{
  "annotation_id": "50123fce-e1c4-4388-b1c9-a268ff2b7ce3",
  "date_created": "2026-03-02T18:01:11.202000Z",
  "date_modified": "2026-03-02T18:01:11.202000Z",
  "file_hash": "779443ec94c996638767abcb383e9b0665393b27c789dd3c8e4a96b30839d6b3",
  "private": false,
  "record": {
    "abstract": "Microstructure of market dynamics is studied through analysis of tick price\ndata. Linear trend is introduced as a tool for such analysis. Trend arbitrage\ninequality is developed and tested. The inequality sets limiting relationship\nbetween trend, bid-ask spread, market reaction and average update frequency of\nprice information. Average time of market reaction is measured from market\ndata. This parameter is interpreted as a constant value of the stock exchange\nand is attributed to the latency of exchange reaction to actions of traders.\nThis latency and cost of trade are shown to be the main limit of bid-ask\nspread. Data analysis also suggests some relationships between trend, bid-ask\nspread and average frequency of price update process.",
    "arxiv_id": "physics/0607076",
    "authors": [
      "Nikolai Zaitsev"
    ],
    "categories": [
      "physics.data-an",
      "physics.soc-ph",
      "q-fin.ST"
    ],
    "title": "Trend arbitrage, bid-ask spread and market dynamics",
    "url": "https://arxiv.org/abs/physics/0607076"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "27a8d06c-00de-4d32-9063-21a28aa2db41",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}