Modelling trades-through in a limited order book using Hawkes processes

Ioane Muni Toke and Fabrizio Pomponio

No 2011-32, Economics Discussion Papers from Kiel Institute for the World Economy

Abstract: We 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, we show that a simple bivariate Hawkes process fits nicely our empirical observations of trades-through. We show that the cross-influence of bid and ask trades-through is weak.

Keywords: Hawkes processes; limit order book; trades-through; highfrequency trading; microstructure (search for similar items in EconPapers)
JEL-codes: C32 C51 G14 (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-ecm and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwedp:201132

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