{"paper":{"title":"Unravelling the trading invariance hypothesis","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.TR","authors_text":"Jean-Philippe Bouchaud, Jonathan Donier, Michael Benzaquen","submitted_at":"2016-02-09T14:55:13Z","abstract_excerpt":"We confirm and substantially extend the recent empirical result of Andersen et al. \\cite{Andersen2015}, where it is shown that the amount of risk $W$ exchanged in the E-mini S\\&P futures market (i.e. price times volume times volatility) scales like the 3/2 power of the number of trades $N$. We show that this 3/2-law holds very precisely across 12 futures contracts and 300 single US stocks, and across a wide range of time scales. However, we find that the \"trading invariant\" $I=W/N^{3/2}$ proposed by Kyle and Obizhaeva is in fact quite different for different contracts, in particular between fu"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1602.03011","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}