Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/59452
Authors: 
Toke, Ioane Muni
Pomponio, Fabrizio
Year of Publication: 
2012
Citation: 
[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [Volume:] 6 [Issue:] 2012-22 [Pages:] 1-23
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: 
http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
Document Type: 
Article

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