Trades and Quotes: A Bivariate Point Process
Robert F Engle, Asger Lunde

Abstract
This paper formulates a bivariate point process to jointly analyse transaction and quote arrivals. In microstructure models, transactions may reveal private information which is then incorporated into new prices. This paper examines the speed of this information flow and the circumstances which govern it. One of the main conclusions are that conditional on past quote times, the impact of trade information is to make quote durations longer when there is more information flow rather than less. This is interpreted as evidence that limit order suppliers become more cautious in the presence of apparent informational trading.

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