Modelling trades-through in a limit order book using hawkes processes

The authors model trades-through, i.e. transactions that reach at least the second level of limit orders in an order book. Using tick-by-tick data on Euronext-traded stocks, they show that a simple bivariate Hawkes process fits nicely their empirical observations of tradesthrough. The authors show that the cross-influence of bid and ask trades-through is weak.

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Year of publication:	2012
Authors:	Toke, Ioane Muni ; Pomponio, Fabrizio
Published in:	Economics: The Open-Access, Open-Assessment E-Journal. - Kiel : Kiel Institute for the World Economy (IfW), ISSN 1864-6042. - Vol. 6.2012, 2012-22, p. 1-23
Publisher:	Kiel : Kiel Institute for the World Economy (IfW)
Subject:	Börsenkurs \| Bid-Ask Spread \| Wertpapierhandel \| Mikrostrukturanalyse \| Stochastischer Prozess \| Theorie \| EU-Staaten \| Hawkes processes \| limit order book \| trades-through \| high-frequency trading \| microstructure

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.5018/economics-ejournal.ja.2012-22 [DOI] 718124189 [GVK] hdl:10419/59452 [Handle] RePEc:zbw:ifweej:201222 [RePEc]
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; G14 - Information and Market Efficiency; Event Studies
Source:	EconStor

Persistent link: https://www.econbiz.de/10010309222