Glosten-Harris model. The Glosten-Harris model is an improvement of the Roll model which takes into account also price impact. In this model the trade price pt is given by (1) pt =mt +cdt +xt where the efficient price mt contains also a price impact xt1 due to the previous trade (2) mt =mt1 +xt1 +ut Here ut are iid random variables with mean zero and variance u2, just like in the Roll model. Note that xt are signed trade sizes: positive for buy, negative for sell