Modelling trades-through in a limit order book using hawkes processes

Artikel

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Economics: The Open-Access, Open-Assessment E-Journal ; ISSN: 1864-6042 ; Volume: 6 ; Year: 2012 ; Issue: 2012-22 ; Pages: 1-23 ; Kiel: Kiel Institute for the World Economy (IfW)

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Model Construction and Estimation ; Information and Market Efficiency; Event Studies; Insider Trading
• Subject: Hawkes processes ; limit order book ; trades-through ; high-frequency trading ; microstructure ; Börsenkurs ; Bid-Ask Spread ; Wertpapierhandel ; Mikrostrukturanalyse ; Stochastischer Prozess ; Theorie ; EU-Staaten

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Toke, Ioane Muni ; Pomponio, Fabrizio
• Event: Veröffentlichung
• (who): Kiel Institute for the World Economy (IfW)
• (where): Kiel
• (when): 2012

Further information

• DOI: doi:10.5018/economics-ejournal.ja.2012-22
• Handle: http://hdl.handle.net/10419/59452
• Last update: 10.03.2025, 11:43 AM CET