ICAR Research Data Repository for Knowledge Management
Modelling Trades-Through in a Limit Order Book Using Hawkes Processes [Dataset]
Harvard Dataverse (Africa Rice Center, Bioversity International, CCAFS, CIAT, IFPRI, IRRI and WorldFish)
View Archive Info| Field | Value | |
| Title |
Modelling Trades-Through in a Limit Order Book Using Hawkes Processes [Dataset]
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| Identifier |
https://doi.org/10.7910/DVN/4WNLRF
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| Creator |
Muni Toke, Ioane
Pomponio, FAbrizio |
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| Publisher |
Harvard Dataverse
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| Description |
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.
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| Subject |
Hawkes processes
limit order book trades-through high-frequency trading microstructure |
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| Date |
2012
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| Type |
Aggregate data
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