  This paper proposes a novel model of financial prices where: (i) prices are
discrete; (ii) prices change in continuous time; (iii) a high proportion of
price changes are reversed in a fraction of a second. Our model is analytically
tractable and directly formulated in terms of the calendar time and price
impact curve. The resulting c\`{a}dl\`{a}g price process is a piecewise
constant semimartingale with finite activity, finite variation and no Brownian
motion component. We use moment-based estimations to fit four high frequency
futures data sets and demonstrate the descriptive power of our proposed model.
This model is able to describe the observed dynamics of price changes over
three different orders of magnitude of time intervals.
