This study proposes a versatile model for the dynamics of the best bid and ask prices using an extended Hawkes process. The model incorporates the zero intensities of the spread-narrowing processes at the minimum bid–ask spread, spread-dependent intensities, possible negative excitement, and nonnegative intensities. We apply the model to high-frequency best bid and ask price data from U.S. stock markets. The empirical findings demonstrate a spread-narrowing tendency, excitations of the intensities caused by previous events, the impact of flash crashes, characteristic trends in fast trading over time, and the different features of market participants in the various exchanges.

中文翻译：

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用扩展的霍克斯过程建模买卖价格动态及其在高频股票市场数据中的经验应用

本研究提出了一个通用模型，用于使用扩展的霍克斯过程来动态计算最佳买入价和卖出价。该模型在最小买卖价差、价差相关强度、可能的负兴奋和非负强度下结合了价差缩小过程的零强度。我们将该模型应用于美国股市的高频最佳买入价和卖出价数据。实证研究结果表明，价差收窄趋势、先前事件引起的强度激发、闪崩的影响、快速交易随时间推移的特征趋势以及各个交易所市场参与者的不同特征。