Who cancels in electronic markets?
We study differences in trading between US equity market participants with high and low cancellation activity. Traders with high (low) cancellation rates are significant net suppliers (takers) of liquidity and, overall, less (more) informed about future prices. The findings suggest that recent US government considerations to impose a fee on traders who cancel often could, if enacted, adversely impact market liquidity.
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Volume (Year): 19 (2012)
Issue (Month): 12 (August)
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