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.
|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>|
|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/|
References listed on IDEAS
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- Bowsher, Clive G., 2007.
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