  At the ultra high frequency level, the notion of price of an asset is very
ambiguous. Indeed, many different prices can be defined (last traded price,
best bid price, mid price,...). Thus, in practice, market participants face the
problem of choosing a price when implementing their strategies. In this work,
we propose a notion of efficient price which seems relevant in practice.
Furthermore, we provide a statistical methodology enabling to estimate this
price form the order flow.
