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. - Institut für Weltwirtschaft (IfW), ISSN 1864-6042. - Vol. 6.2012, 2012-22, p. 1-23
Publisher:	Institut für Weltwirtschaft (IfW)
Subject:	Hawkes processes \| limit order book \| trades-through \| high-frequency trading \| microstructure

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Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.5018/economics-ejournal.ja.2012-22 [DOI]
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010954766