Work

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

Year: 2012

Type: article

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.

Source: Economics

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

Authors: Ioane Muni Toke, Fabrizio Pomponio

Institutions: University of New Caledonia, École Centrale Paris, CentraleSupélec, BNP Paribas (France)

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $1,187

OpenAlex ID: W2170929953

FWCI: 12.23

Cites: 22

Cited by: 56

Related to: 10