{
  "annotation_id": "fca1f21c-3d68-4c39-a5d6-bd50a0ac1814",
  "date_created": "2026-03-02T18:01:00.873000Z",
  "date_modified": "2026-03-02T18:01:00.873000Z",
  "file_hash": "583bdf0179919a6cae8e91d7486cec43a3bbef576cd6aab987b9b294caaa08e4",
  "private": false,
  "record": {
    "abstract": "The NYSE and NASDAQ stock markets have very different structures and there is\ncontinuing controversy over whether differences in stock price behaviour are\ndue to market structure or company characteristics. As the influence of market\nstructure on stock prices may be obscured by exogenous factors such as demand\nand supply, we hypothesize that modulation of the flow of transactions due to\nmarket operations may carry a stronger imprint of the internal market\nmechanism. We analyse times between consecutive transactions (ITT) for NYSE and\nNASDAQ stocks, and we relate the dynamical properties of the ITT with those of\nthe corresponding price fluctuations. We find a robust scale-invariant temporal\norganisation in the ITT of stocks which is independent of individual company\ncharacteristics and industry sector, but which depends on market structure. We\nfind that stocks registered on the NASDAQ exhibit stronger correlations in\ntheir transaction timing within a trading day, compared with NYSE stocks.\nFurther, we find that companies that transfer from the NASDAQ to the NYSE show\na reduction in the correlation strength of transaction timing within a trading\nday, after the move, suggesting influences of market structure. Surprisingly,\nwe also observe that stronger power-law correlations in the ITT are coupled\nwith stronger power-law correlations in absolute price returns and higher price\nvolatility, suggesting a strong link between the dynamical properties of ITT\nand the corresponding price fluctuations over a broad range of time scales.\nComparing the NYSE and NASDAQ, we demonstrate that the higher correlations we\nfind in ITT for NASDAQ stocks are matched by higher correlations in absolute\nprice returns and by higher volatility, suggesting that market structure may\naffect price behaviour through information contained in transaction timing.",
    "arxiv_id": "physics/0508203",
    "authors": [
      "Ainslie Yuen",
      "Plamen Ch. Ivanov"
    ],
    "categories": [
      "physics.soc-ph",
      "q-fin.ST"
    ],
    "title": "Impact of Stock Market Structure on Intertrade Time and Price Dynamics",
    "url": "https://arxiv.org/abs/physics/0508203"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "247e5735-94c6-4c39-8447-a339863b794d",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}