Using the intuition that financial markets transfer risks in business time,“market
microstructure invariance” is defined as the hypotheses that the distributions of risk transfers …

The rapid progress of information technology and web makes it easier to store huge amount
of collected textual information, eg, blogs, news articles, e-mail messages, reviews and …

This study constructs a market “aggregate news sentiment index”(ANSI) based on Chinese
financial news relating to all the listed firms on the Taiwan Stock Exchange. We analyze the …

We document a transaction level invariance relation among concurrent activity variables in
the S&P 500 futures market: return volatility per transaction is proportional to the inverse of …

Physics researchers obtain powerful results by using dimensional analysis to reduce the
dimensionality of problems. Quantitative asset managers often use dimensional analysis …

Define the number of buy-sell “switching points” as the number of times that individual
traders change the direction of their trading. Based on the hypothesis that switching points …

This paper combines dimensional analysis, leverage neutrality, and a principle of market
microstructure invariance to derive scaling laws expressing transaction costs functions, bid …

This paper examines the role of media coverage and investor attention on the outcomes of
seasoned equity offerings (SEOs). I use an archive of Thomson Reuters news articles to …

We examine the impact of the tone of acquirers' media coverage on investors' response to
merger announcements. Using an archive of Thomson Reuters' news articles, we show that …

Invariance predicts business time to unfold at a rate proportional to the 2/3 power ofthe
product of volume and volatility. Define a “switching point” as an investor changing …