Articlegold2012

Modelling Trades-Through in a Limit Order Book Using Hawkes Processes

56 citations0/0 files storedEconomics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Complex Systems and Time Series Analysis

Abstract

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

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References

1981Point Processes and Queues 1983Point Processes and Queues: Martingale Dynamics.2009How Markets Slowly Digest Changes in Supply and Demand 2007Modelling security market events in continuous time: Intensity based, multivariate point process models 2004The Long Memory of the Efficient Market 2012Modelling microstructure noise with mutually exciting point processes 2006Measuring the resiliency of an electronic limit order book 2011The price impact of order book events: market orders, limit orders and cancellations

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2015The limits of statistical significance of Hawkes processes fitted to financial data 2014Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit 2017Transform analysis for Hawkes processes with applications in dark pool trading 2023Simultaneous monitoring of multivariate time between events and their magnitude using multivariate marked Hawkes point process

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