I mentioned then some observed deviations from the random walk model, and postulated further research. I've just had an opportunity to check this behavior on intraday data for a number of stocks listed on the Warsaw Stock Exchange.
I have modified the methodology and changed some assumptions in the test procedure. Above you can see the result of the new test performed on the tick data for Grupa Lotos S.A.
Deviations from the model probability are clearly visible even when a pretty wide confidence band based on the sampled distribution probability is implied to filter out uncertain signals.
Chart: Cumulative ticks per day for WIG20 shares, November 2000 - October 2011
The above chart shows the cumulative number of the ticks per day recorded between mid November 2000 and end of October 2011 for the shares currently constituting WIG20 index (please note that the composition of index was different before September 2011 and some of the share currently traded were not available in the past)
Clearly the frequency of registered quotes hence the trades is raising. Still, it's far from the theoretical maximum.
Let's wait what happens when the Warsaw Stock Exchange introduces a new trading platform next year...