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From 2013 to 2015, the Taiwan Stock Exchange (TWSE) first reduced the call auction interval from 20s to 15s (hereafter denoted as Reform I), and then from 10s to 5s (hereafter denoted as Reform II), providing natural experiments to test the direct impact on order choices, order execution quality and trading volume. The present study provides evidence that the \"time contraction\" effect causes the decrease in the number of order submissions and cancellations. We find that with more frequent auctions, institutional investors raise order aggressiveness because of their higher demand for immediacy and tend to engage more in order splitting particularly when the auction interval is reduced to 5s. We also find that for individual investors who symbolize the uninformed traders having lower demand for immediacy and incurring higher monitoring cost, the \"wait-and-see\" effect becomes dominant in Reform II and lowers their order aggressiveness in large cap stocks. Although the direction of changes in the trade-to-auction ratio remains unclear, we show that the probability of limit-order execution of individual investors becomes lower in large cap stocks, and the comprehensive risk of limit-orders becomes smaller subsequent to Reform II. Following Reform I, the trade value of heavily traded stocks increases by 10.57%. After Reform II, the increase in percentage of trade value attributable to institutional investors is about 1.56%.

本文分析2013-2015年臺股分盤時距由20減至15秒（變革I）、10秒減至5秒（變革II）之加快撮合對投資人委託決策、自然人委託交易品質、個股成交量能有何直接影響效應。實證結果指出，「時間壓迫」效應導致新委託申報與撤單意願皆多呈遞減。機構投資人時效需求偏高，價位積極狀態升溫，盤距降至5秒時對大型股似有拆單活躍跡象。象徵弱勢方的自然人，時效需求較低且「監看」能力薄弱，在變革II中「觀望」效應躍居主導地位，對大型股委託積極狀態轉趨保守。雖然自然人當盤成交比例未有清楚升降方向，但對大型股委託當盤成交率下滑，而變革II後限價單綜合曝險度遞減。變革I直接激勵熱門交易股票成交值增長10.57%，變革II促成機構投資人交易比1.56%之增幅。

We develop a dynamic model of a limit order market populated by strategic liquidity traders of varying impatience. In equilibrium, patient traders tend to submit limit orders, whereas impatient traders submit market orders. Two variables are the key determinants of the limit order book dynamics in equilibrium: the proportion of patient traders and the order arrival rate. We offer several testable implications for various market quality measures such as spread, trading frequency, market resiliency, and time to execution for limit orders. Finally, we show the effect of imposing a minimal price variation on these measures.

The paper examines the bias introduced by metaorder limit prices when measuring quality of execution services on financial market. While evaluating the quality of execution services, observed execution costs should be adjusted for metaorder participation rate, size and duration to ensure that they are comparable across execution service providers. One of the exogenous factors which may bias measured execution costs are the different metaorder limit prices in the sample. Currently, there are no proposed methods to normalize for this bias. In the research, the difference in execution costs for metaorders with different limit prices was examined by implementing a limit order book simulation model. It was discovered that the difference in metaorder limit prices is a source of significant heterogeneity in the execution cost distribution. However, we were able to prove that when market agents trade with constant intensities, the difference in execution costs for metaorders with different limit prices is fully explained by their realized participation rate. As a result, financial institution may assess quality of execution services for metaorders without any reservations about differences in metaorders limit prices as long as execution costs are adjusted for different participation rates.

The presumption is that a broker executing a stock trade for a retail investor will get the investor the best possible price execution for the transaction. In fact, the broker often sells the retail investor's trade to an intermediary for cash payment. The broker's motivation to generate dealer profits seems to overcome the broker's fiduciary responsibility to obtain the best execution price for the customer, raising ethical questions. Purchasers and internalizers of order flow in the market may cause prices quoted on the NYSE to deteriorate, making all investors worse off.

