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Determinants of Lim...
Determinants of Limit Order Cancellations
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- Dahlström, Petter (författare)
- Stockholms universitet,Finansiering
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- Hagströmer, Björn (författare)
- Stockholms universitet,Finansiering
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- Nordén, Lars L. (författare)
- Stockholms universitet,Finansiering
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(creator_code:org_t)
- Engelska.
- Relaterad länk:
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https://urn.kb.se/re...
Abstract
Ämnesord
Stäng
- We investigate the economic rationale behind limit order cancellations from the perspective of liquidity suppliers. We predict that an order is cancelled whenever its expected revenue no longer exceeds the expected cost and we model how order profitability variation can be determined from changes in the state of the order book and the order queue position. Our empirical evidence supports the predictions in general and for orders submitted by high-frequency trading firms in particular. Consistent with our model approach, we find that order cancellation patterns are more consistent with market making than with liquidity demand strategies.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Företagsekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Business Administration (hsv//eng)
Nyckelord
- Market microstructure
- företagsekonomi
- Business Administration
Publikations- och innehållstyp
- vet (ämneskategori)
- ovr (ämneskategori)