The paper written by Thierry Ane and Helyette Geman, titled, “Order Flow, Transaction Clock, and Normality of Asset Returns” explores the concept of changing the “calendar time” of the asset return process to recover normality. The idea that, “Calendar time might not be an appropriate measure of time in the financial markets”, has been explored in the past. Mandelbrot in 1963 published a paper that introduced a class of stable processes that could recover normality.

A document containing brief summary of the book Takeaway : This book is a beautiful book that describes the math behind queueing systems. One learns a ton of math tools from this book, that can be used to analyze any system that has a queueing structure within it. The author presents the material in a highly enthusiastic tone with superb clarity. Thoroughly enjoyed going through the book.

Queueing theory is an area where one can find superb applications of various stochastic processes. Here is an adapted visual from Kleinrock that gives a 10,000 ft. view of the various processes. The visual below, at once, explains the reason for Poisson process being so special. It is a process that is an intersection of Semi Markov process, Markov process, Random Walk process, Renewal process and Pure Birth process. It is in the sweet spot, so to speak, of six popular stochastic processes.

Does anything in nature despair except man? An animal with a foot caught in a trap does not seem to despair. It is too busy trying to survive. It is all closed in, to a kind of still, intense waiting. Is this a key? Keep busy with survival. Imitate the trees. Learn to lose in order to recover, and remember that nothing stays the same for long, not even pain, psychic pain.

A brief summary of the book Takeaway : The book is definitely overpriced for what it delivers. Given that 50% of this book explains R basics, the title is not at all appropriate. Even the quant stuff that is covered in the remaining 50% of the book is laughably inadequate.