Year: 2025
Type: article
Abstract: ABSTRACT The literature controversially discusses the ambiguous motives and driving forces behind quickly cancelled limit orders (fleeting orders), which are characteristic of high‐frequency markets. In particular, manipulative and dysfunctional characteristics are feared. We analyze top‐of‐book fleeting orders—so‐called flickering quotes—and show with an ultra‐low latency derivative data set that none of these properties have to be dreaded. On the contrary, flickering quotes are associated with liquid market environments, for example: the prices of “flickering” order books improve by before trades. The results reveal that flickering quotes are likely due to beneficial price discovery processes. Additionally, HFTs might offer their excess positions at a discount to other participants with these orders.
Source: Journal of Futures Markets
DOI: 10.1002/fut.70076
Institution: University of Augsburg
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $3,240
OpenAlex ID: W4417495014