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

Financial Management, Forthcoming

55 Pages Posted: 6 Feb 2013 Last revised: 28 Aug 2016

Pawan Jain

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

Steven J. Jordan

Econometric Solutions

Date Written: August 1, 2016

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.

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

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: https://ssrn.com/abstract=2212504 or http://dx.doi.org/10.2139/ssrn.2212504

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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