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"Market making" behaviour in an order book model and its impact on the bid-ask spread
Market making behaviour order book model impact bid-ask spread
2010/10/19
It has been suggested that marked point processes might be good candidates for the modelling of financial high-frequency data. A special class of point processes, Hawkes processes, has been the subje...
Response of double-auction markets to instantaneous Selling-Buying signals with stochastic Bid-Ask spread
double-auction markets stochastic Bid-Ask spread
2010/12/13
Statistical properties of double-auction markets with Bid-Ask spread in market order are investigated through the response function. We first attempt to utilize the so-called Madhavan-Richardson-Room...