{
  "annotation_id": "fd0cc060-3ef5-449e-b093-da6066d82022",
  "date_created": "2026-03-02T18:01:14.472000Z",
  "date_modified": "2026-03-02T18:01:14.472000Z",
  "file_hash": "c3a1e00d32c39d3710cc5761e001f26db372f7f8b08136a03dac412f0ab936a3",
  "private": false,
  "record": {
    "abstract": "We study the impact of volatility on intraday serial correlation, at time\nscales of less than 20 minutes, exploiting a data set with all transaction on\nSPX500 futures from 1993 to 2001. We show that, while realized volatility and\nintraday serial correlation are linked, this relation is driven by unexpected\nvolatility only, that is by the fraction of volatility which cannot be\nforecasted. The impact of predictable volatility is instead found to be\nnegative (LeBaron effect). Our results are robust to microstructure noise, and\nthey confirm the leading economic theories on price formation.",
    "arxiv_id": "physics/0610023",
    "authors": [
      "Simone Bianco",
      "Roberto Ren\u00f3"
    ],
    "categories": [
      "physics.soc-ph",
      "q-fin.ST"
    ],
    "title": "Unexpected volatility and intraday serial correlation",
    "url": "https://arxiv.org/abs/physics/0610023"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "160edc8b-4718-4940-8a60-a5ee5125710e",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}