Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/48827 
Year of Publication: 
2011
Series/Report no.: 
Economics Discussion Papers No. 2011-32
Publisher: 
Kiel Institute for the World Economy (IfW), Kiel
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: 
cc-by-nc Logo
Document Type: 
Working Paper

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