We construct a Kyle (1985)-type market model in which fast and slow traders are present. After deriving the equilibrium condition described as a simultaneous equation system, we will perform numerical calculations. A major finding is that the fast trader who has an advantage in trade frequency...

We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of transactions) for various currency pairs and the corresponding...

An asymptotic distribution theory of the nonsynchronous covariation process for continuous semimartingales is presented. Two continuous semimartingales are sampled at stopping times in a nonsynchronous manner. Those sampling times possibly depend on the history of the stochastic processes and...

A model of intraday financial time series is developed. The model is a dynamic factor model consisting of two equations. First, a rate of return of a 'stock' in a single day is assumed to be generated by serveral common factors plus some additive erros ('intraday equation'). Secondly, the joint...