The competing risks technique is applied to the analysis of times to execution and cancellation of limit orders submitted on an electronic trading platform. Time-to-execution is found to be more sensitive to the limit price variation than time-to-cancellation, even though it is less sensitive to...

We document stylized facts about very short-lived - fleeting - orders submitted to a limit order trading platform, and study the dynamics of fleeting order activity. Principal component analysis for the probabilities of limit order cancellation shows that most of the cross-sectional variation in...

We investigate the extremal behavior of a special class of autoregressive processes with ARCH(1) errors given by the stochastic difference equationwhere are i.i.d. random variables. The extremes of such processes occur typically in clusters. We give an explicit formula for the extremal index and...