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.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0723108-154545 |
| Date | 23 July 2008 |
| Creators | Liu, Hui-Wen |
| Contributors | Mong-Na Lo Huang, Mei-Hui Guo, Fu-Chuen Chang, Tzu-Jen Wang |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0723108-154545 |
| Rights | not_available, Copyright information available at source archive |
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