{
  "annotation_id": "d8c7adbb-34a3-4cd3-8f01-cbdd9323c88b",
  "date_created": "2026-03-02T18:01:10.530000Z",
  "date_modified": "2026-03-02T18:01:10.530000Z",
  "file_hash": "3d6dbc9af606291076f77b3b6a7b22f59d1b15c33286f3e582f54142b26f4544",
  "private": false,
  "record": {
    "abstract": "We present an empirical study of the subordination hypothesis for a\nstochastic time series of a stock price. The fluctuating rate of trading is\nidentified with the stochastic variance of the stock price, as in the\ncontinuous-time random walk (CTRW) framework. The probability distribution of\nthe stock price changes (log-returns) for a given number of trades N is found\nto be approximately Gaussian. The probability distribution of N for a given\ntime interval Dt is non-Poissonian and has an exponential tail for large N and\na sharp cutoff for small N. Combining these two distributions produces a\nnontrivial distribution of log-returns for a given time interval Dt, which has\nexponential tails and a Gaussian central part, in agreement with empirical\nobservations.",
    "arxiv_id": "physics/0608299",
    "authors": [
      "A. Christian Silva",
      "Victor M. Yakovenko"
    ],
    "categories": [
      "physics.soc-ph",
      "physics.data-an",
      "q-fin.ST"
    ],
    "doi": "10.1016/j.physa.2007.03.051",
    "journal_ref": "Physica A 382, 278 - 285 (2007)",
    "title": "Stochastic volatility of financial markets as the fluctuating rate of   trading: an empirical study",
    "url": "https://arxiv.org/abs/physics/0608299"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "95259873-6fcf-46ff-b8a7-ddf6d51704b3",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}