Equi-spaced sampling is the norm in applied work using high-frequency data. Due to trade intermittency, however, this traditional sampling scheme amounts to implicit random sampling. Under implicit random sampling and on continuous trajectories, we quantify the asymptotic biases of even realized...

Wine lovers have long known that the quality of their favorite libation is variable: it depends on, among other things, the geography and geology of the vineyard, the type of grape and how it is grown and harvested, and the weather in the year of its harvest. This variation in quality is...