Plerou, V.; Gopikrishnan, P.; Gabaix, X.; Amaral, L. A. N. - In: Quantitative Finance 1 (2001) 2, pp. 262-269
We investigate the relation between trading activity - measured by the number of trades [iopmath latex="$N_{Delta t}$"] Nt [/iopmath] - and the price change [iopmath latex="$G_{Delta t}$"] Gt [/iopmath] for a given stock over a time interval [iopmath latex="$[t,~t+Delta t]$"] [t, t + t]...