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

Name: Modelling Trades-Through in a Limit Order Book Using Hawkes Processes [Dataset]
Creator: Ecole Centrale Paris and ERIM, University of New Caledonia, Nouméa; Ecole Centrale Paris and BNP Paribas Equity & Derivatives Quantitative Research & Development, Paris
Published: 2012-01-01T00:00:00+08:00

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金融市场微观结构

高频交易建模

数据链接：

https://dataverse.harvard.edu/citation?persistentId=doi:10.7910/DVN/4WNLRF 数据链接链接失效反馈

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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.

提供机构：

Ecole Centrale Paris and ERIM, University of New Caledonia, Nouméa; Ecole Centrale Paris and BNP Paribas Equity & Derivatives Quantitative Research & Development, Paris

创建时间：

2012-01-01