. A combination of kanban and kitting is an alternative to current strategy for handling the material, which ensures that the right material is in the right place, at the right time. Information base and training should be clarified in order to minimize uncertainty among the operators in the assembly, thus minimizing the occurrence of defect products and rework. Implications – This study establish that customer-order-driven assembly can improve efficiency with changes in material- and information flows. To achieve this, the causes for flaws need to be identified for each specific manufacturing business. The possibilities for change that is presented may require certain investments for the manufacturing business, therefore aspects related to cost should be considered. Limitations – The performed case study had a single character, thus limiting the generalizability of the study. The intention of the study was to identify possible causes to the presented problem, connected to material- and information flows. Due to this limitation, other significant causes may have been neglected.

Det blir alltmer vanligt med kundanpassade produkter. Dagens sätt att tillverka på kan ses som ett resultat av att företag skiftat från massproduktion till att sätta kunden i centrum. Vi har gått in i den fjärde paradigmen av den industriella revolutionen, ”Mass-personifierad produktion” (MPP) eller ”Industri 4.0” som det även kallas. Kundanpassade produkter tar allt längre tid att göra, och för att få ut produkten snabbt krävs det att produkterna finns i lager vilket ger ett behov till prognostisering, och pålitliga processer.  I detta arbete har en fallstudie genomförts på ett industriföretag, Industri AB med syfte att undersöka och skapa förståelse för prognosprocessen på ett kundorderstyrt industriföretag. I detta arbete kartläggs även Industri AB:s prognosprocess.  Arbetet grundar sig en litteraturstudie av vetenskapliga artiklar och böcker, samt intervjuer på Industri AB. I arbetet har abduktion använts som vetenskapligt angreppsätt vilket betyder att det skett en växling mellan litteratur och empiriskt insamlat material. Genom att använda abduktion kunde de studerade faktorerna väljas utifrån de faktorer som, enligt litteraturen och Industri AB, har störst påverkan på prognosprocessen.  Efter att detta arbete genomförts går det att konstatera att det finns flera faktorer som påverkar prognosprocessen på kundorderstyrda industriföretag. Detta arbete tar upp sju påverkande faktorer och dessa är produktens utformning, osäkerhet, kommunikation och samarbete, bonussystem för säljare, den mänskliga faktorn, tillgängliga data och dess kvalitet, samt systematisk uppföljning. Faktorerna påverkar prognosprocessen på olika sätt, och denna studie ger även konkreta generella lösningsförslag samt förslag till hur Industri AB kan utveckla sin prognosprocess. / Customized products are becoming increasingly more common. Today's way of manufacturing can be seen as a result of companies shifting from mass production to putting the customer in the center. We have entered the fourth paradigm of the Industrial Revolution, "Mass-Personalized Production" or "Industry 4.0" as it is also called. Customized products take more and more time to produce, and in order to quickly get the product out, it is required that the products are in stock, which provides a need for forecasting and reliable processes. In this work, a case study has been carried out at an industrial company, Industri AB with the aim of investigating and create an understanding of the forecasting process at a customer order-driven industrial company. In this work, the forecasting process at Industri AB is also mapped. The work is based on a literature study of scientific articles and books, as well as interviews at Industri AB. In this work, abduction has been used as a scientific approach, which means that there has been an alternation between literature and empirically collected material. By using abduction, the studied factors could be selected based on the factors that, according to the literature and Industri AB, have the greatest impact on the forecasting process. After this work has been carried out, it can be concluded that there are several factors that affect the forecasting process at customer-order-driven industrial companies. This work addresses seven influencing factors and these are product design, uncertainty, communication and cooperation, bonus systems for salespeople, the human factor, the available data and its quality and systematic follow-up. The factors affect the forecasting process in different ways, and this study also provides concrete general solutions and suggestions for how Industri AB can improve their forecasting process.

我國興櫃股票之交易方式係由推薦證券商（即興櫃股票之造市商）之報價主導交易進行，屬於報價驅動（Quote-driven）之交易方式，與我國上櫃股票採取「等價交易」及上市股票採取「競價交易」等均屬委託單驅動（Order-driven）之交易方式迥然不同。 按我國證券交易法第155條第2項準用同條第1項規定之適用結果，「於證券商營業處所買賣有價證券」者，仍應有第1項所揭反市場操縱條款之適用。惟有關興櫃股票交易在成交對象之選擇、成交順序、成交價格決定，乃至於成交後之給付結算作業方式等，均與我國現行上市（櫃）股票之交易及交割方式具有明顯之差異，致應如何適用證券交易法反市場操縱條款之規定，乃成疑義。 本文鑒於興櫃股票市場規模已呈穩定成長之勢，不難想像興櫃股票交易與市場操縱行為之間終將有擦出爭議火花之時，故以比較法學研究之觀點，歸納並分析興櫃股票與上市（櫃）股票交易方式之差異及其癥結所在。另蒐集瀏覽世界各國主要證券市場之交易規制，包括美國OTCBB市場、歐陸Alternext市場及英國AIM市場，分析其他採用報價驅動交易模式之先進市場當中有關造市商義務之規範，以掌握造市商義務之核心意涵。進而以造市商義務範圍及報價驅動市場之交易特徵為基礎，逐一檢測興櫃股票適用我國證券交易法所揭「違約不交割」、「相對委託」、「連續交易」、「沖洗買賣」、「散布流言或不實資料」及「其他直接或間接操縱市場」等各款反市場操縱條款規定可能引發之爭議，並提出本文意見。 / The trading mechanism of Taiwan Emerging Stock is based on quote-driven model, which is very different from the order-driven model of the Taiwan OTC securities market and Taiwan Stock Exchange market. By the Taiwan Securities and Exchange Act Article 155 paragraph 2 permitted that paragraph 1, the anti-market manipulation provisions, shall apply mutatis mutandis to securities transactions conducted on the over-the-counter markets. However, lots of Taiwan Emerging stock trading rules such as allowing the participants to choose their counterparty, the matching sequence rules, the price decision rules, and even the rules of payment and settlement practices after transaction, all have significantly differences between those of Taiwan Emerging stock market and listed stock market. Therefore, how should Taiwan Emerging stock apply to the Securities Exchange Act under the terms of the anti-market manipulation is into doubt. Taiwan Emerging stock market has shown a steady growth trend, hence, it is easy to imagine that Taiwan Emerging stock trading and market manipulation issues will eventually rise to controversy. This thesis is to study from the point of view of comparative law, by means of analyzing the emerging stock markets of the advanced countries, including the U.S. OTCBB market, the European Alternext market and the UK AIM market, to conclude the crux of the difference between the quote-driven and order-driven market models. Then, to understand the characteristics and core obligation of the market maker under quote-driven market model, furthermore, to detect the disputes may lead for adapting the anti-manipulation provisions to Taiwan Emerging stock, including the terms of "breach of contract non-deliverable", "improper matched orders ", "continuous trading", "wash sale", "spreading rumors or false information" and other direct or indirect behavior of manipulation". And this thesis proposed its discovery at the end.