Modelling trades-through in a limit order book using hawkes processes

Ioane Muni Toke and Fabrizio Pomponio

Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2012, vol. 6, No 2012-22, 23 pages

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.

Keywords: Hawkes processes; limit order book; trades-through; high-frequency trading; microstructure (search for similar items in EconPapers)
JEL-codes: C32 C51 G14 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifweej:201222

DOI: 10.5018/economics-ejournal.ja.2012-22

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