This paper studies the implications of absence of arbitrage in economies where: (i) trade takes place in transaction time, (ii) there is a single state variable whose transaction-time price path is binomial, (iii) there are riskfree bonds with calendar-time maturities, and (iv) the relation...

This paper examines causality between the series of returns ans transaction volumes in high frequency data. The dynamics in both series is restricted to transitions between a finite umber of stated. Depending on the state selection criteria, this approach approximated the dynamics of varying...