摘要翻译：
有人建议，标记点过程可能是金融高频数据建模的良好候选者。一类特殊的点过程Hawkes过程一直是金融界各种研究的主题。在本文中，我们提出了一个基本的零智能订单书模拟器，其极限订单和市场订单的到达时间遵循相互（非对称）激励的Hawkes过程。模型是基于我们在几个市场（股票、债券期货、指数期货）上验证的订单之间时间间隔的经验观察。我们表明，这个简单的特征使得模拟订单书的买卖价差的处理更加逼真。
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英文标题：
《"Market making" behaviour in an order book model and its impact on the
  bid-ask spread》
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作者：
Ioane Muni Toke
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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英文摘要：
  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 subject of various investigations in the financial community. In this paper, we propose to enhance a basic zero-intelligence order book simulator with arrival times of limit and market orders following mutually (asymmetrically) exciting Hawkes processes. Modelling is based on empirical observations on time intervals between orders that we verify on several markets (equity, bond futures, index futures). We show that this simple feature enables a much more realistic treatment of the bid-ask spread of the simulated order book.
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PDF链接：
https://arxiv.org/pdf/1003.3796