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

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.

Tail Wags Dog: Intraday Price Discovery in VIX Markets

“…Pomponio and Abergel (2013) acknowledge the standard approach of measuring lagged cross-correlation of returns to study asymmetry between positive and negative lags. They present a different but related approach which looks at trade-through events to assess which asset moves first Christensen, Kinnebrock, and Podolskij (2010).…”

Inference for time-varying lead–lag relationships from ultra-high-frequency data

“…Other approaches to investigate lead-lag relationships in a continuous-time framework include Hawkes process-based models (Bacry et al 2013; Da Fonseca and Zaatour 2015), a wavelet-based method (Hayashi and Koike 2018), and a multi-asset lagged adjustment model (Buccheri et al 2020). Several empirical approaches have been proposed, as well; see Pomponio and Abergel (2013) and Dobrev and Schaumburg (2016), for example.…”

Likelihood based inference for the multivariate renewal Hawkes process

“…Empirical studies suggest that trade-throughs tend to occur in clusters and so self-exciting processes are a natural choice to model this phenomenon. Pomponio and Abergel (2013) examine the clustering effect of trade-throughs by comparing the waiting time between successive trade-throughs for the stock BNP Paribas. A clustering effect is evident when the next trade-through arrives at a faster rate after a trade-through than after any regular trade.…”