Before revision: By means of a novel version of the Continuous-Time Random Walk (CTRW) model with memory , we describe, for instance, the stochastic process of a single share price on a double-auction market within the high frequency time scale. The memory present in the model is understood as dependence between successive share price jumps , while waiting times between price changes are considered as i.i.d. random variables.
After revision: By means of a novel version of the Continuous-Time Random Walk (CTRW) model with memory is developed. This memory means the dependence between arbitrary number of successive jumps of the process , while waiting times between price changes are considered as i.i.d. random variables.