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

27 Pages Posted: 21 Oct 2010  

Fabrizio Pomponio

Ecole Centrale Paris; BNP Paribas

Frederic Abergel

Ecole Centrale Paris

Date Written: 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.

Keywords: Financial markets, Market microstructure, High-frequency trading

JEL Classification: G10, G14

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

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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