  It has been suggested that marked point processes might be good candidates
for the modelling of financial high-frequency data. A special class of point
processes, Hawkes processes, has been the subject of various investigations in
the financial community. In this paper, we propose to enhance a basic
zero-intelligence order book simulator with arrival times of limit and market
orders following mutually (asymmetrically) exciting Hawkes processes. Modelling
is based on empirical observations on time intervals between orders that we
verify on several markets (equity, bond futures, index futures). We show that
this simple feature enables a much more realistic treatment of the bid-ask
spread of the simulated order book.

Trading and Market Microstructure