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MODELING OF STOCK RETURNS IN CONTINUOUS VIS-À-VIS DISCRETE TIME IS EQUIVALENT, RESPECTIVELY, TO THE CONDITIONING OF STOCK RETURNS ON A RANDOM WALK PROCESS FOR TRADE IMBALANCES VIS-À-VIS A RANDOM WALK PROCESS FOR EVOLUTION OF INFORMATION

https://doi.org/10.1142/s2010495222500105
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Order Flow Imbalance Effects on the German Stock Market
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Learning rational expectations: The finite state case
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Option pricing when underlying stock returns are discontinuous
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A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory
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PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE
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