Abstract

http://ssrn.com/abstract=2212504
 
 

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Cancellation Latency: The Good, the Bad, and the Ugly


Pawan Jain


University of Wyoming - College of Business - Department of Economics and Finance; Central Michigan University

Steven J. Jordan


Econometric Solutions

August 1, 2016

Financial Management, Forthcoming

Abstract:     
This paper provides several statistics concerning cancellation latency that would be helpful to regulators as they consider policies to establish a minimal quote life. We find that cancellation latency is related to market quality and is not constant. Rather, it varies depending upon the time of day, order price and size, market congestion, trader type, firm size, order imbalance, and technology used for submitting an order.

Number of Pages in PDF File: 55

Keywords: cancellation, latency, high frequency trading, HFT, quote stuffing, market regulation, volume, risk, latency arbitrage, microstructure

JEL Classification: F00, G00, G14, G15, G18, G19, K2, K33, L11, L51, L98, N25


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Date posted: February 6, 2013 ; Last revised: August 28, 2016

Suggested Citation

Jain, Pawan and Jordan, Steven J., Cancellation Latency: The Good, the Bad, and the Ugly (August 1, 2016). Financial Management, Forthcoming. Available at SSRN: http://ssrn.com/abstract=2212504 or http://dx.doi.org/10.2139/ssrn.2212504

Contact Information

Pawan Jain
University of Wyoming - College of Business - Department of Economics and Finance ( email )
P.O. Box 3985
Laramie, WY 82071-3985
United States
Central Michigan University ( email )
Mt. Pleasant, MI 48858
United States
Steven J. Jordan (Contact Author)
Econometric Solutions ( email )
3520 Fossil Park Dr.
Fort Worth, TX NA 76137
United States
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