Limit order revisions
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Altmetric Citations
Fong, Kingsley; Liu, Wai-Man (Raymond)
Description
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 |
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Date published: | 2010 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/36456 |
Source: | Journal of Banking and Finance |
DOI: | 10.1016/j.jbankfin.2009.12.010 |
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File | Description | Size | Format | Image |
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01_Fong_Limit_order_revisions_2010.pdf | 942.85 kB | Adobe PDF | Request a copy |
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