What are some of the commonly used techniques to analyze tick data? I am looking at tick data to see how the quotes/ mid-price evolves due to certain events in the market. Since tick data is asynchronous one can't really apply traditional time series models to explain these price movements. Some people have proposed that I create price bars based on either clock-time or trade-time but I think that tends to miss out on information happening in between the bars.
Any suggestions on how I can approach this ?