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Title: Modelling Trades-Through in a Limit Order Book Using Hawkes Processes [Dataset]      
dateReleased:
11-14-2013
downloadURL: http://hdl.handle.net/1902.1/18359
ID:
hdl:1902.1/18359
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.
description:
Muni Toke, Ioane; Pomponio, FAbrizio, 2012, "Modelling Trades-Through in a Limit Order Book Using Hawkes Processes [Dataset]", http://hdl.handle.net/1902.1/18359, Harvard Dataverse, V2
name:
Muni Toke, Ioane
Pomponio, FAbrizio
homePage: http://www.harvard.edu/
name:
Harvard University
ID:
SCR:011273
abbreviation:
DataVerse
homePage: http://thedata.org/
name:
Dataverse Network Project
ID:
SCR:001997