Hasbrouck, Joel; Saar, Gideon - In: Journal of Financial Markets 12 (2009) 2, pp. 143-172
Limit orders are usually viewed as patiently supplying liquidity. We investigate the trading of one hundred Nasdaq-listed stocks on INET, a limit order book. In contrast to the usual view, we find that over one-third of nonmarketable limit orders are cancelled within two seconds. We investigate...