EconStor >
Institut für Weltwirtschaft (IfW), Kiel >
Economics: The Open-Access, Open-Assessment E-Journal - Journal Articles >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/59452
  
Title:Modelling trades-through in a limit order book using hawkes processes PDF Logo
Authors:Toke, Ioane Muni
Pomponio, Fabrizio
Issue Date:2012
Citation:[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [Volume:] 6 [Issue:] 2012-22 [Pages:] 1-23
Series/Report no.:Economics 2012-22
Abstract:The authors 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, they show that a simple bivariate Hawkes process fits nicely their empirical observations of tradesthrough. The authors show that the cross-influence of bid and ask trades-through is weak.
Subjects:Hawkes processes
limit order book
trades-through
high-frequency trading
microstructure
JEL:C32
C51
G14
Persistent Identifier of the first edition:doi:10.5018/economics-ejournal.ja.2012-22
Creative Commons License:http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
Document Type:Article
Appears in Collections:Economics: The Open-Access, Open-Assessment E-Journal - Journal Articles

Files in This Item:
File Description SizeFormat
718124189.pdf332.61 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/59452

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.