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
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 \| highfrequency trading \| microstructure

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Series:	Economics Discussion Papers ; 2011-32
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	666343829 [GVK] hdl:10419/48827 [Handle] RePEc:zbw:ifwedp:201132 [RePEc]
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; G14 - Information and Market Efficiency; Event Studies
Source:	EconStor

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