We offer a statistical model of the order flow and estimate it using high frequency data from the Paris Bourse. Our model jointly explains the duration between two consecutive orders and the relative aggressiveness of the orders, depending upon the past orders and the state of the book. Our results offer evidence of information and liquidity effects, as put forward by market microstructure theories.
Annales d'Économie et de Statistique, Paris: Institut national de la statistique et des études économiques, n. 60, October–December 2000, pp. 43–72