Order Arrival, Quote Behavior, and the Return‐Generating Process
发现日内股票收益、报价中点收益以及买卖订单到达均存在正自相关，并构建了一个包含限价单价格滞后调整和买卖交易正依赖的收益生成模型，该模型等价于ARMA过程，能解释观察到的收益行为。
ABSTRACT This paper establishes three empirical results. We find positive autocorrelation in actual intra‐day stock returns, in intra‐day returns computed from quote midpoints, and in the arrival of buy and sell orders. We present a model of return generation that incorporates these features via lagged adjustment of the limit‐order price and positive dependence in bid and ask transactions. The return model is observationally equivalent to an ARMA process, which is consistent with the observed return behavior.