Order flow transaction clock and normality of asset returns: A comment on Ané and Geman (2000)

We investigate the procedure used by Ané and Geman (2000) to recover the moments of the information flow from high frequency data, in a model which generalizes the subordinated process in Clark (1973). We explain why the third and higher moments of the latent information flow cannot be accurately recovered using this procedure. We illustrate this, using Monte Carlo simulations. We also show that, contrary to the claims in AG, returns conditioned on the re-centered number of trades are not approximately Gaussian.