Does The Option to Cancel an Order in a Double Auction Market Matter?

Posted: 16 Feb 2005

See all articles by Steve Crowley

Steve Crowley

University of Utah - School of Accounting and Information Systems

Orly Sade

Hebrew University of Jerusalem - Department of Finance

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Abstract

Given the non-standardized use of the cancellation rule in the experimental-markets literature, this paper investigates whether the ability to cancel orders in a double auction matters. We find that players use the option to cancel orders when it is available and that the option to cancel affects volume, but not price-associated variable.

Keywords: experimental markets, double auction, order cancellation

JEL Classification: C90, D40

Suggested Citation

Crowley, Steven M. and Sade, Orly, Does The Option to Cancel an Order in a Double Auction Market Matter?. Economics Letters, Vol. 83, No. 1, pp. 89-97, April 2004. Available at SSRN: https://ssrn.com/abstract=667742

Steven M. Crowley

University of Utah - School of Accounting and Information Systems ( email )

1645 Campus Center Drive
Salt Lake City, UT 84112
United States
801-585-5525 (Phone)
801-581-7214 (Fax)

Orly Sade (Contact Author)

Hebrew University of Jerusalem - Department of Finance ( email )

Mount Scopus
Jerusalem, 91905
Israel
972 2 588 3227 (Phone)

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