The Case of Fleeting Orders and Flickering Quotes
研究高频市场中快速取消的限价订单（短暂订单）的动机，发现顶部闪烁报价并非操纵或功能失调，反而与流动性市场环境相关，有助于价格发现。
ABSTRACT The literature controversially discusses the ambiguous motives and driving forces behind quickly cancelled limit orders (fleeting orders), which are characteristic of high‐frequency markets. In particular, manipulative and dysfunctional characteristics are feared. We analyze top‐of‐book fleeting orders—so‐called flickering quotes—and show with an ultra‐low latency derivative data set that none of these properties have to be dreaded. On the contrary, flickering quotes are associated with liquid market environments, for example: the prices of “flickering” order books improve by before trades. The results reveal that flickering quotes are likely due to beneficial price discovery processes. Additionally, HFTs might offer their excess positions at a discount to other participants with these orders.