| 12. (a) All the clock time increments are dti = 0.2, and the price increments are |
| dY1 = 0.7, dY2 = -0.3, dY3 = 0.3, dY4 = -0.1, dY5 = 0.4 |
| because some of the |dYi| are different and all the
dti are equal, not all of the |
| (b) First, find the exponent D satisfying |
| |dY1|D + |dY2|D + |dY3|D + |dY4|D + |dY5|D = 1 |
| Substituting in the values of dYi gives |
| 0.7D + 0.3D + 0.3D + 0.1D + 0.4D = 1 |
| Solving numerically gives D ≈ 1.747 |
| Then the trading time generators are given by dTi = |dYi|D. This gives |
| dT1 ≈ 0.536, dT2 = dT3 ≈ 0.122, dT4 ≈ 0.018, dT4 ≈ 0.202 |
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