Security bid/ask dynamics with discreteness and clustering: Simple strategies for modeling and estimation
提出一个买卖报价动态模型，纳入做市成本随机性、报价离散性和聚类特征，使用吉布斯采样估计，并用美元/德国马克的日度和日内数据验证。
This paper proposes a dynamic model of bid and ask quotes that incorporates a stochastic cost of market-making, discreteness (restriction of quotes to a fixed grid) and clustering (the tendency of quotes to lie on `natural' multiples of the tick size). The Gibbs sampler provides a convenient vehicle for estimation. The model is estimated for daily and intradaily US Dollar/Deutschemark Reuters quotes.