The determinants of limit order cancellations
研究了限价单取消的两个经济动机：执行预期利润下降和执行概率下降。订单层面分析表明，最优买卖价深度和订单队列位置的变化通过预期利润渠道影响取消行为，限价单取消总体上最好用流动性提供模型理解。
Abstract Almost all limit orders are canceled. We examine two economic channels that can motivate cancellations: reductions in the expected profit at execution, and reductions in the probability of execution. An order‐level analysis shows that changes in depth at the best bid and offer prices, as well as changes in the order queue position, influence cancellation in a way consistent with the former channel, that market makers monitor the expected profit at execution of each limit order. Although buy‐side investors use passive orders extensively, our findings indicate that limit order cancellations on aggregate are best understood through models of liquidity provision.