The Probability of Limit-Order Execution

Limit order revisions

“…While a higher volatility reduces the probability of the non-execution of limit orders (Cho and Nelling (2000), Ahn et al (2001) Lo et al (2002), Ellul et al (2007)), a higher volatility also increases the opportunity cost of unfilled orders (Wald and Horrigan (2005)). This implies that the net relationship between volatility and cancellations/priority-increased revisions depends on the strength of these opposing factors.…”

The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 system

“…First, we jointly consider both the order choice and the time between submissions. Previous studies look at only the order choice decision (e.g., Cho and Nelling, 2000) or the time between order submissions without distinguishing between market and limit orders (e.g., Russell, 1997, 1998). Whereas the theoretical literature (e.g., Foucault et al, 2005;Rosu, 2004) suggests that the duration of order submissions of each type carries valuable information about the unobservable efficient price.…”

Technology and Liquidity Provision: The Blurring of Traditional Definitions

“…Only a few studies model limit order durations. Cho and Nelling (2000) and Lo, MacKinlay, and Zhang (2002) estimate duration models, but their focus is on execution, with cancellation being taken as an exogenous censoring process. We use multinomial logit specifications to characterize order strategies.…”