Abstract

http://ssrn.com/abstract=1694103
 
 

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Trade-Throughs: Empirical Facts - Application to Lead-Lag Measures


Fabrizio Pomponio


Ecole Centrale Paris; BNP Paribas

Frederic Abergel


Ecole Centrale Paris

October 14, 2010


Abstract:     
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

working papers series


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Date posted: October 21, 2010  

Suggested Citation

Pomponio, Fabrizio and Abergel, Frederic, Trade-Throughs: Empirical Facts - Application to Lead-Lag Measures (October 14, 2010). Available at SSRN: http://ssrn.com/abstract=1694103 or http://dx.doi.org/10.2139/ssrn.1694103

Contact Information

Fabrizio Pomponio (Contact Author)
Ecole Centrale Paris ( email )
Paris
France
BNP Paribas ( email )
Paris
France
Frederic Abergel
Ecole Centrale Paris ( email )
Paris
France
+33141131895 (Phone)
HOME PAGE: http://www.mas.ecp.fr/fiQuant
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