Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/48827
Authors: 
Toke, Ioane Muni
Pomponio, Fabrizio
Year of Publication: 
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: 
http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
Document Type: 
Working Paper

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