  The order submission and cancelation processes are two crucial aspects in the
price formation of stocks traded in order-driven markets. We investigate the
dynamics of order cancelation by studying the statistical properties of
inter-cancelation durations defined as the waiting times between consecutive
order cancelations of 22 liquid stocks traded on the Shenzhen Stock Exchange of
China in year 2003. Three types of cancelations are considered including
cancelation of any limit orders, of buy limit orders and of sell limit orders.
We find that the distributions of the inter-cancelation durations of individual
stocks can be well modeled by Weibulls for each type of cancelation and the
distributions of rescaled durations of each type of cancelations exhibit a
scaling behavior for different stocks. Complex intraday patterns are also
unveiled in the inter-cancelation durations. The detrended fluctuation analysis
(DFA) and the multifractal DFA show that the inter-cancelation durations
possess long-term memory and multifractal nature, which are not influenced by
the intraday patterns. No clear crossover phenomenon is observed in the
detrended fluctuation functions with respect to the time scale. These findings
indicate that the cancelation of limit orders is a non-Poisson process, which
has potential worth in the construction of order-driven market models.

Trading and Market Microstructure;Statistical Finance