研究使用台股期貨(TX)日内資料逐日統計投資人的交易量和持倉量定義出快速交易，並將快速交易進行流動性拆解為流動性需求和供給。而後通過狀態空間模型將台股期貨價格拆解為恆常性價格和暫時性價格，並考量市場壓力亦將樣本日期區分爲高恆常波動日和高恐慌日分析，以多方面探尋快速交易對價格發現的作用。此外也考量流動性對快速交易的影響，以及快速交易及分類投資人對報酬率的預測。
研究結果顯示台股期貨中確實存在與高頻交易近似的快速交易，且使用此方法篩選出的投資人符合研究的預期。快速交易具有價格發現能力，並在市場壓力時期更為顯著。此外快速交易能獲取委託簿訊息，且市場資訊繁複會影響其流動性需求和流動性供給。而且快速交易流動性需求可以預測報酬率，其中專業投資人預測能力佳。最後的穩健性結果也證明研究結果的合理性。

This study uses the intraday data of TAIEX Futures (TX) to count the investors' trading volume and position size to define Fast Trading (FT) and dissolves the liquidity of the FT into liquidity demand and supply. Then, the prices were divided into the permanent price and transitory price by the state space model, and the sample dates were divided into High-permanent volatility days and High-VIX days by considering the market stress, to explore the effect of FT on price discovery in various aspects. This study also considers the impact of liquidity on FT, and FT classified investors can predict return.
The results show that there exists FT similar to High-Frequency Trading (HFT) in TX, and the investors selected by this method meet the research expectations in many aspects. FT has price discovery capabilities and is more pronounced under market stress. Also, FT can obtain order book information, and the market information will affect its liquidity demand and liquidity supply. Moreover, FTs’ liquidity demand can predict return, and institutional investors have better predictive ability. The robustness test also proves the results of this study.

目 錄
第一章 緒論	1
第一節	研究背景與動機	1
第二節	研究目的與假設	3
第三節	研究架構	4
第四節	研究流程	5
第二章 文獻回顧	6
第一節	高頻交易	6
第二節	價格發現	8
第三章 研究方法	10
第一節	台灣期貨市場	10
第二節	研究樣本	11
第三節	研究時間間隔	12
第四節	快速交易定義與篩選	13
第五節	變數與迴歸模型	16
第四章 實證結果與分析	23
第一節	敘述統計	23
第二節	迴歸分析	24
第三節	穩健性檢定	35
第五章 結論	38
參考文獻	40
 
表目錄
【表3-1】2007年至2012年期貨市場年成交量統計表	10
【表3-2】不同時間間隔下委託至成交時間比例(%)	12
【表3-3】FT和non-FT統計表	14
【表3-4】FT和non-FT資訊頻率表	15
【表3-5】不同大額市價單在委託簿消化比例(%)	19
【表4-1】主要變數敘述統計表	23
【表4-2】狀態空間模型下FT和價格的關係	24
【表4-3】狀態空間模型下FT、non-FT的流動性和價格的關係	25
【表4-4】區分高恆常波動日狀態空間模型下FT和價格的關係	26
【表4-5】高恆常波動日狀態空間模型下FT、non-FT的流動性和價格的關係	27
【表4-6】不同時間間隔下委託至成交時間比例(%)	28
【表4-7】區分高恐慌日狀態空間模型下FT和價格的關係	28
【表4-8】高恐慌日狀態空間模型下FT、non-FT的流動性和價格的關係	29
【表4-9】委託簿不平衡對快速交易的影響	30
【表4-10】交易成本對快速交易的影響	31
【表4-11】快速交易與其分類投資人流動性需求對報酬率的預測	33
【表4-12】狀態空間模型的高恆常波動日FT和價格的關係	35
【表4-13】狀態空間模型的高恐慌日FT和價格的關係	36
【表4-14】流動性對快速交易的影響	37
【表4-15】狀態空間模型下FT和價格的關係(60s)	37 
圖目錄
【圖1-1】研究流程	5

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