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