There are more ticks at open and close, but it seems to me that tick time is business time and anything else is… something else.
From one of the related papers: “Our results show that the BTS (business time sampling) scheme performs better than the CTS (calendar time sampling) and the TTS (tick time sampling) schemes in yielding Gaussian returns.”
While transforming data to achieve more desirable statistical properties (e.g. first-differencing) is a time honoured tradition, I wasn’t aware that, despite the obvious convenience, achieving Gaussian returns was an explicit aim of financial engineering. That kind of thinking led to a world of hurt in the credit markets, no?
I’ve only looked at two or three papers, but the output of this research seems to be generating statistics instead of generating trading signals. You can sample such that you measure normal returns, okay but so what? What can you do with these supposedly improved estimates? What are the applications other than creatively characterizing data? How does this knowledge help the high frequency trader? What is the purpose of the paper other than another publication?