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Title:Modelling trades-through in a limited order book using Hawkes processes PDF Logo
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:http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
Document Type:Working Paper
Appears in Collections:Economics: The Open-Access, Open-Assessment E-Journal - Discussion Papers

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