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Limit order revisions

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]

CollectionsANU Research Publications
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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