Gopikrishnan, P.; Plerou, V.; Gabaix, X.; Amaral, L.A.N.; … - In: Physica A: Statistical Mechanics and its Applications 299 (2001) 1, pp. 137-143
We empirically quantify the relation between trading activity—measured by the number of transactions N—and the price change G(t) for a given stock, over a time interval [t,t+Δt]. We relate the time-dependent standard deviation of price changes—volatility—to two microscopic quantities:...