Minute by minute: Efficiency, normality, and randomness in intra‐daily asset prices
测试了30秒间隔的资产市场效率，并提出一个简单随机过程模型，用泊松过程描述价格跳跃，对德国马克期货数据检验发现该模型在多数交易日不能被拒绝。
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.