Modelling Trades-Through in a Limit Order Book Using Hawkes Processes
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.
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| Length: | |
| Date of creation: | 14 Jun 2012 |
| Publication status: | Published in Economics: The Open-Access, Open-Assessment E-Journal, 2012, pp.vol. 6, 2012-22. <10.5018/economics-ejournal.ja.2012-22> |
| Handle: | RePEc:hal:journl:hal-00745554 |
| DOI: | 10.5018/economics-ejournal.ja.2012-22 |
| Note: | View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00745554 |
| Contact details of provider: | Web page: https://hal.archives-ouvertes.fr/
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References listed on IDEAS
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- Bowsher, Clive G., 2007.
"Modelling security market events in continuous time: Intensity based, multivariate point process models,"
Journal of Econometrics,
Elsevier, vol. 141(2), pages 876-912, December.
- Clive Bowsher, 2002. "Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models," Economics Papers 2002-W22, Economics Group, Nuffield College, University of Oxford.
- Clive G. Bowsher, 2005. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2005-W26, Economics Group, Nuffield College, University of Oxford.
- Clive G. Bowsher, 2003. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2003-W03, Economics Group, Nuffield College, University of Oxford.
- E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2013. "Modelling microstructure noise with mutually exciting point processes," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 65-77, January.
- E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2011. "Modeling microstructure noise with mutually exciting point processes," Papers 1101.3422, arXiv.org.
- Large, Jeremy, 2007. "Measuring the resiliency of an electronic limit order book," Journal of Financial Markets, Elsevier, vol. 10(1), pages 1-25, February. Full references (including those not matched with items on IDEAS)
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