The authors add to one of their previous papers to show their comprehensive model of market microstructure invariance. They used their metrics to recast trades as bets, calendar time as business time, and return volatility as dollar volatility. In doing so, they hypothesized that the amount of risk transferred for each bet is the same for low and high velocity stocks and the dollar cost of executing low and high velocity stocks is the same when measured as the amount of risk transfer. They support this with detailed equations and charts.
KYLE, A. S., OBIZHAEVA, A. A., & KRITZMAN, M. (2016). A Practitioner's Guide to Market Microstructure Invariance. Journal Of Portfolio Management, 43(1), 43-53.
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