Quote volatility is important in determining the cost of demand in a high frequency (HF) order
market. This paper proposes a new model to measure quote volatility based on the point …

Modeling behaviors of inter-trade durations is an important step to understand the market
microstructure. Given that most existing models focused on intraday transaction data, we …

This paper studies inter-trade durations in the NASDAQ limit order market and finds that inter-
trade durations in ultra-high frequency have two modes. One mode is to the order of …