5. High-Frequency Data Analysis and Market Microstructure 175
5.1 Nonsynchronous Trading, 176
5.2 Bid-Ask Spread, 179
5.3 Empirical Characteristics of Transactions Data, 181
5.4 Models for Price Changes, 187
5.5 Duration Models, 194
5.6 Nonlinear Duration Models, 206
5.7 Bivariate Models for Price Change and Duration, 207