Multiple-limit trades: empirical facts and application to lead--lag measures

Fabrizio Pomponio and Frederic Abergel

Quantitative Finance, 2012, vol. 13, issue 5, 783-793

Abstract: Order splitting is a standard practice in trading: traders constantly scan the limit order book and choose to limit the size of their market orders to the quantity available at the best limit, thereby controlling the market impact of their orders. In this article, we focus on the other trades, multiple-limit trades that go through the best available price in the order book, or ‘trade-throughs’. We provide various statistics on trade-throughs: frequency, volume, intraday distribution, market impact, etc., and present a new method for the measurement of lead--lag parameters between assets, sectors or markets.

Date: 2012
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DOI: 10.1080/14697688.2012.743671

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