A recent and growing body of literature suggests that not only trades are informative but other order book events like a submission or, more generally, the order book imbalance contribute to the price discovery process. In this paper, we analyze the price impact of limit order cancellations....

We document that around 95% of the limit orders submitted to the London Stock Exchange (LSE) are cancelled in a short period of time. Based on that, we look at the intensity of limit order cancellations and the effects on market liquidity.We find that the rate of limit order cancellations...