Financial Management, Forthcoming
55 Pages Posted: 6 Feb 2013 Last revised: 28 Aug 2016
Date Written: August 1, 2016
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: 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