Journal Article
No. 2012-22 | June 14, 2012
Modelling Trades-Through in a Limit Order Book Using Hawkes Processes

Abstract

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 trades-through. The authors show that the cross-influence of bid and ask trades-through is weak.

Data Set

JEL Classification:

G14, C51, C32

Assessment

Links

Cite As

Ioane Muni Toke and Fabrizio Pomponio (2012). Modelling Trades-Through in a Limit Order Book Using Hawkes Processes. Economics: The Open-Access, Open-Assessment E-Journal, 6 (2012-22): 1–23. http://dx.doi.org/10.5018/economics-ejournal.ja.2012-22


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