Cancellation Latency: The Good, the Bad, and the Ugly
研究了取消订单的延迟时间，发现其与市场质量相关且随时间、订单特征、市场拥堵等因素变化，对监管者制定最小报价寿命政策有参考价值。
This paper provides several statistics concerning cancellation latency that would be helpful to regulators as they consider policies to establish a minimal quote life. We find that cancellation latency is related to market quality and is not constant. Rather, it varies depending upon the time of day, order price and size, market congestion, trader type, firm size, order imbalance, and technology used for submitting an order.