Chakrabarty, Bidisha; Han, Zhaohui; Tyurin, Konstantin; … - Center for Applied Economics and Policy Research … - 2006
The competing risks technique is applied to the analysis of times to execution and cancellation of limit orders submitted on an electronic trading platform. Time-to-execution is found to be more sensitive to the limit price variation than time-to-cancellation, even though it is less sensitive to...