Modelling trades-through in a limit order book using Hawkes processes

Economics

Volumn 6, Issue , 2012, Pages

  Toke, Ioane Muni ^a   Pomponio, Fabrizio ^b  

^a UNIVERSITÉ DE LA NOUVELLE CALÉDONIE   (New Caledonia)

^b ECOLE CENTRALE PARIS   (France)

Author keywords

Hawkes processes; High frequency trading; Limit order book; Microstructure; Trades through

Indexed keywords

EID: 84865087002     PISSN: None     EISSN: 18646042     Source Type: Journal    
DOI: 10.5018/economics-ejournal.ja.2012-22     Document Type: Article

References (17)

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