Ten hypothetical price series were simulated according to the factor diffusion process discussed in Barndorff-Nielsen et al. We assume that prices are only observed when a transaction takes place. The intensity of transactions follows a Poisson process and consequently, the inter transaction times are exponentially distributed. Therefore, we generated the inter transaction times of the price series by an independent exponential distributions with lambda = 0.1, which we keep constant over time. This means we expect one transaction every ten seconds. In a final step, the time series were aggregated to the 5-minute frequency by previous tick aggregation.
data("sample_5minprices")