The case of fleeting orders and flickering quotes
- 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 3.90% 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.
| Author: | Markus UlzeGND, Johannes Stadler, Andreas W. RathgeberORCiDGND |
|---|---|
| URN: | urn:nbn:de:bvb:384-opus4-1272076 |
| Frontdoor URL | https://opus.bibliothek.uni-augsburg.de/opus4/127207 |
| ISSN: | 0270-7314OPAC |
| ISSN: | 1096-9934OPAC |
| Parent Title (English): | Journal of Futures Markets |
| Publisher: | Wiley |
| Place of publication: | Weinheim |
| Type: | Article |
| Language: | English |
| Year of first Publication: | 2026 |
| Publishing Institution: | Universität Augsburg |
| Release Date: | 2025/12/23 |
| Volume: | 46 |
| Issue: | 4 |
| First Page: | 629 |
| Last Page: | 652 |
| DOI: | https://doi.org/10.1002/fut.70076 |
| Institutes: | Mathematisch-Naturwissenschaftlich-Technische Fakultät |
| Mathematisch-Naturwissenschaftlich-Technische Fakultät / Institut für Materials Resource Management | |
| Mathematisch-Naturwissenschaftlich-Technische Fakultät / Institut für Materials Resource Management / Professur für Applied Data Analysis | |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Licence (German): |  CC-BY 4.0: Creative Commons: Namensnennung |
