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- W2260080824 abstract "We 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, we show that a simple bivariate Hawkes process fits nicely our empirical observations of trades-through. We show that the cross-influence of bid and ask trades-through is weak." @default.
- W2260080824 created "2016-06-24" @default.
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- W2260080824 date "2011-01-01" @default.
- W2260080824 modified "2023-09-27" @default.
- W2260080824 title "Modelling trades-through in a limited order book using Hawkes processes" @default.
- W2260080824 hasPublicationYear "2011" @default.
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