Trade-Throughs: Empirical Facts - Application to Lead-Lag Measures
Ecole Centrale Paris; BNP Paribas
Ecole Centrale Paris
October 14, 2010
Trade-throughs are the trades that go through the best available price in the limit order book. We provide various statistics on them: their liquidity, their links with big trades, their clustering, their intraday distribution, their market impact and the spread relaxation that follows them. We also provide a new method to get empirical distributions of lead-lag parameters between assets, sectors or even markets.
Number of Pages in PDF File: 27
Keywords: Financial markets, Market microstructure, High-frequency trading
JEL Classification: G10, G14
Date posted: October 21, 2010
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