2010 Volume 2 Pages 103-106
This paper empirically shows that in the days near the last trading day of Nikkei 225 Futures the best bid/ask prices follows the highly negatively correlated first order Markov process, and has no trend up to four ticks based on the total $\rho$-variation. This is consistent with the model by Endo et al. and the empirical results therein by different approach. It also derives the theoretical asymptotic formula for the total $\rho$-variation when the process follows the first order random Markov walks, and shows that its fit is satisfactory for $\rho\le 4$.