Modelling Trades-Through in a Limited Order Book Using Hawkes Processes

We 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, we show that a simple bivariate Hawkes process fits nicely our empirical observations of trades-through. We show that the cross-influence of bid and ask trades-through is weak

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Year of publication:	2011
Authors:	Muni Toke, Ioane
Other Persons:	Pomponio, Fabrizio (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Wertpapierhandel \| Securities trading \| Theorie \| Theory \| Marktmikrostruktur \| Market microstructure \| Börsenkurs \| Share price \| Geld-Brief-Spanne \| Bid-ask spread \| Stochastischer Prozess \| Stochastic process \| EU-Staaten \| EU countries

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