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...

The goal of this paper is to study and compare two popular techniques used by practitioners to reduce the sensitivity of optimal portfolios to uncertainty in expected return for a typical portfolio optimization problem. Specifically, we investigate whether including transaction costs into the...