Minute by minute: Efficiency,normality, and randomness in intra-daily asset prices |
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Authors: | Lauren J. Feinstone |
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Abstract: | 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. |
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