Pawan Jain
University of Memphis
Steven J. Jordan
Econometric Solutions
February 5, 2013
Abstract:
HFT involves submitting large numbers of orders to generate congestion. Regulators classify such stuffing activity as a type of market manipulation. Thus, regulators are considering cut-off value for minimal quote life. However, even simple summary statistics for the time an order takes to go from being placed to being posted or how long a cancellation order takes to execute on the exchange are not available. Without such empirically facts it is difficult to understand the potential impact of HFT or how to regulate it. This paper attempts to fill this gap in the literature and provide several statistics concerning cancellation latency.
Jain, Pawan and Jordan, Steven J., Cancellation Latency: The Good, the Bad, and the Ugly (February 5, 2013). Available at SSRN: http:/
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