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Journal Article

No. 2012-22 | June 14, 2012
Ioane Muni Toke and Fabrizio Pomponio
Modelling Trades-Through in a Limit Order Book Using Hawkes Processes PDF Icon
(Published in Special Issue New Approaches in Quantitative Modeling of Financial Markets)

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

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The data set for this article can be found at: http://hdl.handle.net/1902.1/18359

JEL Classification

C32 C51 G14

Citation

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, Vol. 6, 2012-22. http://dx.doi.org/10.5018/economics-ejournal.ja.2012-22

Assessment

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