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Minute by minute: Efficiency, normality, and randomness in intra‐daily asset prices
Author(s) -
Feinstone Lauren J.
Publication year - 1987
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.3950020304
Subject(s) - econometrics , asset (computer security) , futures contract , jump , randomness , economics , normality , sample (material) , poisson distribution , constant (computer programming) , jump process , mathematics , statistics , financial economics , computer science , physics , chemistry , computer security , chromatography , quantum mechanics , programming language
In this study we test the efficiency of asset markets at intervals as short as 30 seconds. We also describe the properties of a simple new stochastic process as a potential model of the behaviour of asset prices and test it on intra‐daily Deutsche Mark futures prices. According to this process, asset prices are constant between economically relevant events, which occur at the random times generated by a Poisson process. At the moments of these events, prices jump to new values; the size of the jump is drawn from a normal distribution. Tests of this process indicate that it cannot be rejected for most of the days in the sample.