Apa itu Madhavan–Richardson–Roomans model?

The Madhavan–Richardson–Roomans model (MRR) lets the efficient price move with the surprise in the order flow and the transaction price bounce around it:

with $x_t$ the trade sign, $\E[x_t\mid x_{t-1}]=\rho x_{t-1}$, $\theta$ the information content of a trade and $\phi$ the cost that does not depend on information. The implied spread is $2(\phi+\theta)$ and the information share $\theta/(\phi+\theta)$.