Cancellation Latency: The Good, the Bad, and the Ugly
University of Wyoming - College of Business - Department of Economics and Finance; Central Michigan University
Steven J. Jordan
August 1, 2016
Financial Management, Forthcoming
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
Date posted: February 6, 2013 ; Last revised: August 28, 2016
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