The position profiles of order cancellations in an emerging stock market

@article{Gu2011ThePP,
  title={The position profiles of order cancellations in an emerging stock market},
  author={Gao-Feng Gu and Xiong Xiong and Fei Ren and Wei‐Xing Zhou and Wei Zhang},
  journal={Journal of Statistical Mechanics: Theory and Experiment},
  year={2011},
  volume={2013},
  pages={04027}
}
Order submission and cancellation are two constituent actions of stock trading behaviors in order-driven markets. Order submission dynamics has been extensively studied for different markets, while order cancellation dynamics is less understood. There are two positions associated with a cancellation, that is, the price level in the limit-order book (LOB) and the position in the queue at each price level. We study the profiles of these two order cancellation positions through rebuilding the… 

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