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.
Volume (Year): 19 (2012)
Issue (Month): 12 (August)
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEL20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEL20|
When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:19:y:2012:i:12:p:1161-1164. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.