  We introduce a new model in order to describe the fluctuation of tick-by-tick
financial time series. Our model, based on marked point process, allows us to
incorporate in a unique process the duration of the transaction and the
corresponding volume of orders. The model is motivated by the fact that the
"excitation" of the market is different in periods of time with low exchanged
volume and high volume exchanged. We illustrate our result by numerical
simulations on foreign exchange data sampling in millisecond. By checking the
main stylized facts, we show that the model is consistent with the empirical
data. We also find an interesting relation between the distribution of the
volume of limited order and the volume of market orders. To conclude, we
propose an application to risk management and we introduce a forecast
procedure.
