Limit order revisions
This paper empirically examines limit order revisions and cancellations which contribute to a significant portion of the order activity in many order-driven markets. We document that limit orders are more likely to be revised or cancelled if they are large and near the bid-ask quote. We show that order revisions generate net economic benefits to traders. Our evidence shows strong links between these activities and limit order submission risk using bid-ask spread, volatility and post-event...[Show more]
|Collections||ANU Research Publications|
|Source:||Journal of Banking and Finance|
|01_Fong_Limit_order_revisions_2010.pdf||942.85 kB||Adobe PDF||Request a copy|
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.