27 Pages Posted: 21 Oct 2010
Date Written: 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.
Keywords: Financial markets, Market microstructure, High-frequency trading
JEL Classification: G10, G14
Suggested Citation: Suggested Citation
Pomponio, Fabrizio and Abergel, Frederic, Trade-Throughs: Empirical Facts - Application to Lead-Lag Measures (October 14, 2010). Available at SSRN: https://ssrn.com/abstract=1694103 or http://dx.doi.org/10.2139/ssrn.1694103
By Robert Engle