{
  "annotation_id": "ce498ff3-515d-4232-a9b6-b247d16df1da",
  "date_created": "2026-03-02T18:01:10.867000Z",
  "date_modified": "2026-03-02T18:01:10.867000Z",
  "file_hash": "986a3abe80f5e57bf88e162e60b33e5668054221e089734ad93370caef0da913",
  "private": false,
  "record": {
    "abstract": "We investigate the correlation properties of transaction data from the New\nYork Stock Exchange. The trading activity f(t) of each stock displays a\ncrossover from weaker to stronger correlations at time scales 60-390 minutes.\nIn both regimes, the Hurst exponent H depends logarithmically on the liquidity\nof the stock, measured by the mean traded value per minute. All multiscaling\nexponents tau(q) display a similar liquidity dependence, which clearly\nindicates the lack of a universal form assumed by other studies. The origin of\nthis behavior is both the long memory in the frequency and the size of\nconsecutive transactions.",
    "arxiv_id": "physics/0606161",
    "authors": [
      "Zoltan Eisler",
      "Janos Kertesz"
    ],
    "categories": [
      "physics.soc-ph",
      "q-fin.ST"
    ],
    "doi": "10.1209/0295-5075/77/28001",
    "journal_ref": "Europhys. Lett. 77, 28001 (2007)",
    "title": "Liquidity and the multiscaling properties of the volume traded on the   stock market",
    "url": "https://arxiv.org/abs/physics/0606161"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "94a5bfed-aa95-40ad-a8d9-32e0f22705fd",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}