Electronic Theses and Dissertations

Date of Award


Document Type


Degree Name

Ph.D. in Business Administration



First Advisor

Robert Van Ness

Second Advisor

Bart Garner

Third Advisor

Andre Liebenberg

Relational Format



In Part 1, I study the characteristics of short orders in stock markets. Fleeting orders are quick limit orders that remain on the limit order book for only a few seconds before being canceled, and are significantly different than more patient, static, limit orders that are added to the limit order book and await execution. I investigate the impact that fleeting orders have on spread and depth measures of market quality, and how fleeting orders differ from static orders. Attention is also given to the extent that total depth can be decomposed into the two components of fleeting and static depth. The results suggest that static orders have a positive impact on both spread and depth. However, fleeting orders have little impact on total liquidity. The results suggest that fleeting orders contribute noise to markets, and do not positively impact the spread and depth components of liquidity. This result is robust to the simultaneous issue that order submission strategies depend on current market quality conditions. In Part 2, I investigate the link between orders and trades in equity markets. A substantial body of research on limit order markets investigates the characteristics of orders and the characteristics of trades. However, there has been little research on how the characteristics of orders impact the characteristics of trades. I investigate the impact that marketable orders and limit orders have on the resulting trade characteristics. In addition, we test theoretical predictions on how market characteristics, like time of day and depth, impact order and trade characteristics. Lastly, in Part 3, I investigate the causes, and effects of intraday flash crashes. Breakdowns in financial markets occur when the market is not able to facilitate its principal responsibilities of liquidity provision and price discovery. In this paper we look at flash crashes, a special type of market breakdown. These crashes are generally non-fundamental in nature, and the market making responsibilities of liquidity and price discovery are only temporarily suspended for a short period before rebounding to pre-crash levels. This paper analyzes intraday flash crashes, primarily focusing on three aspects of flash crashes: crash frequency, crash triggers, and the impact on market quality once the crash has seceded.


Emphasis: Finance

Included in

Finance Commons



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