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Program Trading and Price Discovery : 프로그램매매가 가격발견기능에 미치는 영향
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- Authors
- Advisor
- 채준
- Major
- 경영대학 경영학과
- Issue Date
- 2017-02
- Publisher
- 서울대학교 대학원
- Keywords
- Program Trading ; Price Discovery ; State Space Model
- Description
- 학위논문 (석사)-- 서울대학교 대학원 : 경영학과, 2017. 2. 채준.
- Abstract
- I examine the role of program trading in price discovery. Program trading is less involved in updating information and adjusting pricing error than non-program trading. For information update, liquidity-demanding program trading is less informed than liquidity-demanding non-program trading, and liquidity-supplying program trading is more adversely selected than liquidity-supplying non-program trading. In terms of pricing error, program trading buys overpriced stocks and sells underpriced stocks. Index arbitrage and non-arbitrage program trading play a similar role in price discovery.
- Language
- English
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