  We introduce a simple framework in which market participants update their
prior about an efficient price with a model-based learning process. We show
that exponential intensities for the arrival of aggressive orders arise
naturally in this setting. Our approach allows us to fully describe market
dynamics in the case with Brownian efficient price and informed market takers.
We are also able to revisit the emergence of market impact due to meta-order
splitting, making several connections with existing literature.
