{
  "annotation_id": "fcb2e752-d4cf-42dc-bd1d-572d8d5f46fb",
  "date_created": "2026-03-02T18:01:10.729000Z",
  "date_modified": "2026-03-02T18:01:10.729000Z",
  "file_hash": "652eaa01d4086d68ff08cf13a481164c7d60807b393f7d35ebb54dec525098a1",
  "private": false,
  "record": {
    "abstract": "We conclude from an analysis of high resolution NYSE data that the\ndistribution of the traded value $f_i$ (or volume) has a finite variance\n$\\sigma_i$ for the very large majority of stocks $i$, and the distribution\nitself is non-universal across stocks. The Hurst exponent of the same time\nseries displays a crossover from weakly to strongly correlated behavior around\nthe time scale of 1 day. The persistence in the strongly correlated regime\nincreases with the average trading activity $\\ev{f_i}$ as\n$H_i=H_0+\\gamma\\log\\ev{f_i}$, which is another sign of non-universal behavior.\nThe existence of such liquidity dependent correlations is consistent with the\nempirical observation that $\\sigma_i\\propto\\ev{f_i}^\\alpha$, where $\\alpha$ is\na non-trivial, time scale dependent exponent.",
    "arxiv_id": "physics/0608018",
    "authors": [
      "Zoltan Eisler",
      "Janos Kertesz"
    ],
    "categories": [
      "physics.soc-ph",
      "q-fin.ST"
    ],
    "doi": "10.1016/j.physa.2007.02.009",
    "title": "The dynamics of traded value revisited",
    "url": "https://arxiv.org/abs/physics/0608018"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "bc0bbcbc-8180-48c3-9435-692dae503040",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}