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Limit order revisions

  • Fong, Kingsley Y.L.
  • Liu, Wai-Man
Registered author(s):

    This paper empirically examines limit order revisions and cancellations which contribute to a significant portion of the order activity in many order-driven markets. We document that limit orders are more likely to be revised or cancelled if they are large and near the bid-ask quote. We show that order revisions generate net economic benefits to traders. Our evidence shows strong links between these activities and limit order submission risk using bid-ask spread, volatility and post-event return as proxies. We also find that these activities are less intense when the opportunity cost to monitor a stock is high, such as during lunch hours or when stock volume relative to the entire market is low.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0378-4266(09)00336-7
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 34 (2010)
    Issue (Month): 8 (August)
    Pages: 1873-1885

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    Handle: RePEc:eee:jbfina:v:34:y:2010:i:8:p:1873-1885
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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    17. Bialkowski, Jedrzej & Darolles, Serge & Le Fol, Gaëlle, 2008. "Improving VWAP strategies: A dynamic volume approach," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1709-1722, September.
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