Discussion Paper

No. 2011-32 | August 15, 2011
Modelling Trades-Through in a Limited Order Book Using Hawkes Processes

Abstract

We 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, we show that a simple bivariate Hawkes process fits nicely our empirical observations of trades-through. We show that the cross-influence of bid and ask trades-through is weak.

Paper submitted to the special issue
New Approaches in Quantitative Modeling of Financial Markets

JEL Classification:

C32, C51, G14

Assessment

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Links

Cite As

Ioane Muni Toke and Fabrizio Pomponio (2011). Modelling Trades-Through in a Limited Order Book Using Hawkes Processes. Economics Discussion Papers, No 2011-32, Kiel Institute for the World Economy. http://www.economics-ejournal.org/economics/discussionpapers/2011-32


Comments and Questions


Anonymous - Referee Report 1
December 19, 2011 - 08:32

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Anonymous - Quick answers and comments from the authors
December 21, 2011 - 10:30

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Anonymous - Referee Report 2
April 16, 2012 - 08:50

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