Duplicated Orders, Swift Cancellations, and Fast Market Making in Fragmented Markets

The authors thank two anonymous reviewers, an anonymous associate editor, Panos Anagnostidis, Carlos Aparicio Roqueiro, Jos van Bommel, Antoine Bouveret, Agostino Capponi, Carole Comerton-Forde, Sarah Draus, Thierry Foucault, Monika Gehde-Trapp, Cyrille Guillaumie, Björn Hägstromer, Frank Hatheway, Peter Hoffmann, Charles Jones, Olga Klein, Christophe Majois, Katya Malinova, Giang Nguyen, Carol Osler, Christine Parlour, Tavy Ronen, Gideon Saar, Anne-Laure Samson, Duane Seppi, Andriy Shkilko, Elvira Sojli, Ingrid Werner, Christian Winkler, and Gunther Wuyts; participants of the Group of Economic Advisors at ESMA (European Securities and Markets Authority); seminar participants at Katholieke Universiteit Leuven; members of the Autorité des Marchés Financiers scientific board; and participants at the 35th Spring Association Française de Finance Conference, the 4th Women in Microstructure Meeting, the 2nd European Capital Market Workshop, the 2nd Sustainable Architecture for Finance in Europe Market Microstructure Conference, the 2018 Financial Management Association Annual Meeting, the 46th European Finance Association Meeting (Lisbon), and the 2020 Plato Market Innovator Conference for their comments. The authors also thank Yujuan Zhang for excellent research assistance and ESMA for providing access to the data. The views presented in this paper are those of the authors and do not necessarily reflect the views of ESMA.