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Some exchanges have agreements with market makers to provide liquidity (the market makers often get some kind of preferential treatment in return). Often these agreements will include obligations to be actively quoting some minimum percentage of the time, on both sides of the book (bid & offer). Quoting non-marketable prices is one way to meet these ...


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Here is how I would approach such a calibration. Assuming we have the necessary market data one can easily construct the emprical distribution of the arrival rate. Let $\lambda_{emp}(\delta)$ be the empirical distribution. Then one can define a metric by $$ m(k,A,N)=\sum_{i=1}^N |\lambda_{emp}(i)-\lambda^a(i)| $$ After you have decided upon a suitable ...



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