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

Fabrizio Pomponio (1, 2) , Frédéric Abergel (1, 2)

1 FiQuant - Chaire de finance quantitative
2 MAS - Mathématiques Appliquées aux Systèmes - EA 4037

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.

Mots clés: Lead-lag measures; multiple-limit trades; equity futures

Domaines: Finance quantitative [q-fin.CP]

Fabrizio Pomponio, Frédéric Abergel. Multiple-limit trades : empirical facts and application to lead-lag measures. Quantitative Finance, 2013, 13 (5), pp.783-793. ⟨10.1080/14697688.2012.743671⟩. ⟨hal-00745317⟩