J. Feinstone, Lauren, Minute by minute: efficiency, normality, and randomness in intra-daily asset prices, Journal of applied econometrics , 2(3), 1987, pp. 193-214
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.