Modelling Trades-Through in a Limit Order Book Using Hawkes Processes
AbstractThe 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.
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Date of creation: 14 Jun 2012
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Publication status: Published, Economics: The Open-Access, Open-Assessment E-Journal, 2012, vol. 6, 2012-22
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