@inbook {109841, title = {A modelling framework for the prices and times made on the New York stock exchange}, booktitle = {Non-Statopnary and Non-Linear Signal Extraction}, year = {2000}, publisher = {Issac Newton Institute Series, Cambridge University Press}, organization = {Issac Newton Institute Series, Cambridge University Press}, edition = {(edited by W.J. Fitzgerald, R.L. Smith, A.T. Walden and P.C. Young)}, address = {Cambridge}, author = {Rydberg, Trina H. and Neil Shephard} }