Abstract
This paper studies the frequency and speed of limit order cancellations in the FX spot market for EUR/USD, USD/JPY and EUR/JPY. By investigating both ‘market-specific’ and ‘order-specific’ drivers of liquidity withdrawal, we report several
findings that could serve to question traditional market microstructure theory as well as conventional anecdotes from financial market participants. Overall, it appears as if limit orders with characteristics more likely to be submitted by algorithmic traders are perceived to be more informed or predatory than orders submitted human traders -thus acting to trigger more, and faster, limit order cancellations.
findings that could serve to question traditional market microstructure theory as well as conventional anecdotes from financial market participants. Overall, it appears as if limit orders with characteristics more likely to be submitted by algorithmic traders are perceived to be more informed or predatory than orders submitted human traders -thus acting to trigger more, and faster, limit order cancellations.
| Original language | English |
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| Publisher | University of Portsmouth |
| Pages | 1-55 |
| Publication status | Published - 1 May 2017 |
Publication series
| Name | Working Papers in Economics & Finance |
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