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

  • Ioane Muni Toke

    (FiQuant - Chaire de finance quantitative - Ecole Centrale Paris, MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris)

  • Fabrizio Pomponio

    (FiQuant - Chaire de finance quantitative - Ecole Centrale Paris, MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris)

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    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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    Paper provided by HAL in its series Post-Print with number hal-00745554.

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    Date of creation: 14 Jun 2012
    Date of revision:
    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
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    1. Large, Jeremy, 2007. "Measuring the resiliency of an electronic limit order book," Journal of Financial Markets, Elsevier, vol. 10(1), pages 1-25, February.
    2. 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.
    3. E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2011. "Modeling microstructure noise with mutually exciting point processes," Papers 1101.3422,
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