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

Ioane Muni Toke; Fabrizio Pomponio

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. -- Hawkes processes ; limit order book ; trades-through ; high-frequency trading ; microstructure

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Year of publication:	2012
Authors:	Toke, Ioane Muni ; Pomponio, Fabrizio
Publisher:	[Kiel] : [Kiel Inst. for the World Economy]
Subject:	Börsenkurs \| Share price \| Geld-Brief-Spanne \| Bid-ask spread \| Wertpapierhandel \| Securities trading \| Marktmikrostruktur \| Market microstructure \| Stochastischer Prozess \| Stochastic process \| Theorie \| Theory \| EU-Staaten \| EU countries \| 2010

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Extent:	Online-Ressource (PDF-Datei: 23S., 332,7 KB) graph. Darst.
Series:	Economics : the open-access, open-assessment journal. - Berlin : DeGruyter, ISSN 1864-6042, ZDB-ID 2324918-3. - Vol. 6.2012-22
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	10.5018/economics-ejournal.ja.2012-22 [DOI] hdl:10419/59452 [Handle]
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009550135