Alternative aggregation of a number of prices in accordance with the concept of market time

Abstract

In the article an alternative approach to the aggregation number of tick prices of financial assets, which differs from the partition into equal intervals of time, which is commonly used, is proposed. The use of alternative aggregates of time series of prices in comparison with the astronomical time series equal to reduce heteroscedasticity, approximates the distribution of price increments to the normal distribution, provides a series of other properties that are important for prediction.