作者
陳孝琪^* (國立台北大學經濟系)
劉曦敏 (國立台北大學經濟系)

Authors
Hsiao-Chi Chen^* (Department of Economics, National Taipei University)
Shi-Miin Liu (Department of Economics, National Taipei University)

中文摘要
本文分析一個獨占的造市者如何決定其最適的報價價差和深度，以及資訊交易者和非資訊交易者的最適下單策略。我們發現報價深度對交易者的最適下單決策有顯著的影響。因此，造市者可透過調整報價深度以避免來自市場上買、賣一方或雙方的不利交易。此外，我們亦證明當價差變小、深度增加、同邊的限價單數量增加、或預期未來的市價單減少時，交易者較願意採用市價單。相反的情況下，交易者則較願意採用限價單。

Abstract
This paper analyzes a monopolistic market maker's joint determination of quoted spreads and depths, as well as informed and uninformed traders' optimal submission strategies under various trading environments. The influence of quoted depths on traders' order-submission decisions is found to be significant. Therefore, the market maker can adjust quoted depths to avoid unfavorable trades on one side or both sides of the market. In addition, it is shown that traders are more willing to submit market orders when spreads decrease, depths increase, same-side limit order books are thicker, or expected future market order flows decrease. Conversely, limit orders are preferred.

中文關鍵字
買賣價差；報價深度；市價單；限價單

Keywords
Bid-ask Spreads; Quoted Depths; Market Orders; Limit Orders