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

Fabrizio Pomponio and Frédéric Abergel ()
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Fabrizio Pomponio: FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec, MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris
Frédéric Abergel: FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec, MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris

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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-limits 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... and present a new method for the measurement of lead-lag parameters between assets, sectors or markets.

Keywords: Lead-lag measures; multiple-limit trades; equity futures (search for similar items in EconPapers)
Date: 2013-05
New Economics Papers: this item is included in nep-mst
Note: View the original document on HAL open archive server: https://hal.science/hal-00745317
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Published in Quantitative Finance, 2013, 13 (5), pp.783-793. ⟨10.1080/14697688.2012.743671⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00745317

DOI: 10.1080/14697688.2012.743671

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