Goodhart and ohara high frequency data in financial markets issues and applications

... a data set, and he has used it to examine the interactions between quote and dealing intensities and price changes His main finding is that "trades occurring when transaction intensity is high. .. (continuous) financial market processes Besides searching for nonlinearities, another major current interest in this field is examining the time-varying volatility in such markets, usually in the... for investigating the variability present in high frequency data, and it views the variability of security prices and volume as arising from differences in information arrival rates The standard