Abstract
This paper develops a new model describing intraday price changes in the Tokyo Stock Exchange and the Osaka Securities Exchange. The price changes are specified by the repetition of one tick price moves, each of which is caused by the termination of a continuous double auction system described by the classic queuing theory. This model predicts that the one tick price move follows the first order Markov process. We test the null hypothesis of this Markov property for the tick-by-tick data of Nikkei225 Futures on the Osaka Securities Exchange, to find the null hypothesis is not rejected.
