@article {Silva2007,
title = {Stochastic volatility of financial markets as the fluctuating rate of trading: An empirical study},
journal = {Physica A: Statistical Mechanics and its Applications},
volume = {382},
number = {1},
year = {2007},
month = {aug},
pages = {278{\textendash}285},
abstract = {We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random walk (CTRW) framework. The probability distribution of the stock price changes (log-returns) for a given number of trades N is found to be approximately Gaussian. The probability distribution of N for a given time interval Dt is non-Poissonian and has an exponential tail for large N and a sharp cutoff for small N. Combining these two distributions produces a nontrivial distribution of log-returns for a given time interval Dt, which has exponential tails and a Gaussian central part, in agreement with empirical observations.},
keywords = {2007, Single Fellow},
issn = {03784371},
url = {http://arxiv.org/abs/physics/0608299},
author = {Silva, A. Christian and Victor M Yakovenko}
}