IDEAS home Printed from https://ideas.repec.org/h/pal/palchp/978-0-230-29810-1_2.html
   My bibliography  Save this book chapter

Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders

In: Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures

Author

Listed:
  • Bidisha Chakrabarty
  • Konstantin Tyurin

Abstract

We document stylized facts about very short-lived — fleeting — orders submitted to a limit order trading platform, and study the dynamics of fleeting order activity. Principal component analysis for the probabilities of limit order cancellation shows that most of the cross-sectional variation in limit order cancellation probabilities can be explained by the inverse of the relative tick size of the stock, which can be interpreted as the limit order book granularity for this stock. We model the nonmarketable limit order flow as a mixture of two order types; one for very short duration orders and the other for longer duration orders. By allowing the mixing probability to depend on time of the day, stock characteristics and market conditions, we find that fleeting orders are more likely to be observed at more aggressive prices and in markets characterized by higher volatility, wider bid–ask spreads and higher volumes of hidden transactions inside the spread.

Suggested Citation

  • Bidisha Chakrabarty & Konstantin Tyurin, 2011. "Market Liquidity, Stock Characteristics and Order Cancellations: The Case of Fleeting Orders," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, chapter 2, pages 33-65, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-29810-1_2
    DOI: 10.1057/9780230298101_2
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Aggarwal, Nidhi & Panchapagesan, Venkatesh & Thomas, Susan, 2023. "When is the order-to-trade ratio fee effective?," Journal of Financial Markets, Elsevier, vol. 62(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:palchp:978-0-230-29810-1_2. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.