Nonlinear intraday trading invariance in the Russian stock market.

Using high-frequency transaction-level data for liquid Russian stocks, we empirically reveal a joint nonlinear relationship between the average trade size, log-return variance per transaction, trading volume, and the asset price level described by the Intraday Trading Invariance hypothesis. The relationship is also confirmed during stock market crashes. We show that the invariance principle explains a significant fraction of the endogenous variation between market activity variables at the intraday and daily levels.