Cancellation Latency : The Good, the Bad, and the Ugly

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

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Year of publication:	2016
Authors:	Jain, Pawan
Other Persons:	Jordan, Steven J. (contributor)
Publisher:	[2016]: [S.l.] : SSRN

Extent:	1 Online-Ressource (55 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Financial Management, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 1, 2016 erstellt
Other identifiers:	10.2139/ssrn.2212504 [DOI]
Classification:	F00 - International Economics. General ; G00 - Financial Economics. General ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets ; G18 - Government Policy and Regulation ; G19 - General Financial Markets. Other ; K2 - Regulation and Business Law ; K33 - International Law ; L11 - Production, Pricing, and Market Structure Size; Size Distribution of Firms ; L51 - Economics of Regulation ; L98 - Government Policy ; N25 - Asia including Middle East
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013007698