Limit order revisions across investor sophistication
研究了机构投资者和个人投资者在限价单取消和修改策略上的差异，发现机构投资者在面对更高风险时更频繁调整订单，而个人投资者调整较少。
We investigate whether investors’ levels of sophistication can result in differences in their cancellation and revision strategies. We use a unique dataset that encompasses all limit orders in the Taiwan futures market. Our results find that when investors face a higher free-option risk (non-execution risk), institutional investors increase their cancellations and revisions to reduce their risk of being picked off (non-execution). By contrast, individual investors are less likely to cancel and revise their limit orders. Higher informational volatility (transitory volatility) can improve (reduce) the revisions and cancellations of limit orders for all investor categories.