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| Title: | | Modelling trades-through in a limited order book using Hawkes processes  |
| Authors: | | Toke, Ioane Muni Pomponio, Fabrizio |
| Issue Date: | | 2011 |
| Series/Report no.: | | Economics Discussion Papers 2011-32 |
| Abstract: | | 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. |
| Subjects: | | Hawkes processes limit order book trades-through highfrequency trading microstructure |
| JEL: | | C32 C51 G14 |
| Creative Commons License: | |  |
| Document Type: | | Working Paper |
| Appears in Collections: | | Economics: The Open-Access, Open-Assessment E-Journal - Discussion Papers
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