Modelling Trades-Through in a Limit Order Book Using Hawkes Processes [Dataset]
收藏NIAID Data Ecosystem2026-03-07 收录
下载链接：
https://doi.org/10.7910/DVN/4WNLRF
下载链接
链接失效反馈官方服务：
资源简介：
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.
创建时间：
2013-11-14
