Before revision:  The method's performance is briefly tested using German Intraday Continuous data. Despite the simplicity of the method, the results are encouraging. The supplementary materials containing the R-codes and the data are attached to this paper .
After revision:  A rolling window forecasting study of future transaction arrival times is conducted in order to gain significant insights to the performance of the considered models. We analyse both the in-sample characteristics and the forecasting efficiency. In the forecasting part, artificial trajectories are simulated and then evaluated by calculating the \mathcal{L .