... (continuous) financial market processes Besides searching for nonlinearities, another major current interest in this field is examining the time-varying volatility in such markets, usually in the... has such a data set, and he has used it to examine the interactions between quote and dealing intensities and price changes His main finding is that "trades occurring when transaction intensity... actively intervening are eliminated." 34 Instead of constructing artificial trading rules, Goodhart and Curcio use intra-daily data and measures of support and resistance points, provided by