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Reading this article, I find some narrow places in theory of this article. The authors consider time between trades and human response time as only one man traded, but more realistic situation is when million traders are on the market. They make decisions (we can expect that they trade) in random times and time between trades may lie in any small interval, because the law of large numbers. The second is, more specific thing, that price-process can be considered as continous time random walks (CTRW). In this consideration, based on observables, followed that times and price movement are coupled. This means that we cannot expect large movements after long waiting times (at least for some markets). All statistical properties of such kind CTRW processes are already shown in scientific literature.
In the end, one notation about formula in which the authors expressed standart deviation: if we have power law statistics, the standart deviation does not exist.                   

Vadim Shulezhko 805 days ago