Fast and slow cancellations and trader behavior
研究了订单撤销导致的短暂流动性供给如何影响慢速交易者的下单行为，发现撤单增加时慢速交易者提交更少且更不激进的订单，并开发了预测报价寿命的计量与机器学习框架。
Abstract We investigate how short‐lived liquidity supply due to order cancellations affects the order‐placement behavior of slow traders. When order cancellations increase, slow traders submit fewer and less aggressive orders. Both short‐ and long‐lived liquidity supply have positive effects on the market overall, reducing spreads and increasing depth. We conclude that it is not necessary to require limit orders to have a minimum lifespan. We develop econometric and machine‐learning frameworks that allow traders to predict whether a quote is likely to have a short or long life, increasing the ability of slow traders to respond strategically to changing order flow.