  An empirical study of joint bivariate probability distribution of two
consecutive price increments for a set of stocks at time scales ranging from
one minute to thirty minutes reveals asymmetric structures with respect to the
axes y=0, y=x, x=0 and y=-x. All four asymmetry patterns remarkably resemble a
four-blade mill called market mill pattern. The four market mill patterns
characterize different aspects of interdependence between past (push) and
future (response) price increments. When analyzed in appropriate coordinates,
each pattern corresponds to a particular nonlinear dependence between the push
and conditional mean of response. Qualitative interpretation of each pattern is
discussed. The market mill pattern is an evidence of complex dependence
properties relating past and future price increments resulting in various types
of nonlinear correlation and predictability.
