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Multiple-limit trades: empirical facts and application to lead--lag measures

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  • Fabrizio Pomponio
  • Frederic Abergel

Abstract

Order splitting is a standard practice in trading: traders constantly scan the limit order book and choose to limit the size of their market orders to the quantity available at the best limit, thereby controlling the market impact of their orders. In this article, we focus on the other trades, multiple-limit trades that go through the best available price in the order book, or ‘trade-throughs’. We provide various statistics on trade-throughs: frequency, volume, intraday distribution, market impact, etc., and present a new method for the measurement of lead--lag parameters between assets, sectors or markets.

Suggested Citation

  • Fabrizio Pomponio & Frederic Abergel, 2012. "Multiple-limit trades: empirical facts and application to lead--lag measures," Quantitative Finance, Taylor & Francis Journals, vol. 13(5), pages 783-793, September.
    • Handle: RePEc:taf:quantf:v:13:y:2012:i:5:p:783-793
    DOI: 10.1080/14697688.2012.743671
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    References listed on IDEAS

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    1. Armand Joulin & Augustin Lefevre & Daniel Grunberg & Jean-Philippe Bouchaud, 2008. "Stock price jumps: news and volume play a minor role," Papers 0803.1769, arXiv.org.
    2. Hautsch, Nikolaus & Huang, Ruihong, 2012. "The market impact of a limit order," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 501-522.
    3. Austin Gerig, 2008. "A Theory for Market Impact: How Order Flow Affects Stock Price," Papers 0804.3818, arXiv.org, revised Jul 2008.
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