Qu'est-ce que « Uncertainty-zone model » ?

In the uncertainty-zone model of Robert and Rosenbaum, the traded price changes only when the efficient price $P^\ast$ moves far enough from the last traded price: around each mid-tick value lies a zone of width $2\eta\,\delta_{\mathrm{tick}}$, $0<\eta\le1$, and the traded price moves to a new tick when $P^\ast$ crosses the zone’s far edge. The parameter $\eta$ measures the aversion of market participants to price changes of one tick; Dayri and Rosenbaum (2015) call $2\eta\,\delta_{\mathrm{tick}}$ the implicit spread of a large-tick asset.