Before revision:  First, we characterize the distributional behavior of high-frequency asset returns both in  clock time and trade time and show that when controlling for pre-scheduled market news events, trade-time returns   are well characterized by a Gaussian distribution at very fine time scales.
After revision:  First, we characterize the distributional behavior of high-frequency asset returns both in clock time and in trade time. We show that when controlling for pre-scheduled market news events, trade-time returns are well characterized by a Gaussian distribution at very fine time scales.