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:	Toke, Ioane Muni ; Pomponio, Fabrizio
Institutions:	Institut für Weltwirtschaft (IfW)
Subject:	Hawkes processes \| limit order book \| trades-through \| highfrequency trading \| microstructure

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Extent:	application/pdf
Series:	Economics Discussion Papers. - ISSN 1867-8009.
Type of publication:	Book / Working Paper
Notes:	Number 2011-32
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/10009246866