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Article

Canceled Orders and Executed Hidden Orders

Zhilu Lin, Bonnie F. Van Ness and Robert A. Van Ness
The Journal of Trading Spring 2018, 13 (2) 5-19; DOI: https://doi.org/10.3905/jot.2018.13.2.005
Zhilu Lin
is a PhD student at the University of Mississippi in University, MS. zlin@bus.olemiss.edu
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Bonnie F. Van Ness
is a professor of finance at the University of Mississippi in University, MS. bvanness@bus.olemiss.edu
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Robert A. Van Ness
is a professor of finance at the University of Mississippi in University, MS. rvanness@bus.olemiss.edu
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Abstract

This article examines the determinants of canceled orders and hidden orders and the effects of canceled orders and hidden orders on market quality. The authors find that effective spread, market capitalization, stock volatility, order volume, odd-lots, and hidden orders are determinants of canceled orders, while effective spread, odd-lots, and stock volatility are determinants of hidden orders. However, the determinants of canceled orders and the determinants of hidden orders are not consistent across exchanges. More canceled orders and hidden orders will result in higher effective and quoted spreads. The effect of canceled orders and hidden orders on depth depends on how depth is measured.

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The Journal of Trading: 13 (2)
The Journal of Trading
Vol. 13, Issue 2
Spring 2018
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Canceled Orders and Executed Hidden Orders
Zhilu Lin, Bonnie F. Van Ness, Robert A. Van Ness
The Journal of Trading Mar 2018, 13 (2) 5-19; DOI: 10.3905/jot.2018.13.2.005

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Canceled Orders and Executed Hidden Orders
Zhilu Lin, Bonnie F. Van Ness, Robert A. Van Ness
The Journal of Trading Mar 2018, 13 (2) 5-19; DOI: 10.3905/jot.2018.13.2.005
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  • Article
    • Abstract
    • DATA AND DESCRIPTIVE STATISTICS
    • DETERMINANTS OF CANCELED ORDERS
    • DETERMINANTS OF HIDDEN ORDERS
    • MARKET QUALITY
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
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