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

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  • Pawan Jain
  • Steven J. Jordan

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  • Pawan Jain & Steven J. Jordan, 2017. "Cancellation Latency: The Good, the Bad, and the Ugly," Financial Management, Financial Management Association International, vol. 46(2), pages 377-407, June.
    • Handle: RePEc:bla:finmgt:v:46:y:2017:i:2:p:377-407
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    File URL: http://hdl.handle.net/10.1111/fima.2017.46.issue-2
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    Cited by:

    1. Viktor Manahov, 2021. "High‐frequency trading order cancellations and market quality: Is stricter regulation the answer?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5385-5407, October.
    2. Khomyn, Marta & Putniņš, Tālis J., 2021. "Algos gone wild: What drives the extreme order cancellation rates in modern markets?," Journal of Banking & Finance, Elsevier, vol. 129(C).
    3. Jurich, Stephen N. & Mishra, Ajay Kumar & Parikh, Bhavik, 2020. "Indecisive algos: Do limit order revisions increase market load?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
    4. Thomas H. McInish & Olena Nikolsko‐Rzhevska & Alex Nikolsko‐Rzhevskyy & Irina Panovska, 2020. "Fast and slow cancellations and trader behavior," Financial Management, Financial Management Association International, vol. 49(4), pages 973-996, December.
    5. Boilard, J.-F. & Kanazawa, K. & Takayasu, H. & Takayasu, M., 2018. "Empirical scaling relations of market event rates in foreign currency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 1152-1161.
    6. Nikolsko-Rzhevska, Olena & Nikolsko-Rzhevskyy, Alex & Black, Jeffrey R., 2020. "The life of U’s: Order revisions on NASDAQ," Journal of Banking & Finance, Elsevier, vol. 111(C).
    7. Carl David Mildenberger, 2023. "What (If Anything) is Wrong with High-Frequency Trading?," Journal of Business Ethics, Springer, vol. 186(2), pages 369-383, August.
    8. Jain, Pawan & Upadhyay, Arun, 2021. "Are REITs more resilient than non-REITs? Evidence from natural experiments," Japan and the World Economy, Elsevier, vol. 58(C).

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