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

Author

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  • Fabrizio Pomponio

    (FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec, MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris)

  • Frédéric Abergel

    (FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec, MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris)

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-limits 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... and present a new method for the measurement of lead-lag parameters between assets, sectors or markets.

Suggested Citation

  • Fabrizio Pomponio & Frédéric Abergel, 2013. "Multiple-limit trades : empirical facts and application to lead-lag measures," Post-Print hal-00745317, HAL.
    • Handle: RePEc:hal:journl:hal-00745317
    DOI: 10.1080/14697688.2012.743671
    Note: View the original document on HAL open archive server: https://hal.science/hal-00745317
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    References listed on IDEAS

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    1. B. Tóth & J. Kertész & J. D. Farmer, 2009. "Studies of the limit order book around large price changes," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 71(4), pages 499-510, October.
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    Cited by:

    1. Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2024. "The profitability of lead–lag arbitrage at high frequency," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1002-1021.
    2. Stindl, Tom & Chen, Feng, 2018. "Likelihood based inference for the multivariate renewal Hawkes process," Computational Statistics & Data Analysis, Elsevier, vol. 123(C), pages 131-145.

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    Keywords

    Lead-lag measures; multiple-limit trades; equity futures;
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