The parameters currently used to evaluate the execution of production processes and product quality in the metallurgical industry are analyzed. A new approach is proposed to integrated evaluation and prediction of the performance of a factory with allowance for product quality, the sophistication of the technology, and order completion. A new method has also been developed for controlling production processes. This method entails calculation of the index “Probability of order completion with deviations from the specifications.” Among the advantages of the method is the possibility of predicting deviations in product quality when there are deviations from the specified process parameters. Another advantage is that the method makes it possible to correct problems in the process of completing customers’ orders.

本文利用逐筆委託與成交資料，檢驗台灣股市調降升降單位後，對不同類型投資人之委託策略與市場流動性供給的影響，以及這些影響對市場執行品質的意涵。研究發現：第一、改制後，投資人變得較沒有耐心；尤其是個別投資人，會減少使用非可市價化限價單的頻率，轉而委託可市價化限價單。第二、所有投資人都會因應改制而降低每筆委託規模，但只有個別投資人與自營商會更頻繁地取消委託單。另外，也發現非可市價化限價單投資人會委託在偏離報價較遠的價位上。而這些委託策略的調整，確實導致市場流動性供給的下降。最後，可市價化限價單的交易成本下降，顯示其執行品質獲得顯著改善；至於非可市價化限價單的執行品質改善與否，並無法得到一致結論。

The division of market-making revenue among dealer, broker, and trader is studied. When Knight Securities, a major Nasdaq dealer, interacts with market orders in actively traded stocks during the 4th quarter of 1996, it is estimated that its revenue is$0.057 per order. Knight pays brokers at least $ 0.025 per share (44% of revenue) for orders. To examine whether brokers appear to share these payments with traders, net trading costs (trade price net of commission) for traders using broker routing Knight orders is compared with estimated net trading costs for traders using only the discount broker it can be determined did not directly receive market-making revenue. It is found that the net trading cost of the broker refusing order-flow payments does not dominate the net trading cost of all brokers selling order flow to Knight. This finding suggests that order-flow payments do not unambiguously harm traders and challenges the conclusions of extant studies using only trade prices to assess market quality.

Este Projecto consiste no aumento da visibilidade de todas as matérias-primas, materiais e produtos que integram o processo produtivo da Tabaqueira, S.A, proporcionando uma visibilidade global do inventário que será útil tanto para as funções do dia-a-dia, como para a tomada de decisões estratégicas.Para o enquadramento do projecto, analisaram-se os processos, actividades e sistemas ligados ao inventário ao longo do processo produtivo. Analisada a situação inicial deu-se início ao desenvolvimento do projecto, baseado na implementação da metodologia PDCA - Plan (planeamento), Do (desenvolvimento), Check (controlo) e Act(actuar).Sendo o SAPo sistema principal da empresa, onde é actualizado e visualizado o inventário através dos seus movimentos e transacções, foi efectuada a compilação e análise das principais transacções para a visualização do inventário.Para identificar os problemas que afectam a visibilidade do inventário, foram utilizadas várias ferramentas e técnicas de análise, como diagramas SIPOC, e relacionou-se os intervenientes, processos e os fluxos de informação gerados, à elaboração de um diagrama de Ishikawapara visualização dos problemas combinado com a técnica dos cinco porquês para identificação de causas raiz.Foram identificados dois principais problemas que afectam a visibilidade de inventário, uma ligada à consulta de inventário no SAPe outra ligada à alimentação dos dados a esse sistema tanto a nível das operações que suportam a produção, como a nível dos vários sistemas ligados ao processo industrialÀ data da conclusão do projecto e de acordo com os objectivos definidos, estavam levantados os requisitos para o desenvolvimento de uma plataforma de suporte ao SAP, para melhoria da visibilidade do inventário. Foram igualmente levantados os requisitos para automatização de um processo identificado como crítico, os ripper shorts, bem como as etapas para medir a diferença de stock entre um dos sistemas externos, o LSP, e o SAP. Foram definidos e acordados com o departamento de Information Servicesprocedimentos para a análise do desfasamento temporal existente entre vários sistemas.A plataforma de suporte ao SAPmostrou ser uma solução válida, que contribui para o objectivo primordial deste projecto, aumento da visibilidade de inventário, para além de resultar numa diminuição substancial do tempo e esforço dispendido na consulta do mesmo.