Stepping out of the limit order book: Empirical evidence from the EBS FX market

Yushi Yoshida and Masayuki Susai

MPRA Paper from University Library of Munich, Germany

Abstract: Most limit orders exit the market as cancellations or revisions without a transaction. Using the EBS dataset, we can measure how long an individual limit order remains in the foreign exchange (FX) market. Thus, we use the measured lifetimes of canceled limit orders and find that post-order-placement changes in market price and limit order book depth affect cancellations, consistent with optimal behaviors that consider both order placement and order exit. FX dealers cancel their limit orders faster as the depth increases at better quotes. When market prices move away from their submitted quotes, patient dealers exhibit greater forbearance for their worsened position.

Keywords: Foreign exchange market; Lifetime; Limit order; Market microstructure; Order book. (search for similar items in EconPapers)
JEL-codes: F31 G12 G14 G15 (search for similar items in EconPapers)
Date: 2016-03-25
New Economics Papers: this item is included in nep-mst
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:70291

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