Modelling Trades-Through in a Limit Order Book Using Hawkes Processes-Reference-Cited by-同舟云学术

Modelling Trades-Through in a Limit Order Book Using Hawkes Processes

Published:2012-06-14 Issue:1 Volume:6 Page:
ISSN:1864-6042
Container-title:Economics
language:en
Short-container-title:

Author:

Toke Ioane Muni¹,Pomponio Fabrizio²

Affiliation:

1. Ecole Centrale Paris and University of New Caledonia

2. Ecole Centrale Paris and BNP Paribas , Paris

Abstract

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.

Publisher

Walter de Gruyter GmbH

Subject

General Economics, Econometrics and Finance

Link

https://www.degruyter.com/document/doi/10.5018/economics-ejournal.ja.2012-22/pdf

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