  For classification of the high frequency trading quantities, waiting times,
price increments within and between sessions are referred to as the a-, b-, and
c-increments. Statistics of the a-b-c-increments are computed for the Time &
Sales records posted by the Chicago Mercantile Exchange Group for the futures
traded on Globex. The Weibull, Kumaraswamy, Riemann and Hurwitz Zeta,
parabolic, Zipf-Mandelbrot distributions are tested for the a- and
b-increments. A discrete version of the Fisher-Tippett distribution is
suggested for approximating the extreme b-increments. Kolmogorov and Uspenskii
classification of stochastic, typical, and chaotic random sequences is reviewed
with regard to the futures price limits. Non-parametric L1 and log-likelihood
tests are applied to check dependencies between the a- and b-increments. The
maximum profit strategies and optimal trading elements are suggested as
measures of frequency and magnitude of the market offers and disequilibrium.
Empirical cumulative distribution functions of optimal profits are reported. A
few classical papers are reviewed with more details in order to trace the
origin and foundation of modern finance.
