Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/59452 
Year of Publication: 
2012
Citation: 
[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [ISSN:] 1864-6042 [Volume:] 6 [Issue:] 2012-22 [Publisher:] Kiel Institute for the World Economy (IfW) [Place:] Kiel [Year:] 2012 [Pages:] 1-23
Publisher: 
Kiel Institute for the World Economy (IfW), Kiel
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: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

Files in This Item:
File
Size
332.61 kB





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