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Hasbrouck et al., 2009 - Google Patents

Technology and liquidity provision: The blurring of traditional definitions

Hasbrouck et al., 2009

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Document ID
1039153273014492322
Author
Hasbrouck J
Saar G
Publication year
Publication venue
Journal of financial Markets

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Snippet

Limit orders are usually viewed as patiently supplying liquidity. We investigate the trading of one hundred Nasdaq-listed stocks on INET, a limit order book. In contrast to the usual view, we find that over one-third of nonmarketable limit orders are cancelled within two seconds …
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