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

Ioane Muni Toke () and Fabrizio Pomponio
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Ioane Muni Toke: 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
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

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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.

Date: 2012-06-14
New Economics Papers: this item is included in nep-mst
Note: View the original document on HAL open archive server: https://hal.science/hal-00745554
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Published in Economics , 2012, 6 (2012-22), ⟨10.5018/economics-ejournal.ja.2012-22⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00745554

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

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