ork. This work is well reviewed in papers by Stoll, Madhavan and Biais et al, Stoll is a particularly good introduction [Stoll 2003, Madhavan 2000, Biais et al 2005]. Lyons discusses this with great clarity in 'The Microstructure Approach to Exchange Rates' [Lyons 2001]. In sections 6.3 to 6.5 Lyons