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. As a practical example, the professional competition between fund managers is considered. To explore how different … settings of competition parameters, the exclusion rate and the exclusion interval, affect individual investment behavior, an …
Persistent link: https://www.econbiz.de/10010309602
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...
Persistent link: https://www.econbiz.de/10010309222